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A bank has the following transactions with an A rated corporation. (a) A two-year interest rate swap, with the following information: Principal(inSmillions):Currentworth(inSmillions)1013.6 (b) A nine-month
A bank has the following transactions with an A rated corporation. (a) A two-year interest rate swap, with the following information: Principal(inSmillions):Currentworth(inSmillions)1013.6 (b) A nine-month foreign exchange forward contract, with the following information: The principal (in Smillions) 151 Current value of the option 4.5 (c) A long position in a six-month option on gold, with the following information: The principal (in \$millions) Current value of the swap 51.4 7.4 What is the capital requirement under Basel I if there is no netting? What difference does it make if the netting amendment applies? What is the capital required under Basel II when the standardized approach is used
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