Refer to Table 13-28 What is the contribution to the asset base of the following items under the Basel Ill requirements? (Leave no cells blank.be certain to enter "0" wherever required. Enter your answers in dollars not in millions.) a. $9 million cash reserves b. $48 million 91-day U.S. Treasury bills. c. $24 million cash items in the process of collection d. $5 million UK government bonds, OECD CRD rated 1 e $5 million French short-term government bonds, OECD CRD rated 2 f. 52 million general obligation bonds g. $20 million repurchase agreements (against U.S. Treasures) h. $4 million loan to foreign bank. OECD rated 3 1.5480 million 14 family home mortgages, category 1, loan to value ratio 80% 1.59 milion 14 family home mortgages category 2. loan-to-value ratio 95% k. 55 million 14 family home mortgages, 100 days past due 1. $480 million commercial and industrial loans AAA rated m. $480 million commercial and industrial loans Brated n. $200,000 performance-related standby letters of credit to a AAA rated corporation o. $200,000 performance related standby letters of credit to a municipality issuing general obligation bonds p. 59 million commercial letter of credit to a foreign bank, OECD CRC rated 2 4. 53 million five year loan commitment to a foreign government OECD CRC rated $9 million bankers acceptance conveyed to a US AA rated corporation 5.517 million three year loan commitment to a private agent t. 517 million three month loon commitment to a private agent u. 534 million standby letter of credit to back an Aoted corporate issue of commercial paper v. 57 million five year interest rate swap with no current exposure w. $3 million two year currency woo with $200,000 current exposure 0 0 ISO TABLE 13-28 Risk Weights for Calculating Risk-Weighted Assets for On-Balance Sheet Items under Basel II 1 Risk Weight Exposures (in percent) 1. Exposures to sovereigns Exposures to the U.S. government An exposure to the US government, its central bank, or a U.S. government a agency The portion of an exposure that is directly and unconditionally guaranteed by the U.S. government, its central bank, or a US government agency The portion of an exposure that is conditionally guaranteed by the U.S. 20 government. its central bank, or a U.S. government agency Other sovereign exposures: CRC or 0.1 0 CRC of 2 20 CRC of 3 SO CRC of 4-6 100 CRC of 7 OECD member with no CRC Non-OECD member with no CRC 100 Sovereign default 1 SO 2. Exposures to certain supranational entities and multilateral development banks (MDB) An exposure to the BIS. the ECB. the European Commission, the IMF, or an 0 MDB 3. Exposure to government-sponsored entities (GSE) An exposure to a GSE other than an equity exposure or preferred stock An exposure to preferred stuck issued by a GSE 4. Exposures to depository Institutions, foreign banks, and credit unions Exposures to U.S. depository insituums and credit tons Exposures to foreign banks CRC of 1 CR of CRC of CRC 1-7 OECD member with no CRC Non-OECD member with CRC Sovereign de 5. Exposures to public sector entities (PSESI General obligation exposure to US PSE Revenue obligation exposities to USPSES General oblication exposities to con U.S. PSES: CRCRO- CRC CRC of CRCDE OECD inember with n CRC * 8 * 38% A8%B8R Appendix 13E Calculating Risk-Based Capital Ratios Risk Weight (in percent) 100 150 50 100 150 50 100 150 100 50 100 Exposures Non-OECD member with no CRC Sovereign default Revenue obligation exposures to non-U.S. PSES: CRC of 0-1 CRC of 2-3 CRC of 4-7 OECD member with no CRC Non-OECD member with no CRC Sovereign default 6. Corporate exposures All corporate exposures, including bonds and loans 7. Residential mortgage exposures An exposure to a first-lien residential mortgage with lower risk, or category 1 (mortgage that meets prudential underwriting standards, including standards relating to loan-to-value ratio, are not 90 days or more past due. and that are not restructured or modified) An exposure to a first-lien resalential mortgape with higher risk. or category 2 (all other residential mortgage exposures) 8. Pre-sold construction loans and statutory multi-family mortgages Exposures to pre-sold construction loans and statutory multi-family mortgage 9. High-volatility commercial real estate (HVCRE) An HVCRE exposure 