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.

  !function(e,i,n,s){var t="InfogramEmbeds",d=e

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 copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

Most read articles loading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here