Trading VAR at UBS peaked after Archegos blow-up
Swiss bank still posted a fall in market RWAs quarter on quarter
UBS’s value-at-risk hit its highest level in at least four years in the first quarter, around the same time the Swiss bank’s prime brokerage was burnt by the implosion of family office Archegos Capital Management.
The bank’s management VAR – its own measure of how much it has to lose from market swings on a given day – peaked at $36 million on one day in Q1, superseding the Q1 2020 peak of $31 million, when the coronavirus crisis first hit markets. The bank took a $774 million loss in Q1 as it
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