10. Past-due exposures An exposure that is not guaranteed at that is unsecured 11. Other assets Cush owned and held: Fold mallu held in the ranks vaults or held m strothiet depository institution's sautts on an allocated bass to the extem the gold bullion assets are offset by gold hullion habilities and exposure that arise from the settlement of cash transactions Cashitems in the process of collection All assets not specifically assigned a different risk ucught, claig delerred acquisition costs (DAC) and value of business quered VOBA) Deferred to ass EDTA) ansing from temporary differences that the lank could realize through ne aperating less carry Piction of mortgage servicing assets (MISAS and DTAs arising team lemparaty dulcruces that the bank could not realize through net operating loss carrybako tal ate not deducted from comunica equity tier capital 50 150 ISO 20 100 300 150 Source: Federal Register. Vol. 78. No 198. Office of the Comptroder of the currence Department at the Treasury October 11, 2013 Refer to Table 13-28 What is the contribution to the asset base of the following items under the Basel Ill requirements? (Leave no cells blonk.be certain to enter "0" wherever required. Enter your answers in dollars not In millions.) a. $9 million cash reserves. b. $48 million 91-day U.S. Treasury bills. c. $24 million cash items in the process of collection d. $5 million UK government bonds, OECD CRD rated 1 e. $5 million French short-term government bonds, OECD CRD rated 2. t. $2 million general obligation bonds. G. $20 million repurchase agreements (against U.S. Treasuries). h. 54 million loan to foreign bank. OECD rated 3. 1.5480 million 1-4 family home mortgages.category 1. loan-to-value ratio 80% J. $9 million 1-4 family home mortgages, category 2. loan-to value ratio 95% k. $5 million 1-4 family home mortgages, 100 days past due I. $480 million commercial and industrial loans, AAA-rated. m. $480 million commercial and industrial loans, B-rated. n. $200.000 performance-related standby letters of credit to a AAA-rated corporation o. $200.000 performance-related standby letters of credit to a municipality issuing general obligation bonds. p. $9 million commercial letter of credit to a foreign bank. OECD CRC rated 2 9. $3 million five-year loan commitment to a foreign government, OECD CRC rated 1. $9 milion bankers' acceptance conveyed to a U.S. A Autoted corporation 3. $17 million three-year loan commitment to a private agent 1. $17 million three month loan commitment to a private agent u. $34 million standby letter of credit to back an A-rated corporate issue of commercial papet v. $7 million five-year interest rate swap with no current exposure w. $3 million two-year currency swap with $200,000 current exposure a Basel III Asset Base nd b. C. d. e h! g. h. 1. m. n. 0. p. r. s 5. t. . U V. A W. w TARLE 13-28 Risk Weights for Calculating Risk-Weighted Assets for On-Balance Sheet Items under Basel II Risk Weight (in percent) - 20 20 50 100 150 - 100 150 0 Exposures 1. Exposures to sovereigns Exposures to the U.S. government: An exposure to the U.S. government, its central bank, or a U.S. government agency The portion of an exposure that is directly and unconditionally guaranteed by the U.S. government, ils central bank, or a US government agency The portion of an exposure that is conditionally guaranteed by the US government, ils central bank, or a U.S. government agency Other Sovereign exposures: CRC of 0-1 CRC of 2 CRC of 3 CRC of 1-6 CRC of 7 OECD member with no CRC Non-OECD meniler with no CRC Sovereign default 2. Exposures to certain supranational entities and multilateral development banks (MDB) An exposure to the BIS. the ECB, the European Commission, the IMF. or an MDB 3. Exposures to government-sponsored entities (GSE) An exposure to GSE other than an cquity exposure or preferred stock Anexposure to preferred Stock Isayed by a GSE 4. Exposures to depository institutions, forelen banks and credit unions Exposures to US depository insitutions and credit uniors Exposures to foreign banks CRC 0-1 CRCO 2 CRC 013 CRC O. OECD member with no CRC Non OECD member with no CRC Sovercin default 5. Eapenares tu public sector entities (PSE: General obligation exposites to US. PSES Revento obligation exposures to US.ISES General