Estimate the capital required under Basel I for a bank that has the following transactions

with a corporation. Assume no netting. $(10$ Marks$)$

$($a$)$ A nine$-$year interest rate swap with a notional principal of $$100$ million

and a current market value of $$2$ million.

$($b$)$ A four$-$year interest rate swap with a notional principal of $$10$ million and a current

value of $-$$$0\mathrm{.}5$ million.

$($c$)$ A six$-$month derivative on a commodity with a principal of $$10$ million

that is currently worth $$0\mathrm{.}1$ million.