NatWest’s market RWAs up 8% on higher VAR multiplier

Bank incurred regulatory backtesting exceptions amid heightened market volatility

NatWest Group’s market risk-weighted assets (RWAs) rose 8% during the first quarter, after the bank’s trading arm was hit with a higher capital charge multiplier.

RWAs under the internal model approach (IMA) climbed 5% to £7.2 billion ($9.01 billion) for the period, the result of the value-at-risk and stressed VAR multiplier ratcheting up due to new backtesting exceptions.

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The VAR breaches occurred at subsidiary NatWest Markets, where about 95% of the group’s market risk sits. The

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