VAR model update cuts NatWest’s market RWAs by 26%
Market RWAs fell from £10.9 billion to £8 billion in Q3 following regulatory approval for a VAR update linked to Libor cessation
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
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