VAR model update cuts NatWest’s market RWAs by 26%

- By Joasia E. Popowicz
- @joasiaepopowicz
- 29 Oct 2021

Tweet
Facebook
LinkedIn
Save this article
Send to
Print this page

Following regulatory green light, a value-at-risk model update triggered a fall in NatWest’s market risk-weighted assets (RWAs), from £10.9 billion ($15 billion) to £8 billion in Q3.

In June, NatWest reported that the transition from Libor to Sonia had added £1.5 billion in market RWAs in the first half of the year, as a result of a rise in tenor basis risk in sterling flow trading. The bank applied for a VAR model update to offset the impact, but the latest figures show the £2.9 billion

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to print this content. Please contact info@risk.net to find out more.

You are currently unable to copy this content. Please contact info@risk.net to find out more.

As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.

If you would like to purchase additional rights please email info@risk.net

You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.

If you would like to purchase additional rights please email info@risk.net