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.
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