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A banks balance sheet information is shown below (in $000). On-Balance-Sheet Items Face Value Cash $ 121,600 Short-term government securities ( <92 days) 5,400 Long-term
A banks balance sheet information is shown below (in $000).
On-Balance-Sheet Items | Face Value |
---|---|
Cash | $ 121,600 |
Short-term government securities (<92 days) | 5,400 |
Long-term government securities (>92 days) | 414,400 |
Federal Reserve stock | 9,800 |
Repos secured by federal agencies | 159,000 |
Claims on U.S. depository institutions | 937,900 |
Loans to foreign banks, OECD CRC rated 2 | 1,640,000 |
General obligation municipals | 170,000 |
Claims on or guaranteed by federal agencies | 26,500 |
Municipal revenue bonds | 112,900 |
Residential mortgages, category 1, loan-to-value ratio 75% | 5,000,000 |
Commercial loans | 4,667,669 |
Loans to sovereigns, OECD CRC rated 3 | 11,600 |
Premises and equipment | 455,000 |
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 |
1. 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))
2. 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)) CET1 Capital:
Tier 1 capital:
Total risk-based capital:
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