VAR breaches push NatWest Markets’ RWAs higher
Turbulence in rates behind higher market risk charges
NatWest Markets (NWM), the trading arm of UK bank RBS, saw its market risk capital charge surge £72 million ($93 million) in the third quarter of this year, on the back of value-at-risk backtesting exceptions and interest rates volatility.
The division’s market risk-weighted assets hit £13.3 billion in Q3 2019, up from £12.4 billion in the prior quarter and partially reversing three consecutive quarters of declines. This translates to a market risk capital charge of £1.1 billion.
RBS said the
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