Sigma Bank has the following balance sheet in millions of dollars.

Note on hybrid securitiesBalance Sheet Notes:

Basel III provides guidelines for the type and amount of hybrid securities to be used in Tier I capital. For the purposes of this assignment, you can assume that Intermediate preferred stock is included but convertible debt is not.

Note on Treasury stock

CET1 Capital is calculated net of treasury stock. That is common stock less treasury stock

Note on accumulated depreciation

In the calculation of risk-adjusted assets, the value of fixed assets such as buildings, land, equipment, etc. is taken net of accumulated depreciation.

Note on Marketable Securities

Marketable securities can be treated like cash

Notes on assets held:

$10M of residential mortgages are category 2 with LTV greater than 90%

The rest of residential mortgages are category 1 with LTV between 60% and 80%

Note on Prepaid insurance

Pre-paid insurance can be treated like cash

Note on Commercial Mortgage

The bank is restricted to lending only to corporations with an S&P credit rating of AA or better

Note on Sovereign Debt

50% of sovereign debt has a CRC rating or 2 the rest has a CRC rating of 3

Note on foreign bank debt

Foreign bank loans are all made to banks in countries with CRC rating of 4

Off Balance Sheet Items

Off balance Sheet contingent guarantee contracts

$40 million Direct-credit substitute standby letters of credit issued to a BBB+ rated U.S. Corp.

$40 million commercial letters of credit issued to a BBB - -rated U.S. corporation

Off-balance sheet derivatives

$200 million 10-year interest rate swaps with a value of -50 mill to Sigma

$100 million 2-year forward /$ contracts with a value of 20 mill to Sigma

Leverage ratio = 5.13%

Question: Calculate the Risk-adjusted asset value for both on-the-balance-sheet and off-the-balance-sheet

ASSETS LIABILITIES Current assets Current liabilities $265 35.9 8.5 2.9 $21 0.0001 as Petty cash Marketable Securities Long-Term corp. bonds Residential Mortgages Commercial mortgages Prepaid insurance Total current assets Repo Agreements Commercial Paper Wages payable Interest pavable Taxes payable Federal Funds Loans Unearned revenues Accrued income 40.5 31 3.8 1.5 2.0 321 106 Total current liabilities Investments Long-term liabilities Sovereign bonds Loans to foreign banks Other investments Senior Comm. Note pavable Senior Notes pavable Subordinate Notes Pavable Perpetual Debt Convertible Notes 236 19 20 Total Investment 30 Total Long-term Liabilities 390 Property, plant & equipment an Land improvements Buildings Equipment Less: accum. depreciatiorn Prop, plant & equip - net 5.5 6.5 169 201 -56 326 STOCKHOLDERS' EQUITY Common stock Retained earnings Minority interest in subsidiarie:s Perpetual preferred stock (Qualified) Intermediate Preferred stock Less: treasury stock 70 19 -50 59 Intangible assets Total stockholders' equity Goodwill lrade names Total intangible assets 21 284 305 Other assets Total assets $770 Total liab, &'equity $770