PRA’s model clampdown costs NatWest 157bp of CET1 ratio
Measures to remedy internal model deficiencies added £14.8 billion RWAs overnight
Stricter UK mortgage risk-weight rules that kicked in on January 1 lopped 157 basis points off NatWest Group’s Common Equity Tier 1 (CET1) ratio, inflating risk-weighted assets (RWAs) by £14.8 billion ($19.5 billion).
New constraints from the Prudential Regulation Authority (PRA) include recalibrated loss-risk parameters and a minimum 10% exposure-weighted risk-weight for the UK residential mortgage portfolio. The measures apply to all UK banks.
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