UBS cuts liquidity valuation adjustments to record low

Bank lowered bid-offer fair value discount to reflect current levels of market liquidity

UBS applied a $293 million negative liquidity valuation adjustment (LVA) to its balance sheet in the third quarter, down 10% from three months prior and the smallest such adjustment in almost nine years of publicly available disclosures.

At end-September, LVAs accounted for 32% of total valuation adjustments (XVAs) to the mark-to-market book – excluding own credit adjustments to fair-value liabilities – down from 36% at end-June.

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