NAB model change boosts mortgage RWAs

A change to National Australia Bank’s (NAB) internal ratings-based approach (IRB) model resulted in higher risk-weighted assets for residential mortgages compared with one year ago.

Credit RWAs for residential mortgages jumped A$10.6 billion, ($8 billion) or 11.5%, to A$102.5 billion in the year to the end of March. Total mortgage exposures, however, grew only 4.1% over the same period. The bank said the outsized RWA uplift was the result of a model update.  

The increase drove total credit

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 [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

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: