What is the contribution to the risk-weighted asset base of the following items under the Basel III
Question:
What is the contribution to the risk-weighted asset base of the following items under the Basel III requirements?
a. $10 million cash.
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, with external rating of AAA.
e. $5 million French short-term government bonds, with external rating of A.
f. $1 million general obligation municipal bonds.
g. $40 million repurchase agreements (backed with U.S. Treasuries).
h. $2 million loan to foreign banks, with external rating of B.
i. $500 million 1–4-family home mortgages, with loan-to-value ratio of 50 percent.
j. $10 million 1–4-family home mortgages, with loan-to-value ratio of 70 percent.
k. $5 million 1–4-family home mortgages, with loan-to-value ratio of 90 percent.
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, AA rated.
p. $7 million commercial letter of credit to a foreign bank, with external rating of BBB.
q. $3 million five-year loan commitment to foreign government, with external rating of AA.
r. $8 million bankers’ acceptance conveyed to a U.S. AA rated corporation.
s. $17 million three-year loan commitment to a private firm.
t. $17 million three-month loan commitment to a private firm.
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 A Risk Management Approach
ISBN: 9781266138225
11th International Edition
Authors: Anthony Saunders, Marcia Millon Cornett, Otgo Erhemjamts