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Consider an OECD bank that has the following two transactions: A 6-year interest-rate swap with a notional principal of $300M (= 300 million) and a

Consider an OECD bank that has the following two transactions:

A 6-year interest-rate swap with a notional principal of $300M (= 300 million) and a current market value of -$5M.

A 8-month derivative on exchange rate and gold with a principal of $100M that is currently worth $8M.

Estimate the total risk-weighted amount, the minimum capital and the minimum tier-1 capital required by Basel I.

Estimate the total risk-weighted amount, the minimum capital and the minimum tier-1 capital required by the 1995 netting amendment.

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