Australian banks’ charges for rates risk soar 66% in Q1

- By Lorenzo Migliorato
- 13 May 2022

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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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