VAR breaches push NatWest Markets’ RWAs higher
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
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