Finma cools off UBS’s VAR model overhaul
Estimated $1.3bn RWA benefit temporarily offset by regulatory add-on
Capital benefits stemming from an update to UBS’s value-at-risk model in the last quarter of 2022 were dampened by an add-on imposed by the Financial Market Supervisory Authority (Finma).
The Swiss bank said an update to its trading risk gauges reduced the risk-weighted asset (RWA) output by $1.3 billion. But a temporary $1.2 billion overlay was applied by the watchdog until UBS finalises the model overhaul.
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The add-on will be replaced at an unspecified point in 2023, after the bank
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