Risk Quantum/UBS
Credit scenario update drives UBS loan-loss reserves higher
Gloomier US outlook contributes to $272m of Q2 provisions
Systemic European banks’ bail-in buffers fell in Q1
Bail-in debt stocks increase, but balance sheet expansion crimps TLAC ratios
Trading losses at US units of Deutsche, RBC exceed VAR by 1,000%
Wild markets overwhelmed foreign banks’ value-at-risk estimates
CVA, market RWAs more than double at UBS in Q1
Overall risk-weighted assets increased 10% on end-2019
At UBS, asset cull drives down RWAs
Final quarter of 2019 saw risk-weighted assets fall $5.4 billion
At UBS, market risk charge falls following model updates
Market RWAs dropped on the quarter, even though risk levels increased
Cash burn drives UBS’s LCR lower in Q3
Swiss bank’s HQLA at lowest level since public disclosure began
BNY, UBS paid over 10% for Fed funds and repo in Q2
The average cost of Fed funds purchased and repo rose to 4.32% in Q2 from 2.41% a year ago
Among G-Sibs, Japanese and US banks see LCRs improve most
US systemic banks’ liquidity coverage still lags behind other G-Sibs
RNIV charges account for big chunk of Swiss banks’ capital
At UBS, 37.5% of its market risk capital requirement was for risks-not-in-VAR
Over three years, credit risk has built up at Swiss banks
Credit Suisse has also reduced the portion of its credit RWAs calculated using internal models
State Street, UBS and TD Group incur VAR breaches
Backtesting exceptions cause TD Group's and State Street's market risk capital charge multipliers to climb
Natixis defers €120 million of trade profits in H1
French bank builds valuation reserve by 41% year-on-year