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”.

  !function(e,i,n,s){var t="InfogramEmbeds",d=e

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

Most read articles loading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here