Estimate the capital required under Basel I for a bank that has the following transactions with a corporation. Assume no netting.

(a) A nine-year interest rate swap with a notional principal of $250 million and a current market value of −$2 million.

(b) A four-year interest rate swap with a notional principal of $100 million and a current value of $3.5 million.

(c) A six-month derivative on a commodity with a principal of $50 million that is currently worth $1 million.

AppendixLO1