CBA’s IRRBB charge up 37% in volatile Q4

Volatility in Australian dollar swap rates the culprit for the increase

Commonwealth Bank of Australia (CBA) saw charges to cover interest rate risk in the banking book (IRRBB) balloon 37% in the fourth quarter of 2021, as resurgent volatility played havoc on its equity hedge portfolio.

Risk-weighted assets (RWAs) for IRRBB – an Australia-specific charge that seeks to capture rate swings’ impact on the non-trading book – hit A$24.4 billion ($17.5 billion) at end-December, up by A$6.6 billion in three months.

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