UBS saw capital charges for settlement risk balloon by 238% in the first quarter, as sanctions on Russian counterparties threw a swath of transactions into disarray.
Risk-weighted assets (RWAs) for settlement risk rose from $393 million at end-December to $1.3 billion at end-March – the highest since at least Q4 2016, when standardised disclosures were first implemented, and almost 11% higher than the spike caused by the Covid-19 outbreak in Q1 2020.
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