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a) A bank has the following balance sheet (in millions) Liabilities & Equity Assets Cash Interbank deposits Mortgage loans Consumer loans Total assets $20 Deposits
a) A bank has the following balance sheet (in millions) Liabilities & Equity Assets Cash Interbank deposits Mortgage loans Consumer loans Total assets $20 Deposits 25 Subordinated debts (5 years) 70 Cumulative preferred stocks 70 Equity $175 5 S185 S185 Total liabilities& Equity The cumulative preferred stock is qualifying and perpetual. In addition, the bank has standby letters of credit to a corporation, $40 $30 million in performance-related million in two years-forward FX contracts that are currently in the money by $1 million, and S300 million in six-year interest rate swaps that are currently out of the money by $2 million. Credit conversion factors follows: Performance related standby LCs 1-to-5-year FX contracts 1-to-5-year interest rate swaps 5-to-10-year interest rate swaps 50% 5% 0.5% 1.5% Required: i) What are the risk-adjusted on-balance-sheet assets of the bank as defined under the Basel Accord
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