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A banks balance sheet information is shown below (in $000). On-Balance-Sheet Items Face Value Cash $ 139,600 Short-term government securities ( 7,200 Long-term government securities
A banks balance sheet information is shown below (in $000).
On-Balance-Sheet Items | Face Value |
---|---|
Cash | $ 139,600 |
Short-term government securities ( | 7,200 |
Long-term government securities (>92 days) | 432,400 |
Federal Reserve stock | 11,600 |
Repos secured by federal agencies | 177,000 |
Claims on U.S. depository institutions | 955,900 |
Loans to foreign banks, OECD CRC rated 2 | 1,820,000 |
General obligation municipals | 188,000 |
Claims on or guaranteed by federal agencies | 28,300 |
Municipal revenue bonds | 130,900 |
Residential mortgages, category 1, loan-to-value ratio 75% | 6,800,000 |
Commercial loans | 6,467,669 |
Loans to sovereigns, OECD CRC rated 3 | 13,400 |
Premises and equipment | 473,000 |
Off-Balance-Sheet Items | Conversion Factor (%) | Face Value |
---|---|---|
U.S. Government Counterparty | ||
Loan commitments: | ||
20 | $ 300 | |
15 year | 50 | 1,140 |
Standby letters of credit: | ||
Performance-related | 50 | 200 |
Direct-credit substitute | 100 | 100 |
U.S. Depository Institutions Counterparty | ||
Loan commitments: | ||
20 | 100 | |
>1 year | 50 | 3,000 |
Standby letters of credit: | ||
Performance-related | 50 | 200 |
Direct-credit substitute | 100 | 56,400 |
Commercial letters of credit | 20 | 400 |
State and Local Government Counterparty (revenue municipals) | ||
Loan commitments: | ||
>1 year | 50 | 100 |
Standby letters of credit: | ||
Performance-related | 50 | 135,400 |
Corporate Customer Counterparty | ||
Loan commitments: | ||
20 | 3,212,400 | |
>1 year | 50 | 3,046,278 |
Standby letters of credit: | ||
Performance-related | 50 | 101,543 |
Direct-credit substitute | 100 | 490,900 |
Commercial letters of credit | 20 | 78,978 |
Sovereign Counterparty | ||
Loan commitments, OECD CRC rated 1: | ||
20 | 110,500 | |
>1 year | 50 | 1,225,400 |
Sovereign Counterparty | ||
Loan commitments, OECD CRC rated 2: | ||
20 | 85,000 | |
>1 year | 50 | 115,500 |
Sovereign Counterparty | ||
Loan commitments, OECD CRC rated 7: | ||
>1 year | 50 | 30,000 |
Interest rate market contracts (current exposure assumed to be zero): | ||
0 | 2,000 | |
>15 year (notional amount) | 0.5 | 5,000 |
What is the banks risk-weighted asset base? (Do not round your intermediate calculations. Round your answer to the nearest whole dollar amount.
BLE 13-28 Risk Weights for Calculating Risk-Weighted Assets for On-Balance-Sheet \begin{tabular}{|c|c|} \hline Exposures & \begin{tabular}{l} Risk Weight \\ (in percent) \end{tabular} \\ \hline Non-OECD member with no CRC & 100 \\ \hline Sovereign default & 150 \\ \hline \multicolumn{2}{|l|}{ Revenue obligation exposures to non-U.S. PSEs: } \\ \hline CRC of 01 & 50 \\ \hline CRC of 23 & 100 \\ \hline CRC of 4-7 & 150 \\ \hline OECD member with no CRC & 50 \\ \hline Non-OECD member with no CRC & 100 \\ \hline Sovereign default & 150 \\ \hline 6. Corporate exposures & \\ \hline \begin{tabular}{l} All corporate exposures, including bonds and loans \\ 7. Residential mortge exposures \end{tabular} & 100 \\ \hline \begin{tabular}{l} An exposure to a first-lien residential mortgage with lower risk, or category \\ 1 (mortgage that meets prudential underwriting standards, including \\ standards relating to loan-to-value ratio, are not 90 days or more past due, \\ and that are not restructured or modified) \end{tabular} & 50 \\ \hline \begin{tabular}{l} An exposure to a first-lien residential mortgage with higher risk, or category 2 \\ (all other residential mortgage exposures) \end{tabular} & 100 \\ \hline 8. Pre-sold construction loans and statutory multi-family mortgages & \\ \hline \begin{tabular}{l} Exposures to pre-sold construction loans and statutory multi-family mortgage \\ 9. High-volatility commercial real estate (HVCRE) \end{tabular} & 50 \\ \hline \begin{tabular}{l} An HVCRE exposure \\ 10. Past-due exposures \end{tabular} & 150 \\ \hline \begin{tabular}{l} 11. Other assets \\ 11. \end{tabular} & 150 \\ \hline \begin{tabular}{l} Cash owned and held; gold bullion held in the bank's own vaults or held in \\ another depository institution's vaults on an allocated basis, to the extent \\ the gold bullion assets are offset by gold bullion liabilities; and exposures \\ that arise from the settlement of cash transactions \end{tabular} & 0 \\ \hline Cash items in the process of collection & 20 \\ \hline \begin{tabular}{l} All assets not specifically assigned a different risk weight, including deferred \\ acquisition costs (DAC) and value of business acquired (VOBA) \end{tabular} & 100 \\ \hline \begin{tabular}{l} Deferred tax assets (DTAs) arising from temporary differences that the bank \\ could realize through net operating loss carrybacks \end{tabular} & 100 \\ \hline \begin{tabular}{l} Portion of mortgage servicing assets (MSAs) and DTAs arising from \\ temporary differences that the bank could not realize through net operating \\ loss carrybakcs that are not deducted from common equity tier 1 capital \end{tabular} & 250 \\ \hline \end{tabular}
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