BAML drops below Collins floor
BAML becomes the sixth big US bank to report higher standardised RWAs than modelled RWAs
Bank of America Merrill Lynch fell below the so-called Collins floor in the second quarter of 2018, meaning its modelled risk-weighted assets (RWAs) were lower in value than those calculated by regulator-set standardised approaches.
BAML cut its modelled RWAs – those calculated using the advanced approach under regulatory rules – by $20 billion (1.4%), from $1.457 trillion to $1.437 trillion, in the three months to June 30.
RWAs calculated under the standardised approach also decreased, albeit
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