obligation to na U.S. PSES CRC 104 CRC 2 CRO CREST OECD member with CRO 20 100 20 20 150 mmmmmmmmmmwww 100 150 100 Exposures Risk Weight in percent Non-OECD member with no CRC 100 Sovereiga default 150 Revenue obligation exposures to non-U.S. PSES: CRC of 0-1 SO CRC of 2-3 100 CRC of 4-7 150 OECD member with no CRC 50 Non-OECD member with no CRC 100 Sovereign default 130 6. Corporate exposures All corporate exposures, including bonds and loans 100 7. Residential mortgage exposures An exposure to a first-lien residential mortgage with lower risk, or category 50 1 (mortgage that meets prudential underwriting standards, including standards relating to loan-to-value ratio, are not 90 days or more past due. and that are not restructured or modified) An exposure to a first-lien residential mortgage with higher risk, or category 2 100 (all other residential mortgage exposures) 8. Pre-sold construction loans and statutory multi-family mortgages Exposures to pre-sold construction loans and statutory multi-family mortgage 50 9. High-volatility commercial real estate (HVCRE) An HVCRE exposure 150 10. Past-due exposures An exposure that is not guaranteed or that is unseeured ISO 11. Other assets Cash owned and held, gold bullion held in the bank's own vaults or held in another depository institution's vaults on an allocated basis, to the extent the gold bullion assets are offset by gold baltion liabilities, and exposures that arise from the settlement of cash transaction Cash items in the process of collection 20 All assets not specifically assigned a different risk weight, including deferred 100 acquisition costs (DAC) and value of business acquired (VOBA) Deferred tax assets (DTAS) arising from temporary differences that the bank 100 could realize through net operating loss carrybacks 250 Portion of mortgage servicing assets (MSA) and DTAs arising from temporary differences that the bank could not realize through net operating loss carrybikes that are not deducted from comaton equity her I capital 0 Source: Federal Register Vol. 78. No 198 Office of the Comptroller of the Currency, Department of Une Treasury, October 11.2013 Refer to Table 13-28 What is the contribution to the asset base of the following items under the Basel Ill requirements? (Leave no cells blank.be certain to enter "0" wherever required. Enter your answers in dollars not in millions.) a. $9 million cash reserves b. $48 million 91-day U.S. Treasury bills. c. $24 million cash items in the process of collection d. $5 million UK government bonds, OECD CRD rated 1 e $5 million French short-term government bonds, OECD CRD rated 2 f. 52 million general obligation bonds g. $20 million repurchase agreements (against U.S. Treasures) h. $4 million loan to foreign bank. OECD rated 3 1.5480 million 14 family home mortgages, category 1, loan to value ratio 80% 1.59 milion 14 family home mortgages category 2. loan-to-value ratio 95% k. 55 million 14 family home mortgages, 100 days past due 1. $480 million commercial and industrial loans AAA rated m. $480 million commercial and industrial loans Brated n. $200,000 performance-related standby letters of credit to a AAA rated corporation o. $200,000 performance related standby letters of credit to a municipality issuing general obligation bonds p. 59 million commercial letter of credit to a foreign bank, OECD CRC rated 2 4. 53 million five year loan commitment to a foreign government OECD CRC rated $9 million bankers acceptance conveyed to a US AA rated corporation 5.517 million three year loan commitment to a private agent t. 517 million three month loon commitment to a private agent u. 534 million standby letter of credit to back an Aoted corporate issue of commercial paper v. 57 million five year interest rate swap with no current exposure w. $3 million two year currency woo with $200,000 current exposure 0 0 ISO TABLE 13-28 Risk Weights for Calculating Risk-Weighted Assets for On-Balance Sheet Items under Basel II 1 Risk Weight Exposures (in percent) 1. Exposures to sovereigns Exposures to the U.S. government An exposure to the US government, its central bank, or a U.S. government a agency The portion of an exposure that is directly and unconditionally guaranteed by the U.S. government, its central bank, or a US government agency