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Compute the risk-weighted assets and CET1, Tier 1, and total capital ratios for a commercial bank, for which consolidated financial data is provided in the

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Compute the risk-weighted assets and CET1, Tier 1, and total capital ratios for a commercial bank, for which consolidated financial data is provided in the table below along with the relevant risk weights and conversion factors. RW stands for risk weight, CFCEA stands for conversion factor for credit equivalent amount, CFPX stands for conversion factor for potential exposure and RC stands for replacement cost.

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Balance Sheet Items RW Assets Value Liabilities and Equity Value Class 090 Cash and liquid assets $100 \Demand Deposits $300 20 % AAA - rated loans 150 \ Notice and Fixed Deposits 600 35 % Residential mortgages 450 \Subordinated debt 20 Tier 2 50 % A rated loans 150 Common shares 40 CEIL 100% BB + rated loans 100 Retained earnings 30 CEI I 150% CCC + rated loans 50 Perpetual preferred shares 10 Tier !' Total Assets $1, 000 Total Liabilities and Equity $1, 000 Off balance sheet items RW Non- derivative CFCEA Principal Amount 100 % 3 - year loan commitment 50% $50 100 % Direct credit substitutes 100 % $25 RW Derivative CECEA Notional Principle* CFPX RC 100 % 6 - year interest rate swap 100 % $200 1.5 % $12 100 % 2 - year FX forward 100 % $100 5. 0%

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