Volatility drives up NatWest’s market RWAs despite IMA efficiencies
Higher VAR and SVAR readings overshadow £373 million saving from broader modelling scope
NatWest Group’s modelled market risk-weighted assets (RWAs) climbed £514 million ($668 million) during the third quarter, as persistent interest rate volatility offset benefits gained from an expansion of the internal model approach’s (IMA) remit.
Following regulatory approval to extend the IMA to more products, the bank compressed RWAs by £373 million on an end-quarter basis. However, these savings fell short of counteracting higher average value-at-risk and stressed VAR readings throughout the
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