Loss of ruble volatility waiver costs UniCredit €2.2bn in RWAs

Lender forced to capitalise FX risk from Russian operations after ECB withdraws key exemption

UniCredit absorbed €2.2 billion ($2.4 billion) in new market risk charges in the third quarter, after it lost permission to ignore how the ruble’s volatility affects the net value of its Russian operations.

Standardised market risk-weighted assets (RWAs) surged 63% to €5.7 billion, the highest figure reported by the bank since at least Q3 2016, when comparable disclosures first became available.

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