The portion of an exposure that is conditionally guaranteed by the U.S. 20 government. its central bank, or a U.S. government agency Other sovereign exposures: CRC or 0.1 0 CRC of 2 20 CRC of 3 SO CRC of 4-6 100 CRC of 7 OECD member with no CRC Non-OECD member with no CRC 100 Sovereign default 1 SO 2. Exposures to certain supranational entities and multilateral development banks (MDB) An exposure to the BIS. the ECB. the European Commission, the IMF, or an 0 MDB 3. Exposure to government-sponsored entities (GSE) An exposure to a GSE other than an equity exposure or preferred stock An exposure to preferred stuck issued by a GSE 4. Exposures to depository Institutions, foreign banks, and credit unions Exposures to U.S. depository insituums and credit tons Exposures to foreign banks CRC of 1 CR of CRC of CRC 1-7 OECD member with no CRC Non-OECD member with CRC Sovereign de 5. Exposures to public sector entities (PSESI General obligation exposure to US PSE Revenue obligation exposities to USPSES General oblication exposities to con U.S. PSES: CRCRO- CRC CRC of CRCDE OECD inember with n CRC * 8 * 38% A8%B8R Appendix 13E Calculating Risk-Based Capital Ratios Risk Weight (in percent) 100 150 50 100 150 50 100 150 100 50 100 Exposures Non-OECD member with no CRC Sovereign default Revenue obligation exposures to non-U.S. PSES: CRC of 0-1 CRC of 2-3 CRC of 4-7 OECD member with no CRC Non-OECD member with no CRC Sovereign default 6. Corporate exposures All corporate exposures, including bonds and loans 7. Residential mortgage exposures An exposure to a first-lien residential mortgage with lower risk, or category 1 (mortgage that meets prudential underwriting standards, including standards relating to loan-to-value ratio, are not 90 days or more past due. and that are not restructured or modified) An exposure to a first-lien resalential mortgape with higher risk. or category 2 (all other residential mortgage exposures) 8. Pre-sold construction loans and statutory multi-family mortgages Exposures to pre-sold construction loans and statutory multi-family mortgage 9. High-volatility commercial real estate (HVCRE) An HVCRE exposure 10. Past-due exposures An exposure that is not guaranteed at that is unsecured 11. Other assets Cush owned and held: Fold mallu held in the ranks vaults or held m strothiet depository institution's sautts on an allocated bass to the extem the gold bullion assets are offset by gold hullion habilities and exposure that arise from the settlement of cash transactions Cashitems in the process of collection All assets not specifically assigned a different risk ucught, claig delerred acquisition costs (DAC) and value of business quered VOBA) Deferred to ass EDTA) ansing from temporary differences that the lank could realize through ne aperating less carry Piction of mortgage servicing assets (MISAS and DTAs arising team lemparaty dulcruces that the bank could not realize through net operating loss carrybako tal ate not deducted from comunica equity tier capital 50 150 ISO 20 100 300 150 Source: Federal Register. Vol. 78. No 198. Office of the Comptroder of the currence Department at the Treasury October 11, 2013 Refer to Table 13-28 What is the contribution to the asset base of the following items under the Basel Ill requirements? (Leave no cells blonk.be certain to enter "0" wherever required. Enter your answers in dollars not In millions.) a. $9 million cash reserves. b. $48 million 91-day U.S. Treasury bills. c. $24 million cash items in the process of collection d. $5 million UK government bonds, OECD CRD rated 1 e. $5 million French short-term government bonds, OECD CRD rated 2. t. $2 million general obligation bonds. G. $20 million repurchase agreements (against U.S. Treasuries). h. 54 million loan to foreign bank. OECD rated 3. 