RAROC profiles and pricing benchmarks for 7 United States banks, sourced from Pillar 3 disclosures.
OpenRAROC tracks 7 banks headquartered in United States with a combined corporate credit exposure of EUR 7.7tn. The average United States bank in our dataset has a cost-to-income ratio of 61.6% and an average corporate probability of default of 0.97%. On a representative BBB+ EUR 25M 5-year term loan, these banks generate an average RAROC of 7.65%.
On the standard sample deal, JP Morgan is the cheapest lender in United States, requiring just 231bp to hit a 12% RAROC hurdle. The most expensive is Citibank at 249bp — a difference of 18bp on the same deal. For a EUR 25M facility, that's EUR 45,297 per year in interest expense.
RAROC computed on a representative BBB+ rated, 5-year, EUR 25M term loan at 150bp spread. Click any bank for its full profile.
| # | Bank | C/I | Avg PD | LGD | EAD | RAROC | Min spread |
|---|---|---|---|---|---|---|---|
| 1 | JP Morgan | 52.0% | 1.20% | 35.0% | EUR 1.3tn | 8.12% | 231bp |
| 2 | BNY Mellon | 68.0% | 0.21% | 31.3% | EUR 391bn | 7.85% | 239bp |
| 3 | Bank of America | 60.0% | 0.73% | 27.5% | EUR 2.1tn | 7.67% | 243bp |
| 4 | Wells Fargo | 61.0% | 1.03% | 23.2% | EUR 1.2tn | 7.67% | 243bp |
| 5 | Citibank | 65.0% | 1.21% | 36.6% | EUR 1.3tn | 7.40% | 249bp |
| 6 | Goldman Sachs | 60.0% | 1.44% | 32.5% | EUR 823bn | 7.40% | 249bp |
| 7 | Morgan Stanley | 65.0% | 0.94% | 43.1% | EUR 578bn | 7.40% | 249bp |
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