Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

A bank s balance sheet information is shown below ( in $ 0 0 0 ) . On - Balance - Sheet Items Face Value

A banks balance sheet information is shown below (in $000).
On-Balance-Sheet Items Face Value
Cash $ 134,600
Short-term government securities (<92 days)6,700
Long-term government securities (>92 days)427,400
Federal Reserve stock 11,100
Repos secured by federal agencies 172,000
Claims on U.S. depository institutions 950,900
Loans to foreign banks, OECD CRC rated 21,770,000
General obligation municipals 183,000
Claims on or guaranteed by federal agencies 27,800
Municipal revenue bonds 125,900
Residential mortgages, category 1, loan-to-value ratio 75%6,300,000
Commercial loans 5,967,669
Loans to sovereigns, OECD CRC rated 312,900
Premises and equipment 468,000
Off-Balance-Sheet Items Conversion Factor (%) Face Value
U.S. Government Counterparty
Loan commitments:
<1 year 20 $ 300
15 year 501,140
Standby letters of credit:
Performance-related 50200
Direct-credit substitute 100100
U.S. Depository Institutions Counterparty
Loan commitments:
<1 year 20100
>1 year 503,000
Standby letters of credit:
Performance-related 50200
Direct-credit substitute 10056,400
Commercial letters of credit 20400
State and Local Government Counterparty (revenue municipals)
Loan commitments:
>1 year 50100
Standby letters of credit:
Performance-related 50135,400
Corporate Customer Counterparty
Loan commitments:
<1 year 203,212,400
>1 year 503,046,278
Standby letters of credit:
Performance-related 50101,543
Direct-credit substitute 100490,900
Commercial letters of credit 2078,978
Sovereign Counterparty
Loan commitments, OECD CRC rated 1:
<1 year 20110,500
>1 year 501,225,400
Sovereign Counterparty
Loan commitments, OECD CRC rated 2:
<1 year 2085,000
>1 year 50115,500
Sovereign Counterparty
Loan commitments, OECD CRC rated 7:
>1 year 5030,000
Interest rate market contracts (current exposure assumed to be zero):
<1 year (notional amount)02,000
>15 year (notional amount)0.55,000
To be adequately capitalized, what are the banks CET1, Tier I, and total riskbased capital requirements under Basel III? (Round your answers to the nearest whole dollar amount. (e.g.,32))

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image

Step: 3

blur-text-image

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

Financial Management Core Concepts

Authors: Raymond M Brooks

2nd edition

132671034, 978-0132671033

More Books

Students also viewed these Finance questions