Market risk-weighted assets (RWAs) leapt higher at Barclays and Standard Chartered in the first quarter, though not as much as they would have done without the targeted relief granted by the UK’s Prudential Regulation Authority (PRA).

Market RWAs, as calculated under the internal models approach (IMA), jumped 36% to £24.2 billion at Barclays over the first three months of the year, and 6% to $12.1 billion at Standard Chartered. Standardised approach market RWAs increased 9% at Barclays to £14.2 billion and 4% at StanChart to$9.8 billion.

The IMA component of each bank’s market RWAs were pushed higher by value-at-risk (VAR) and stressed VAR (SVAR) requirements, reflecting the tumultuous trading conditions that characterised Q1 and a ramp up of client activity. The VAR-based requirement increased 33% at Barclays quarter-on-quarter and 80% at StanChart, while their SVAR-based requirements climbed 44% and 28%, respectively.

These RWA uplifts were offset slightly at each bank by deductions to their risks-not-in-VAR (RNIV) requirements. RWAs included in this category reflect hard-to-model trading risks. On March 30, the PRA allowed banks to cancel out increases to their VAR- and SVAR-based measures, caused by model backtesting exceptions, by taking an equivalent amount out of their RNIV requirements.