Question
For Admin Bank, what is the credit risk-weighted value of: 1. $150 in bonds issued by the South Australian Government Financing Authority (AAA), 2. $200,
For Admin Bank, what is the credit risk-weighted value of:
1. $150 in bonds issued by the South Australian Government Financing Authority (AAA),
2. $200, 3-year loan to Westpac Bank (AA),
3. $80 in documentary letters of credit secured against shipment of goods for Qantas Airways Ltd. (BBB+),
4. $120 in commitments (formal standby facility) to Commonwealth Bank (AA) with a residual maturity of 6-months,
5. $40 guarantee to Woolworths Ltd (A-),
6. $400 in housing loans fully secured by registered first mortgages over residential property, where the LVR is 70% or less.
Note: the letters in brackets following each term refer to the credit rating of the relevant sovereign, government entity, bank, development bank or non-financial corporation.
Please use the following framework to answer the question. Use as many rows as you need in each table. Copy and paste the below tables into the answer box and fill in the blank cells. Alternatively, you could copy and paste (as text , not html) the tables into Excel, populate, then paste into the answer panel or upload the Excel file.
Item | Exposure ($) | Counterparty Risk Weight (%) | Risk-weighted value ($) |
Bond | 150 | 70 | 105 |
3 year loan | 200 | 70 | 140 |
documentary | 80 | 60 | 133.33 |
commitments guarantee to Woolworth housing loans | 120 40 400 | 50 70 70 | 60 28 280 |
Total On-Balance Sheet Risk Weighted Value: | 746.33 |
Table 2: Off-balance-sheet items, Admin Bank
Item | Exposure ($) | Conversion factor (%) | Counterparty Risk weight (%) | Risk-weighted value ($) |
loan | 150 | 30 | 70 | 31.5 |
3 year loan | 200 | 30 | 70 | 42 |
documentary | 80 | 40 | 60 | 19.2 |
commitments guarantee to Woolworth housing loans | 120 40 400 | 50 30 30 | 50 70 70 | 30 8.4 84
|
Total Off-balance-Sheet Risk Weighted Value: | 215.1 |
How do I get the Total credit risk-weighted assets =
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