New climate inputs upset Commerz’s loan risk map
Integration of sustainability parameters into provision models shifts €16 billion of loans to stage 2
Loans flagged for heightened default risk at Commerzbank jumped by 46.9% in the third quarter, owing largely to the integration of climate and environmental factors into allowance modelling.
Loans tagged as stage 2 increased €19.6 billion ($20.7 billion), around €16 billion of which was blamed on transfers from stage 1 due to the new sustainability-related inputs. Under IFRS 9 accounting standards, stage 2 loans are those that have deteriorated since origination, while stage 1 loans are fully
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