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.

  //

 

The drop was driven

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 [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] 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

If you already have an account, please sign in here.

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: