Modelled RWAs diverge further from standardised at BNY Mellon
Gap grows to highest since 2019, pushing bank high above Collins floor
BNY Mellon saw the gap between its internal model-calculated risk-weighted assets (RWAs) and those generated under the regulator-set standardised approach widen by 67% in the second quarter to its highest level since Q4 2019.
Modelled RWAs rose by $744 million to $163.7 billion at end-June, while standardised RWAs dropped $3 billion to $154.4 billion.
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Since 2015, US banks that use the advanced approach to weight exposures must also calculate RWAs under the regulator-set standardised
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