UBS incurred a VAR breach in Q4

The latest larger-than-expected loss – the fourth in 2021 – leaves the bank one step closer to higher capital requirements

UBS incurred its fourth value-at-risk backtesting exception of 2021 in the last quarter of the year, putting the bank one step closer to attract higher capital requirements.

The latest regulatory VAR breach builds on two exceptions in Q2 and one in Q1. Under Swiss rules, a fifth breach in a 12-month period triggers a hike in the multiplier applied to VAR readings to determine capital requirements, which in UBS’s case currently sits at the base 3x.

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