NatWest cuts banking book market risk by 48%

Lower credit spread risk from bond disposals partly offset by interest rate risk on hedges

NatWest Group managed to cut structural market risk by 48% in the first six months of the year, as reduced credit spread risk more than offset increases from the equity and interest rate components.

One-day non-traded value-at-risk (VAR) fell from £101.4 million ($123.5 million) at end-2021 to £53 million at end-June. This quantifies the maximum potential hit to the banking book and income line from adverse market moves and is used for internal management purposes.

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