Under the Basel IIl risk-based capital plan, cach Dl assigns its assets to one of several categories of credit risk exposure. Table 13-28 lists the key categories and assets in these categories TABLE 13-28 Risk Weights for Calculating Risk-Weighted Assets for On-Balance-Sheet Items under Basel II Risk Weight (in percent 0 0 20 0 20 50 100 150 0 100 150 0 Exposures 1. Exposures to sovereigns Exposures to the US government An exposure to the US 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, its central bank, or a US government agency The portion of an exposure that is conditionally guaranteed by the US government, its central bank, or a US government agency Other sovereign exposures CRC of 0-1 CRC of 2 CRC of 3 CRC of 4-6 CRC of 7 OECD member with no CRC Non-OECD member 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 a GSE other than an equity exposure or preferred stock An exposure to preferred stock issued by a GSE 4. Exposures to depository institutions, foreign banks, and credit unions Exposures to U.S. depository insitutions and credit unions Exposures to foreign banks CRC of 0-1 CRC of 2 CRC of 3 CRC of 4.7 OECD member with no CRC Non-OECD member with no CRC Sovereign default 5. Exposures to public-sector entities (PSE: General obligation exposures to U.S. PSES Revenue obligation exposures to US. PSES General obligation exposures to non-US. PSE CRC of 0.1 CRC of 2 CRC of 3 CRC of 4-7 OECD member with no CRC 20 100 20 20 50 100 20 2252g 8g 828858 g 52 150 20 20 100 20 cantined) Appendix 13E Colculating Risk Bosed Capital Ratios Risk Weight Exposures in percent) Non-OECD member with no CRC 100 Sovereign default 150 Revenue obligation exposures to non-U.S. PSES CRC of 0-1 50 CRC of 2-3 100 CRC of 4-7 150 OECD member with no CRC 50 Non-OECD member with no CRC 100 Sovereign de mult 150 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 SO 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-tien 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 unsecured 150 11. Other assets Cash owned and held; gold bullion held in the bank's own vaults or held in 0 another depository institution's vaults on an allocated basis, to the extent the gold bullion assets are offset by gold bullion liabilities, and exposures that arise from the settlement of cash transactions Cash items in the process of collection 20 All assets nor 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 Portion of mortgage servicing assets (MSA) and DTAs arising from 250 temporary differences that the bank could not realize through net operating loss carrybakes that are not deducted from common equity tier 1 capital Source: Federal Register, Vol. 78, No. 198, Office of the Comptroller of the Currency, Department of the Treasury, October 11, 2013 Risk weights for sovereign exposures are determined using OECD (Organization for Economic Cooperation and Development) country risk classifications (CRC), A sov creign is a central government (including the U.S. government) or an agency department, ministry, or central bank of a central government. The OECD'S CRC assess a country's credit risk using two basic components: the country risk assessment model (CRAM) an econometric model that produces a quantitative assessment of country credit risk and the qualitative assessment of the CRAM results-which integrates political risk and other risk factors not fully captured by the CRAM. The two components are combined and classified into one of eight risk categories (0-7). Countries assigned to categories 0-1 have the lowest possible risk assessment and are assigned a risk weight of percent Refer to Table 13-28 A bank's balance sheet information is shown below (in $000) On-Balance Sheet Items Cash Short-term government securities (92 days) Federal Reserve stock Repos secured by federal agencies claims on U.S. depository institutions Loans to foreign banks, OECD CRC rated 2 General obligation municipals Claims on or guaranteed by federal agencies Municipal revenue bonds Residential mortgages, category 1, loan-to-value ratio 75% Commercial loans Loans to sovereigns, OECD CRC rated 3 Premises and equipment Face Value $ 130,600 6,300 423,400 10,700 168,000 946,900 1,730,000 179,000 27,400 121,900 5,900,000 5,567,669 12,500 464,800 Conversion Factor (3) Face Value 20 Se $ 300 1.140 so 100 200 1e0 2a 50 100 3,000 50 100 20 200 56,400 400 50 100 50 135,400 Off-Balance Sheet Items U.S. Government Counterparty Loan commitments: 1 year Standby letters of credit: Performance-related Direct-credit substitute Commercial letters of credit State and Local Government Counterparty (revenue municipals) Loan commitments: 1 year Standby letters of credit: Performance-related Corporate Customer Counterparty Loan commitments: 1 year Standby letters of credit: Performance-related Direct-credit substitute Commercial letters of credit Sovereign counterparty Loan commitments, OECD CRC rated 1 1 year Sovereign counterparty Loan commitments, OECD CRC rated 2: 1 year Sovereign counterparty Loan commitments, OECD CRC rated 7: >1 year Interest rate market contracts (current exposure assumed to be zero): 2e se 3,212,400 3,046,278 5e 100 20 101,543 490,900 78,978 20 se 110,500 1,225,400 2e 50 85.000 115,500 50 30,000 Clains on U.S. depository institutions Loans to foreign banks, OECD CRC rated 2 General obligation municipals Claims on or guaranteed by federal agencies Municipal