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,

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