Australian banks’ charges for rates risk soar 66% in Q1
Sudden rise in longer swap tenors eats into equity generation potential
Capital charges to cover interest rate risk in the banking book (IRRBB) at the top four Australian dealers soared in the first quarter as a steepening yield curve eroded the banks’ capital-generating potential.
Across ANZ, Commonwealth Bank of Australia, National Australia Bank and Westpac, risk-weighted assets (RWAs) for IRRBB totalled A$127.9 billion ($98 billion) as of end-March, up 67%
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 info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Risk Quantum
AOCI reinclusion would strip $49.5bn from US bank capital
Schwab, Ally and Fifth Third face largest CET1 hits under Fed Basel III endgame proposal
HSBC, Mizuho, US Bancorp ensnared by endgame CVA rule
Notional-based backstop leaves most banks exempt from capitalising non-cleared trades
G-Sib overhaul could trim future capital needs by $45.2bn
Morgan Stanley, Goldman and BNY set to benefit most from Fed Basel III endgame proposal
Ice CDS volumes surge as investors hedge Iran shock
Single-name volumes outpace indexes as investors target specific risks
Oil clearing volumes surge at Ice, CME
Ice Europe nears Brent clearing record midway through March
Oil producers hedge rally with Brent shorts
Energy firms hedge oil spike as funds position for further gains
Methodology change drives Eurex liquidity obligation to record
Limiting offsets to private-sector securities pushes estimated hypothetical obligation up 79%
FCMs held record customer funds on eve of Iran war
F&O funds climbed 6% in February as seven brokers set new records
