banking

4. AUD Bank has currently the following balance sheet structure: (6 marks) Assets ($ million) Cash Interbank deposits General securities issued by local governments Mortgage loans Business loans 10 10 30 Liabilities (S million) Customer deposits Short term borrowings Subordinated debts (>6 years) 163 20 5 50 100 Retained earnings Common stocks Intermediate-term preferred stocks Total 4 6 2 200 Total 200 In addition, the bank' total allowance for loan losses amount $3 million and it has the following off-balance-sheet items (in S million): Size 10 Replacement costs Contract Unused bank loan commitments with maturity 3 years Banker's acceptances Currency contract with maturity two years Currency contract with maturity two months 20 30 40 2 3 a. Compute RWA for on-balance-sheet items. b. Compute total credit-equivalent for off-balance-sheet items. c. Compute RWA for off-balance-sheet items. d. What are total risk-weighted assets (RWA)? e. Does the bank have enough capital to meet the Basle III capital requirements? f. Compute bank leverage ratio. 4. AUD Bank has currently the following balance sheet structure: (6 marks) Assets ($ million) Cash Interbank deposits General securities issued by local governments Mortgage loans Business loans 10 10 30 Liabilities (S million) Customer deposits Short term borrowings Subordinated debts (>6 years) 163 20 5 50 100 Retained earnings Common stocks Intermediate-term preferred stocks Total 4 6 2 200 Total 200 In addition, the bank' total allowance for loan losses amount $3 million and it has the following off-balance-sheet items (in S million): Size 10 Replacement costs Contract Unused bank loan commitments with maturity 3 years Banker's acceptances Currency contract with maturity two years Currency contract with maturity two months 20 30 40 2 3 a. Compute RWA for on-balance-sheet items. b. Compute total credit-equivalent for off-balance-sheet items. c. Compute RWA for off-balance-sheet items. d. What are total risk-weighted assets (RWA)? e. Does the bank have enough capital to meet the Basle III capital requirements? f. Compute bank leverage ratio