What is the contribution to the risk-weighted asset base of the following items under the Basel III

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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.

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Financial Institutions Management A Risk Management Approach

ISBN: 9781266138225

11th International Edition

Authors: Anthony Saunders, Marcia Millon Cornett, Otgo Erhemjamts

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