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

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 copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

Most read articles loading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here