Aussie banks crush IRRBB capital charges

Model upgrades and exposure-reducing efforts wiped millions of dollars off the ‘Big Four’ Australian banks’ capital requirement for interest rate risk in the banking book (IRRBB) in the year to end-March.

The Commonwealth Bank of Australia achieved the greatest savings of the four, reducing IRRBB risk-weighted assets (RWA) to A$11.7 billion ($8.1 billion) from A$25.3 billion in the year-ago quarter – a reduction of 54%. Quarter-on-quarter, the RWA cut was 16%. Its IRRBB capital charge,

To continue reading...

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: