RWA Calculation Engine
Credit, market, operational and CVA risk-weighted assets under IRB and standardised approaches
Total RWA (Group)
£151.7B
Credit RWA
£98.4B
Market + CVA RWA
£30.5B
Model Overrides Pending
1
| Risk Type | Approach | Entity | RWA | Status |
|---|---|---|---|---|
| Credit Risk | IRB Advanced | Meridian Bank UK plc | £74.2B | Current |
| Credit Risk | Standardised | Meridian Capital Markets Ltd | £24.2B | Current |
| Market Risk | FRTB SA | Meridian Capital Markets Ltd | £15.1B | Current |
| Market Risk | FRTB IMA | Meridian Capital Markets Ltd | £6.5B | Pending Review |
| Operational Risk | SMA | Group Consolidated | £22.8B | Current |
| CVA Risk | Standardised CVA | Meridian Capital Markets Ltd | £8.9B | Current |
About This Agent
Data on This Page
RWA broken out by risk type (credit, market, operational, CVA), calculation approach (IRB Advanced, Standardised, FRTB SA/IMA, SMA) and legal entity, with a per-line current/pending-review status. Stat tiles roll up group RWA (£151.7B), credit RWA (£98.4B), combined market and CVA RWA (£30.5B), and outstanding model overrides.
What This Agent Does
Recalculates risk-weighted assets nightly (and on-demand) across every risk type and entity, applying the correct regulatory approach per portfolio, flags rating migrations and model overrides needing sign-off, and feeds the resulting RWA figures directly into the Capital Adequacy agent's ratio calculations.
Worked Examples
- Credit Risk IRB Advanced RWA rose to £74.2B after a ratings migration moved £1.1B of corporate exposure from investment to sub-investment grade.
- FRTB IMA market RWA of £6.5B is flagged pending review after last week's P&L attribution test showed a red-zone breach in the rates desk.
- CVA RWA of £8.9B reflects a new counterparty netting set added for a cleared derivatives client onboarded this month.