BAML approaches Collins floor

The gap between RWAs calculated under the two approaches continues to shrink

Bank of America Merrill Lynch (BAML) edged closer to the so-called Collins floor in the first quarter, as its internal model-calculated risk-weighted assets (RWAs) sank towards the level generated by regulator-set standardised approaches.

BAML cut its modelled RWAs – the so-called advanced approaches – by $40 billion, or 2.7%, from $1.498 trillion to $1.458 trillion in the year to March 31. The bank said this was largely due to a reduction in consumer credit and legacy mortgages.

In contrast

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