Risk Quantum/UBS
Stock slump dents income, hikes VAR by 22% at UBS
Income from equity derivatives trading plummeted $47 million quarter-on-quarter
FBOs get smaller, simpler and easier to resolve
Foreign bank IHCs have shrunk between 16% and 41% since Q3 2016
Model tweaks, loan growth lift Swiss bank credit RWAs
Credit RWAs grow Sfr26 billion at Credit Suisse and UBS year to year
Cross-border risks drive European G-Sib scores
Basel method shows cross-jurisdictional activity makes up 30.8% of banks’ total G-Sib scores
US ‘transfer restrictions’ take a bite out of UBS’s LCR
Overseas subsidiaries are holding more HQLA to meet local liquidity requirements
Swiss banks’ market risk drops by $12 billion
Lower risk levels drive quarter to quarter fall
European banks blitz non-modelled credit risks
Across 14 G-Sibs, IRB assets fell 10% over three years, while standardised assets dropped 20%
Model revamp hikes UBS credit RWAs
Calculation tweaks made to scrap higher regulatory RWA multipliers
Societe Generale defers €1.35 billion of trade profits
French dealer holds back far more than rival dealers
US foreign bank rules sap UBS liquidity buffer
HQLA fell Sfr2 billion in the second quarter, down 17% since US IHC formed
VAR cut helps shrink UBS market RWAs
Average management VAR falls Sfr10 billion
UBS far exceeds 2018 credit and counterparty risk estimate
Sfr2.4 billion growth attributed to model changes alone
Foreign bank IHCs shed US assets in 2017
Barclays, Credit Suisse and Deutsche Bank shrunk balance sheets by $166 billion