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Part a) Identify and describe two of the most important risks of a domestic bank Part b) Calculate the minimum Basel I capital requirement for
Part a) Identify and describe two of the most important risks of a domestic bank Part b) Calculate the minimum Basel I capital requirement for Commonwealth Bank of the following three transactions with an A-rated retailing conglomerate. 1. A short position in a 11-month and 21 day wheat commodity option with notional principal of $65 million that is worth $3 million (i.e. Commonwealth Bank is out-of-the money). 2. An 11 month interest rate swap with notional principal of $250 million that is worth $6 million (i.e. Commonwealth Bank is in-the money). 3. A six-month equity option contract with notional principal of $110 million that is currently worth $0.5 million (i.e. Commonwealth Bank is in-the money). Part c) Moonbeam Bank has the following Balance Sheet. Calculate the Net Stable Funding Ration for Moonbeam Bank, does it meet regulatory requirements? Part a) Identify and describe two of the most important risks of a domestic bank Part b) Calculate the minimum Basel I capital requirement for Commonwealth Bank of the following three transactions with an A-rated retailing conglomerate. 1. A short position in a 11-month and 21 day wheat commodity option with notional principal of $65 million that is worth $3 million (i.e. Commonwealth Bank is out-of-the money). 2. An 11 month interest rate swap with notional principal of $250 million that is worth $6 million (i.e. Commonwealth Bank is in-the money). 3. A six-month equity option contract with notional principal of $110 million that is currently worth $0.5 million (i.e. Commonwealth Bank is in-the money). Part c) Moonbeam Bank has the following Balance Sheet. Calculate the Net Stable Funding Ration for Moonbeam Bank, does it meet regulatory requirements
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