1.Bank X that has the following transactions with an OECD Bank Y:

A 3-year forward contract on the Euro, currently worth -$15 million, to buy Euro now worth $500 million.

A nine-month total return swap on the S&P 500. The principal is now $400 million and the current market value is $25 million.

A 10-year interest rate swap. The notional is $250 million and the current value of the swap is -$5 million.

A 2-year swap related to silver prices, with notional $50 million and market value of $2 million.

a.Estimate the credit-equivalent amount, risk-weighted assets, and the minimum capital required under Basel I for Bank X assuming no netting.

b.Repeat this calculation with the netting adjustment.