Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

A banks balance sheet information is shown below (in $000). On-Balance-Sheet Items Face Value Cash $ 125,600 Short-term government securities ( <92 days) 5,800 Long-term

A banks balance sheet information is shown below (in $000).

On-Balance-Sheet Items Face Value
Cash $ 125,600
Short-term government securities (<92 days) 5,800
Long-term government securities (>92 days) 418,400
Federal Reserve stock 10,200
Repos secured by federal agencies 163,000
Claims on U.S. depository institutions 941,900
Loans to foreign banks, OECD CRC rated 2 1,680,000
General obligation municipals 174,000
Claims on or guaranteed by federal agencies 26,900
Municipal revenue bonds 116,900
Residential mortgages, category 1, loan-to-value ratio 75% 5,400,000
Commercial loans 5,067,669
Loans to sovereigns, OECD CRC rated 3 12,000
Premises and equipment 459,000

Off-Balance-Sheet Items Conversion Factor (%) Face Value
U.S. Government Counterparty
Loan commitments:
<1 year 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:
<1 year 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:
<1 year 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:
<1 year 20 110,500
>1 year 50 1,225,400
Sovereign Counterparty
Loan commitments, OECD CRC rated 2:
<1 year 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):
<1 year (notional amount) 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. (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 Intelligence For IT Professionals

Authors: Julie Bonner

1st Edition

103215294X, 9781032152943

More Books

Students also viewed these Finance questions

Question

Q1b. What is a feasibility study? Explain briefly

Answered: 1 week ago