Five US banks below Collins floor
Morgan Stanley, JP Morgan, Citigroup, State Street and Wells Fargo had higher standardised RWAs than modelled RWAs
Five of the largest US banks are below the so-called Collins floor, meaning their modelled risk-weighted assets (RWAs) are lower in value than those calculated by regulator-set standardised approaches.
A Risk Quantum analysis across the eight US global systemically important banks (G-Sibs), shows that Morgan Stanley, JP Morgan, Citigroup, State Street and Wells Fargo had higher standardised RWAs than modelled RWAs as of the first quarter 2018.
Morgan Stanley’s standardised RWAs exceeded its
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