Standardised approach extends reach over US banks’ credit and market risk
Gap between standardised and advanced RWAs at its widest ever for BofA, BNY Mellon, Morgan Stanley and Wells Fargo
Standardised and modelled risk-weighted assets (RWAs) at six systemic US banks diverged sharply in the first quarter of the year, pushing Bank of America, BNY Mellon, Morgan Stanley and Wells Fargo the farthest they have ever been from escaping the so-called Collins floor, Risk Quantum analysis shows.
Since 2015, US banks that use the advanced approaches to weight exposures must also calculate RWAs under the regulator-set standardised approach. If modelled RWAs are below 100% of standardised
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