1.5480 million 1-4 family home mortgages.category 1. loan-to-value ratio 80% J. $9 million 1-4 family home mortgages, category 2. loan-to value ratio 95% k. $5 million 1-4 family home mortgages, 100 days past due I. $480 million commercial and industrial loans, AAA-rated. m. $480 million commercial and industrial loans, B-rated. n. $200.000 performance-related standby letters of credit to a AAA-rated corporation o. $200.000 performance-related standby letters of credit to a municipality issuing general obligation bonds. p. $9 million commercial letter of credit to a foreign bank. OECD CRC rated 2 9. $3 million five-year loan commitment to a foreign government, OECD CRC rated 1. $9 milion bankers' acceptance conveyed to a U.S. A Autoted corporation 3. $17 million three-year loan commitment to a private agent 1. $17 million three month loan commitment to a private agent u. $34 million standby letter of credit to back an A-rated corporate issue of commercial papet v. $7 million five-year interest rate swap with no current exposure w. $3 million two-year currency swap with $200,000 current exposure a Basel III Asset Base nd b. C. d. e h! g. h. 1. m. n. 0. p. r. s 5. t. . U V. A W. w TARLE 13-28 Risk Weights for Calculating Risk-Weighted Assets for On-Balance Sheet Items under Basel II Risk Weight (in percent) - 20 20 50 100 150 - 100 150 0 Exposures 1. Exposures to sovereigns Exposures to the U.S. government: An exposure to the U.S. government, its central bank, or a U.S. government agency The portion of an exposure that is directly and unconditionally guaranteed by the U.S. government, ils central bank, or a US government agency The portion of an exposure that is conditionally guaranteed by the US government, ils central bank, or a U.S. government agency Other Sovereign exposures: CRC of 0-1 CRC of 2 CRC of 3 CRC of 1-6 CRC of 7 OECD member with no CRC Non-OECD meniler with no CRC Sovereign default 2. Exposures to certain supranational entities and multilateral development banks (MDB) An exposure to the BIS. the ECB, the European Commission, the IMF. or an MDB 3. Exposures to government-sponsored entities (GSE) An exposure to GSE other than an cquity exposure or preferred stock Anexposure to preferred Stock Isayed by a GSE 4. Exposures to depository institutions, forelen banks and credit unions Exposures to US depository insitutions and credit uniors Exposures to foreign banks CRC 0-1 CRCO 2 CRC 013 CRC O. OECD member with no CRC Non OECD member with no CRC Sovercin default 5. Eapenares tu public sector entities (PSE: General obligation exposites to US. PSES Revento obligation exposures to US.ISES General obligation to na U.S. PSES CRC 104 CRC 2 CRO CREST OECD member with CRO 20 100 20 20 150 mmmmmmmmmmwww 100 150 100 Exposures Risk Weight in percent Non-OECD member with no CRC 100 Sovereiga default 150 Revenue obligation exposures to non-U.S. PSES: CRC of 0-1 SO CRC of 2-3 100 CRC of 4-7 150 OECD member with no CRC 50 Non-OECD member with no CRC 100 Sovereign default 130 6. Corporate exposures All corporate exposures, including bonds and loans 100 7. Residential mortgage exposures An exposure to a first-lien residential mortgage with lower risk, or category 50 1 (mortgage that meets prudential underwriting standards, including standards relating to loan-to-value ratio, are not 90 days or more past due. and that are not restructured or modified) An exposure to a first-lien residential mortgage with higher risk, or category 2 100 (all other residential mortgage exposures) 8. Pre-sold construction loans and statutory multi-family mortgages Exposures to pre-sold construction loans and statutory multi-family mortgage 50 9. High-volatility commercial real estate (HVCRE) An HVCRE exposure 150 10. Past-due exposures An exposure that is not guaranteed or that is unseeured ISO 11. Other assets Cash owned and held, gold bullion held in the bank's own vaults or held in another depository institution's vaults on an allocated basis, to the extent the gold bullion assets are offset by gold baltion liabilities, and exposures that arise from the settlement of cash transaction Cash items in the process of collection 20 All assets not specifically assigned a different risk weight, including deferred 100 acquisition costs (DAC) and value of business acquired (VOBA) Deferred tax assets (DTAS) arising from temporary differences that the bank 100 could realize through net operating loss carrybacks 250 Portion of mortgage servicing assets (MSA) and DTAs arising from temporary differences that the bank could not realize through net operating loss carrybikes that are not deducted from comaton equity her I capital 0 Source: Federal Register Vol. 78. No 198 Office of the Comptroller of the Currency, Department of Une Treasury, October 11.2013
