The Pensions Regulator said that pension plan trustees should also review other risks to retirement savings linked to the conflict, including the possibility of factors that jeopardize the financial commitments of scheme sponsors.
The warning comes as many major U.K. pension schemes announced they are getting rid of Russian assets following the country's invasion of Ukraine almost two weeks ago.
"We expect you to be vigilant and talk to your advisers about any action which you may need to take, depending on your scheme's investment, risk management or employer covenant exposures," the regulator said on Friday. "You should also take steps to consider any action you may need to take — including in relation to investments — to align with sanctions announced by the U.K. government."
Britain has issued sanctions against more than 100 Russian businesses and individuals connected to the Kremlin, with measures ranging from asset freezes to travel bans.
It has also banned transactions with Russia's central bank, and prohibited Russian state and large private companies from raising sovereign debt in the U.K.
U.K. pension plans linked to Transport for London and telecoms company BT said last week that they were selling off Russian assets, as have providers including Legal & General and Abrdn — formerly Standard Life Aberdeen.
The country's largest pension scheme, the Universities Superannuation Scheme, said it will seek to offload the remaining 0.5% share of its approximately £90 billion ($120 billion) portfolio that is linked to Russian assets.
And the £57 billion BT Pension Scheme said it had offloaded £162 million of Russian assets between December and the end of February.
The Pensions Regulator said that retirement schemes should take a cautious approach to wider volatility in the market rather than making "hasty, uninformed decisions.
"While volatility can be concerning for schemes and savers, markets go up and down, and it is important that both trustees and savers have the longer term in mind," the watchdog added.
--Editing by Ed Harris.
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