RAROC profile and corporate credit pricing model derived from Pillar 3 disclosures.
BNY Mellon is a United States-based bank with approximately EUR 391bn of corporate credit exposure (EAD) under the A-IRB approach to credit risk capital. The numbers below come directly from BNY Mellon's most recent Pillar 3 CR6 regulatory filings and are used to model how this bank prices corporate credit facilities.
BNY Mellon is mid-sized by corporate EAD (25 of 59). Its cost-to-income ratio of 68.0% is heavier than the cross-bank median (+18.2pp vs the 59-bank cross-section average of 49.8%). The corporate portfolio is investment-grade-dominated, with an EAD-weighted average PD of 0.2% against a cross-bank average of 2.1%.
Because the bank runs the advanced IRB approach, its own LGD and credit-conversion models drive capital requirements, which on our comparable sample deal typically produces tighter minimum spreads than foundation-IRB peers with identical obligor risk. Unsecured LGD disclosed at 31.3% is -5.6pp against the 36.8% cross-bank average, indicating recovery assumptions that are more favourable than the peer median — often a feature of senior-unsecured lending to large investment-grade obligors.
On the standardised BBB+ EUR 25M 5-year term loan used across every bank profile, BNY Mellon lands in the top half of the pricing ranking (#11 of 59), with a RAROC of 7.85% and a minimum spread of 239bp to reach the 12% hurdle. Within United States specifically, the bank ranks #2 of 7 on this same calculation.
| Parameter | Value | What it means |
|---|---|---|
| IRB approach | A-IRB | How the bank computes risk-weighted assets |
| Cost-to-income ratio | 68.0% | Operating cost share of net revenue |
| Effective tax rate | 24.0% | Applied to RAROC numerator after EL and funding |
| Average corporate PD | 0.21% | EAD-weighted probability of default |
| Avg LGD (unsecured) | 31.3% | Loss share if borrower defaults, no collateral |
| Avg LGD (secured) | 20.0% | Loss share with eligible collateral |
| Funding spread | 10bp | Bank's wholesale funding cost above risk-free |
| Corporate EAD | EUR 391bn | Total exposure at default to corporates |
On a representative BBB+ rated, 5-year term loan of EUR 25M at 150bp spread with a 20bp commitment fee, BNY Mellon would generate an estimated RAROC of 7.85% against a typical 12% bank hurdle rate. To hit that hurdle on this exact deal, the bank would need a minimum spread of 239bp. This deal is significantly below target — the bank would either reprice it or decline.
| Component | Value |
|---|---|
| Annual revenue (spread + fees) | EUR 385,000 |
| Operating cost | EUR 154,000 |
| Expected loss (PD × LGD × EAD) | EUR 28,750 |
| Capital required (FPE) | EUR 2,451,320 |
| RAROC (after tax) | 7.85% |
| Min spread to hit 12% RAROC | 239bp |
Out of 59 banks in the OpenRAROC dataset, BNY Mellon ranks #11 by RAROC on this sample deal.
| Rank | Bank | Country | RAROC | Min spread |
|---|---|---|---|---|
| 1 | Qatar National Bank | Qatar | 9.00% | 203bp |
| 2 | DBS Group | Singapore | 8.18% | 224bp |
| 3 | JP Morgan | United States | 8.12% | 231bp |
| 4 | ICBC | China | 8.06% | 233bp |
| 5 | China Construction Bank | China | 8.06% | 233bp |
| 10 | DNB | Norway | 7.87% | 236bp |
| 11 | BNY Mellon | United States | 7.85% | 239bp |
| 12 | Nordea | Finland | 7.73% | 241bp |
Upload a CSV of your existing facilities and OpenRAROC will run the same calculation against BNY Mellon (and 58 other banks) to show you who's overcharging you and which bank should price your next deal.
Open the calculatorFree RAROC calculator. Upload your portfolio. See who prices your facilities best.
Open OpenRAROC