RBS model change loads on credit RWAs

Changes to loss given default models cost RBS £4.6 billion ($6.3 billion) in higher credit risk-weighted assets in the first three months of the year.

Revisions to LGD models for UK mid-corporate and quasi-government portfolios pushed credit RWAs 0.5% higher to £145.4 billion quarter-on-quarter. This was partially offset by some changes to the size and composition of the bank’s book, as well as changes due to acquisitions and disposals of portfolios and exposures, mainly in the mortgages

To continue reading...

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: