NatWest gets VAR model approval as transition from Libor continues
The updated model is expected to reverse a £1.5bn increase in markets RWAs next quarter
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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NatWest’s market RWAs stood at £10.9 billion at end-June, up from £9.4 billion at end-December.
The bank’s average interest rate VAR rose to £11.3
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