Natixis’s market RWAs grew 49% over Q2
Average VAR spiked to €18 million over Q2
French bank Natixis saw its market risk-weighted assets (RWAs) hit €18.2 billion ($21.4 billion) over Q2, up from just €12.2 billion at end-March, the result of surging risk-of-loss estimates for its trading book and a portfolio of trades supposed to offset the earnings-sapping effects of derivatives valuation adjustments.
Total RWAs amounted to €103.3 billion at end-June, up 3% quarter-on-quarter. In contrast to market RWAs, credit RWAs decreased 2% to €63 billion and counterparty credit RWAs
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