Commerzbank’s rate-shock loss sensitivity rises 33%

Bank’s liabilities modelled to reprice faster than assets in a 200bp parallel hike scenario

Commerzbank’s loss sensitivity to an upward interest rate shock widened 33% in the third quarter, a sign the bank’s liabilities were increasingly informed by yield-curve developments.

The lender modelled a €2.7 billion ($2.9 billion) drop in the present value of its end-September balance sheet should yields across all maturities instantaneously rise 200 basis points, compared with €2 billion at end-June.

!function(e,n,i,s){var d="InfogramEmbeds";var o=e.getElementsByTagName(n)[0];if(window[d]

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