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
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 print this content. Please contact [email protected] to find out more.
You are currently unable to copy this content. Please contact [email protected] to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
More on Risk Quantum
7 days in 60 seconds
Autocallables, Mifexit and the value of HFT
The week on Risk.net, September 19-25, 2020
Receive this by email