Citi, BNY Mellon escape Collins floor
Both banks return above the threshold after just two quarters
Internally modelled risk-weighted assets (RWAs) at Citi and BNY Mellon rose above RWAs calculated using the regulator-set standardised approach in the second quarter, allowing the banks to escape the so-called Collins floor.
Since 2015, US banks that use the advanced approaches to weight exposures must also calculate RWAs under the standardised approach. If modelled RWAs are below 100% of standardised RWAs, the bank must capitalise according to the latter methodology.
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