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Given the following Balance Sheet of a commercial bank: Balance Sheet Assets $ Million Liabilities $ Million Cash & Required Reserves (0%) 20 Demand Deposits

Given the following Balance Sheet of a commercial bank:

Balance Sheet

Assets

$ Million

Liabilities

$ Million

Cash & Required Reserves (0%)

20

Demand Deposits

55

Interbank Deposits abroad (rated A) (50%)

40

Saving Deposits

100

Loans to corporates rated B (150%)

160

Time Deposits

185

Investments in international securities (rated BB) (100%)

40

Debentures

54

CDs issued by the Central Bank in L.L. (0%)

30

Convertible bonds

5

Loans to B rated sovereign borrowers (100%)

50

CoCos

6

Investments in US treasuries (0%)

25

Subordinated Debt

(10 years maturity)

5

Loans to SMEs (unrated) (200%)

60

Perpetual Bonds

2

LGs extended to contractors rated CC (assuming 50% of the time these LGs are called upon

(200%) of $5 not $10

10

Common Stocks

10

LCs to corporates rated BB (assuming 30% historical default risk) (100%) on $15

50

Preferred Stocks

3

Loans Commitment to corporates rated B- (150%) on $20

20

Retained Earnings

0

1)Calculate the risk weighted assets (both on balance sheet and off balance sheet), Common Equity Tier 1 (CET 1), Tier 1 and Tier 2 Capital, and Leverage Ratio.

2)Is this bank adequately capitalized based on Basel 1, 2 & 3.

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