Lloyds’ IMA RWAs up 43% in run-up to Ibor switch
VAR multiplier and RNIV charges rose in 2021 on account of transition risk
Lloyds Banking Group’s modelled market risk-weighted assets (RWAs) inflated by 43% to £2.8 billion ($3.7 billion) over the course of 2021, largely the result of adapting models for the post-Libor era.
During the year, the multiplier used to translate value-at-risk readings into RWAs ratcheted up from 3x to 3.5x at the ring-fenced bank and to 3.9x at the investment bank, which Lloyds partly attributed to “Ibor-related activities”.
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