Internal model revamp adds €3.2bn to Commerz’s CCR RWAs in Q2
IMM update drove most of 37.8% increase in total CCR RWAs
Commerzbank saw risk-weighted assets (RWAs) for counterparty credit risk jump 37.8% in the second quarter, as it revamped the proprietary model underpinning most of its CCR book.
CCR RWAs climbed from €10.8 billion ($12.8 billion) to €14.9 billion in the period. Commerzbank said it adopted a new internal model method (IMM) during the quarter, which added €3.2 billion to RWAs computed in-house. These totalled €8.4 billion at end-June, or 56% of total CCR RWAs, compared with €5.5 billion, or 50.9
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