Market volatility weighs on UBS
Higher VAR and SVAR charges lifted market RWAs by $2.9bn in Q1
UBS’s market risk-weighted assets (RWAs) shot up 25% to $13.9 billion in the first quarter, as choppier trading conditions pushed up trading risk gauges.
The bank's market RWAs – 96% of which are assessed under the internal model approach (IMA) – were inflated by higher regulatory value-at-risk and stressed VAR (SVAR) components, which rose 52% to $4.4 billion and 25% to $7.3 billion, respectively.
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Regulatory add-ons linked to updates to the bank’s risks-not-in-VAR (RNIV) estimation
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