Question

What is the contribution to the asset base of the following items under the Baselul requirements? (Leave no ce - be certain to enter to wherever required. Enter your answers in dollars not in ons.) blank ence a. $9 million cash reserves. b. $48 million 91-day U.S. Treasury bills. c. $24 million cash items in the process of collection. d. $5 million UK government bonds, OECD CRD rated 1. e $5 million French short-term government bonds, OECO CRD rated 2 1 $2 million general obligation bonds. 9. $20 million repurchase agreements (against U.S. Treasurles). h. $4 million loan to foreign bank, OECD rated 3. L $480 million 14 family home mortgages, category 1. loan-to-value ratio 80% $9 million 14 family home mortgages, category 2, loan-to-value ratio 95% K. $5 million 1-4 family home mortgages, 100 days past due. L $480 million commercial and Industrial loans, AAA-rated. m. $480 million commercial and industrial loans, B-rated. n. $200,000 performance-related standby letters of credit to a AAA-rated corporation o. $200,000 performance related standby letters of credit to a municipality issuing general obligation bonds. p. $9 million commercial letter of credit to a foreign bank, OECD CRC rated 2. q. $3 million five-year loan commitment to a foreign government, OECD CRC rated 1. $9 million bankers' acceptance conveyed to a US. AA-rated corporation S. $17 million three-year loan commitment to a private agent. t $17 million three-month loan commitment to a private agent u. $34 million standby letter of credit to back an A-rated corporate issue of commercial paper. . $7 million five year interest rate swap with no current exposure. W. $3 million two-year currency swap with $200,000 current exposure.

Answer 1

Risk Credit Equivalent amount Basle III Asset Vale (figure in million) 0% 4.80 (24m*20%) 0% 20% 0% 20% 20% 20% 50% 50% 200% 150% 100% 100% 100% 20% 20% 0% 100% 100% 100% 100% 100% 100% 50% 50% 20% 50% 20% 50% 20% 100% 5% 5% 1.00 (5m*20%) 0.40 (2m*20%) 4.00 (20m*20%) 2.00 (4m*50%) 240.00 (480m*50%) 18.00 (9m*200%) 7.50 (5m*150%) 480.00 (480m*100%) 480.00 (480m*100%) 0.10 (0.2m*100*50%) 0.02 (0.2m*20*50%) 0.36 (9m*20*20%) (3m*0%*50%) 1.80 (9m*100*20%) 8.50 (17m*100*50%) 3.40 (17m*100*20%) 34.00 (34m*100*100%) (7m*100*5%) 0.35 (0.2m+(3m*100%*5%) 0.35 Please let me know if you have any doubt.