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A Bank has the following balance sheet (In millions), with the risk welghts In parentheses. Assets Cash (0%) Mortgage loans (50%) Consumer loans (100%) Reserve
A Bank has the following balance sheet (In millions), with the risk welghts In parentheses. Assets Cash (0%) Mortgage loans (50%) Consumer loans (100%) Reserve for loan losses Total Assets $ 19 $ 65 $ 115 ($ 4) $ 195 Liabilities and Equity Deposits Subordinate debt (>5 years) Equity $ 171 $ 8 $ 16 Total Liability and Equity $ 195 In addition, the bank has $30 million in commercial direct-credit substitute standby letters of credit to a public corporation and $30 million in 10-year FX forward contracts that are in the money by $2 million. a. What are the risk-adjusted on-balance-sheet assets of the bank as defined under the Basel III? b. What are the common equity Tier 1 (CET1) risk-based capital ratio, Tler I risk-based capital ratio, and the total risk-based capital ratio? c. Disregarding the capital conservation buffer, does the bank have sufficient capital to meet the Basel requirements? A Bank has the following balance sheet (In millions), with the risk welghts In parentheses. Assets Cash (0%) Mortgage loans (50%) Consumer loans (100%) Reserve for loan losses Total Assets $ 19 $ 65 $ 115 ($ 4) $ 195 Liabilities and Equity Deposits Subordinate debt (>5 years) Equity $ 171 $ 8 $ 16 Total Liability and Equity $ 195 In addition, the bank has $30 million in commercial direct-credit substitute standby letters of credit to a public corporation and $30 million in 10-year FX forward contracts that are in the money by $2 million. a. What are the risk-adjusted on-balance-sheet assets of the bank as defined under the Basel III? b. What are the common equity Tier 1 (CET1) risk-based capital ratio, Tler I risk-based capital ratio, and the total risk-based capital ratio? c. Disregarding the capital conservation buffer, does the bank have sufficient capital to meet the Basel requirements
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