City Of London
NatWest Traders Hit ‘Red Zone’ After Risk Model Failures
- Firm’s theoretical daily trading losses exceeded limit in 2022
- The bank has proposed changing its risk models to the PRA
A bus passes NatWest Group Plc offices in London, UK
Photographer: Luke MacGregor/BloombergThis article is for subscribers only.
NatWest Group Plc has proposed changing its risk models after suffering a string of unexpected theoretical losses that left its trading unit in the regulatory “red zone.”
NatWest Markets Plc’s models used to calculate the amount of capital required for its trading book were exceeded on 16 days in 2022, and saw theoretical trading losses that were larger than expected on 10 days, according to recent company filings. This was more than allowed by financial supervisors.