Commerzbank wager swells UniCredit’s IMA RWAs by 62.5%
Total return swaps on German shares inflate VAR and SVAR components
The derivatives UniCredit used to discreetly build a stake in Commerzbank have inflated the Italian bank’s market risk gauges, lifting model-based capital charges by 62.5% in the third quarter.
Market risk-weighted assets (RWAs) calculated under the internal models approach (IMA) reached €4.5 billion ($4.8 billion) as of the end of September, up from €2.8 billion at end-June.
According to the bank, the increase stemmed mostly from positions underpinning “strategic investments” – a term it
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