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.