Commerz’s market RWAs up 9% on EBA technical update

Updated list of closely correlated currencies removes lower fund requirements from 197 pairs

A technical update from the European Banking Authority on how to calculate capital requirements for foreign exchange risk triggered a €700 million ($763 million) increase in Commerzbank’s market risk-weighted assets in Q2.

On June 9, the EBA updated the list of so-called closely correlated currencies, reducing the number of pairs subject to a 4% capital charge instead of the standardised 8%.

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