What is the contribution to the credit riskadjusted asset base of the following items under the Basel
Question:
What is the contribution to the credit risk–adjusted asset base of the following items under the Basel III requirements?
a. $10 million cash reserves.
b. $50 million 91-day U.S. Treasury bills.
c. $25 million cash items in the process of collection.
d. $5 million U.K. government bonds, OECD CRC rated 1.
e. $5 million French short-term government bonds, OECD CRC rated 2.
f. $1 million general obligation municipal bonds.
g. $40 million repurchase agreements (against U.S. Treasuries).
h. $2 million loan to foreign banks, OECD CRC rated 3.
i. $500 million 1–4-family home mortgages, category 1, loan-to-value ratio 80%.
j. $10 million 1–4-family home mortgages, category 2, loan-to-value ratio 95%.
k. $5 million 1–4-family home mortgages, 100 days past due.
l. $500 million commercial and industrial loans, AAA rated.
m. $500 million commercial and industrial loans, B-rated.
n. $100,000 performance-related standby letters of credit to an AAA rated corporation.
o. $100,000 performance-related standby letters of credit to a municipality issuing general obligation bonds.
p. $7 million commercial letter of credit to a foreign bank, OECD CRC rated 2.
q. $3 million five-year loan commitment to foreign government, OECD CRC rated 1.
r. $8 million bankers’ acceptance conveyed to a U.S., 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. $30 million standby letter of credit to back an A rated corporate issue of commercial paper.
v. $4 million five-year interest rate swap with no current exposure.
w. $6 million two-year currency swap with $500,000 current exposure.
Step by Step Answer:
Financial Institutions Management
ISBN: 9780078034800
8th Edition
Authors: Anthony Saunders, Marcia Cornett