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.

  //

 

The discount, which the Swiss dealer applies to fair

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

If you already have an account, please sign in here.

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: