Third Bank has the following balance sheet (in millions),
with the risk weights in parentheses. (LG 13-7)
Assets Liabilities and Equity Cash (0%) $ 21 Deposits $176 OECD interbank deposits (20%) 25 Subordinated debt
(5 years) 2 Mortgage loans (50%) 70 Cumulative preferred stock 2 Consumer loans (100%) 70 Equity 5 Reserve for loan losses (1) Total liabilities and Total assets $185 equity $185.

The cumulative preferred stock is qualifying and perpetual.
In addition, the bank has $30 million in performance-related standby letters of credit (SLCs) to a public corporation,
$40 million in two-year forward FX contracts that are currently in the money by $1 million, and $300 million in six-year interest rate swaps that are currently out of the money by $2 million. Credit conversion factors follow:
Performance-related standby letters of credit 50%
1- to 5-year foreign exchange contracts 5 1- to 5-year interest rate swaps 0.5 5- to 10-year interest rate swaps 1.5 a. What are the risk-weighted on-balance-sheet assets of the bank as defined under the Basel III?
b. To be adequately capitalized, what are the CET1, Tier I,
and total capital required for both off- and on-balancesheet assets?
c. Disregarding the capital conservation buffer, does the bank have enough capital to meet the Basel requirements?
If not, what minimum CET1, additional Tier 1,
or total capital does it need to meet the requirement?
d. Does the bank have enough capital to meet the Basel requirements, including the capital conservation buffer requirement? If not, what minimum CET1, additional Tier 1, or total capital does it need to meet the requirement?

AppendixLO1