Barclays’ modelled RWAs jump 71%

SVAR pinned to Covid-19 panic drives latest quarterly increase

Barclays’ internally modelled market risk-weighted assets (RWAs) jumped 71% to £27.4 billion ($36.7 billion) in the last quarter of 2021, as the incorporation of data from the pandemic’s tumultuous early days compounded a tilt towards higher book risk.

RWAs stemming from stressed value-at-risk (SVAR) – which simulates trading book losses against a historical period of financial stress – jumped £6.9 billion after the model was recalibrated to cover 2020’s Covid-19 market panic. At the time of

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