NatWest securitisation RWAs hit record high in Q2
Higher amounts of significant risk transfers originated by the bank behind latest increase
NatWest Group’s risk-weighted assets (RWAs) stemming from securitisation exposures not in the trading book rose by 14.3% in the second quarter, reaching their highest level since at least 2016.
As of June 30, the bank’s securitisation RWAs totalled £4.4 billion ($5.6 billion). The increase was driven primarily by securitisation exposures assessed under the internal ratings-based approach (SEC-IRBA), which nearly doubled to £1.1 billion, marking the most since the bank adopted the methodology in
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