What is the contribution to the credit riskadjusted asset base of the following items under the Basel

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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.

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Financial Institutions Management

ISBN: 9780078034800

8th Edition

Authors: Anthony Saunders, Marcia Cornett

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