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% quarter on quarter and 190% year on year. The Australian Prudential Regulation Authority (Apra) requires

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