NatWest gets VAR model approval as transition from Libor continues

- By Joasia E. Popowicz
- @joasiaepopowicz
- 30 Jul 2021

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NatWest has obtained regulatory approval to update its value-at-risk model and reverse a £1.5 billion ($2.1 billion) increase in market risk-weighted assets (RWAs) in the first half of the year linked to the transition from Libor to Sonia.

The bank expects the updated model to remove the RWA increase in the third quarter of the year.

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