VAR breaches push NatWest Markets’ RWAs higher

Tweet
Facebook
LinkedIn
Save this article
Send to
Print this page

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

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

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

You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/

If you would like to purchase additional rights please email [email protected]

You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/

If you would like to purchase additional rights please email [email protected]