What is the contribution to the asset base of the following items under the Basel III requirements? (LG 13-7)

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 UK government bonds, OECD CRD rated 1.

e. $5 million French short-term government bonds, OECD CRD rated 2.

f. $1 million general obligation bonds.

g. $40 million repurchase agreements (against U.S. Treasuries).

h. $2 million loan to foreign bank, OECD rated 3.

i. $500 million 1–4 family home mortgages, category 1, loan-to-value ratio 80 percent.

j. $10 million 1–4 family home mortgages, category 2, loan-to-value ratio 95 percent.

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 a 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 a foreign government, OECD CRC rated 1.

r. $8 million bankers’ acceptance conveyed to a U.S. AA rated corporation.

page 444 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.

The following information is for problems 12–16. Consider a bank’s balance sheet as follows.

A bank’s balance sheet information is shown below (in $000).

On-Balance-Sheet Items Face Value Cash $ 121,600 Short-term government securities (<92 days) 5,400 Long-term government securities (>92 days) 414,400 Federal Reserve stock 9,800 Repos secured by federal agencies 159,000 Claims on U.S. depository institutions 937,900 Loans to foreign banks, OECD CRC rated 2 1,640,000 General obligation municipals 170,000 Claims on or guaranteed by federal agencies 26,500 Municipal revenue bonds 112,900 Residential mortgages, category 1, loan-to-value ratio 75% 5,000,000 Commercial loans 4,667,669 Loans to sovereigns, OECD CRC rated 3 11,600 Premises and equipment 455,000 Off-Balance-Sheet Items: Conversion Factor

(%)

Face Value U.S. Government Counterparty Loan commitments:

<1 year 20 $ 300 1–5 year 50 1,140 Standby letters of credit:

Performance-related 50 200 Direct-credit substitute 100 100 U.S. Depository Institutions Counterparty Loan commitments:

<1 year 20 100

>1 year 50 3,000 Standby letters of credit:

Performance-related 50 200 Direct-credit substitute 100 56,400 Commercial letters of credit 20 400 State and Local Government Counterparty (revenue municipals)

Loan commitments:

>1 year 50 100 Standby letters of credit:

Performance-related 50 135,400 Corporate Customer Counterparty Loan commitments:

<1 year 20 3,212,400

>1 year 50 3,046,278 Standby letters of credit:

Performance-related 50 101,543 Direct-credit substitute 100 490,900 Commercial letters of credit 20 78,978 Sovereign Counterparty Loan commitments, OECD CRC rated 1:

<1 year 20 110,500

>1 year 50 1,225,400 Sovereign Counterparty Loan commitments, OECD CRC rated 2:

<1 year 20 85,000

>1 year 50 115,500 Sovereign Counterparty Loan commitments, OECD CRC rated 7:

>1 year 50 30,000 Interest rate market contracts (current exposure assumed to be zero):

<1 year (notional amount) 0 2,000

>1–5 year (notional amount) 0.5 5,000

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