Risk Quantum/Commonwealth Bank of Australia (CBA)
CBA’s SFT exposures balloon 50% during H2 2023
Surge in repos and similar transactions puts lender only behind NAB among Aussie dealers
Japan banks’ LCRs pull back for 4th quarter in a row
Rise in net cash outflows remains sustained as HQLAs hit plateau
Aussie banks slash quasi-HQLAs by 27%
Lenders told to cut reliance on central bank repos for liquidity coverage amid a glut of government debt
Westpac’s IRRBB charges rose faster than peers’ in Q2
Over 9% of bank’s total RWAs linked to interest rate risk, up from 6% three months earlier
Danske, Deutsche and PNC pin SVAR to Covid-19
Most global banks continue to use the global financial crisis to stress-test their portfolios
Australian banks’ charges for rates risk soar 66% in Q1
Sudden rise in longer swap tenors eats into equity generation potential
CBA sees minimum CET1 up 225bp under Basel III
Apra’s review of the country’s capital framework leaves less wiggle room from January 2023
CBA’s IRRBB charge up 37% in volatile Q4
Volatility in Australian dollar swap rates the culprit for the increase
Apra’s overlay pushes CBA’s market RWAs up 30%
Market risk is at the highest level since Q4 2020