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15.6Estimate the capital required under Basel I for a bank that has the following trans- actions with a corporation. Assume no netting. (a)A nine-year interest
15.6Estimate the capital required under Basel I for a bank that has the following trans- actions 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.
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