Apra’s overlay pushes CBA’s market RWAs up 30%

Market risk is at the highest level since Q4 2020

Commonwealth Bank of Australia (CBA) saw its market risk capital charge rise 33% in the fourth quarter driven largely by an add-on linked to its risks-not-in-VAR (RNIV) framework currently under review.

The Australian Prudential Regulation Authority (Apra) imposed a A$2.5 billion ($1.8 billion) overlay on the bank “to be held until modelling work is completed”. 

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