revenue bonds Residential mortgages, category 1, loan-to-value ratio 75% Commercial loans Loans to sovereigns, OECD CRC rated 3 Premises and equipment 946,900 1,730,000 179,000 27,400 123,900 5,900,000 5,567,669 12,500 454,000 100 Off-Balance Sheet Items Conversion Factor (%) Face Value U.S. Government Counterparty Loan commitments: 1 year se 3,000 Standby letters of credit: Performance-related 50 200 Direct-credit substitute 100 56,400 Commercial letters of credit 20 400 State and Local Government Counterparty (revenue municipals) Loan commitments: >1 year 50 100 Standby letters of credit: Performance-related 50 135,400 Corporate Customer Counterparty Loan commitments: 1 year 50 3,046,278 Standby letters of credit: 50 Performance-related 101,543 100 Direct-credit substitute 490,900 20 78,978 Commercial letters of credit Sovereign counterparty Loan commitments, OECD CRC rated 1: 20 110,500 1 year Sovereign counterparty Loan commitments, OECD CRC rated 2: 20 35,000 1 year Sovereign counterparty Loan commitments, OECD CRC rated 7: 5e >1 year Interest rate market contracts (current exposure assumed to be zero): 1-5 year (notional amount) What is the bank's risk-weighted asset base? (Do not round your intermediate calculations, Round your answer to the nearest whole dollar amount. (e.g., 32)) 30,000 2.800 Risk-weighted asset base Under the Basel IIl risk-based capital plan, cach Dl assigns its assets to one of several categories of credit risk exposure. Table 13-28 lists the key categories and assets in these categories TABLE 13-28 Risk Weights for Calculating Risk-Weighted Assets for On-Balance-Sheet Items under Basel II Risk Weight (in percent 0 0 20 0 20 50 100 150 0 100 150 0 Exposures 1. Exposures to sovereigns Exposures to the US government An exposure to the US 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, its central bank, or a US government agency The portion of an exposure that is conditionally guaranteed by the US government, its central bank, or a US government agency Other sovereign exposures CRC of 0-1 CRC of 2 CRC of 3 CRC of 4-6 CRC of 7 OECD member with no CRC Non-OECD member 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 a GSE other than an equity exposure or preferred stock An exposure to preferred stock issued by a GSE 4. Exposures to depository institutions, foreign banks, and credit unions Exposures to U.S. depository insitutions and credit unions Exposures to foreign banks CRC of 0-1 CRC of 2 CRC of 3 CRC of 4.7 OECD member with no CRC Non-OECD member with no CRC Sovereign default 5. Exposures to public-sector entities (PSE: General obligation exposures to U.S. PSES Revenue obligation exposures to US. PSES General obligation exposures to non-US. PSE CRC of 0.1 CRC of 2 CRC of 3 CRC of 4-7 OECD member with no CRC 20 100 20 20 50 100 20 2252g 8g 828858 g 52 150 20 20 100 20 cantined) Appendix 13E Colculating Risk Bosed Capital Ratios Risk Weight Exposures in percent) Non-OECD member with no CRC 100 Sovereign default 150 Revenue obligation exposures to non-U.S. PSES CRC of 0-1 50 CRC of 2-3 100 CRC of 4-7 150 OECD member with no CRC 50 Non-OECD member with no CRC 100 Sovereign de mult 150 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 SO 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-tien 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 unsecured 150 11. Other assets Cash owned and held; gold bullion held in the bank's own vaults or held in 0 another depository institution's vaults on an allocated basis, to the extent the gold bullion assets are offset by gold bullion liabilities, and exposures that arise from the settlement of cash transactions Cash items in the process of collection 20 All assets nor 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 Portion of mortgage servicing assets (MSA) and DTAs arising from 250 temporary differences that the bank could not realize through net operating loss carrybakes that are not deducted from common equity tier 1 capital Source: Federal Register, Vol. 78, No. 198, Office of the Comptroller of the Currency, Department of the Treasury, October 11, 2013 Risk weights for sovereign exposures are determined using OECD (Organization for Economic Cooperation and Development) country risk classifications (CRC), A sov creign is a central government (including the U.S. government) or an agency department, ministry, or central bank of a central government. The OECD'S CRC assess a country's credit risk using two basic components: the country risk assessment model (CRAM) an econometric model that produces a quantitative assessment of country credit risk and the qualitative assessment of the CRAM results-which integrates political risk and other risk factors not fully captured by the CRAM. The two components are combined and classified into one of eight risk categories (0-7). Countries assigned to categories 0-1 have the lowest possible risk assessment and are assigned a risk weight of percent Refer to Table 13-28 A bank's balance sheet information is shown below (in $000) On-Balance Sheet Items Cash Short-term government securities (92 days) Federal Reserve stock Repos secured by federal agencies claims on U.S. depository institutions Loans to foreign banks, OECD CRC rated 2 General obligation municipals Claims on or guaranteed by federal agencies Municipal revenue bonds Residential mortgages, category 1, loan-to-value ratio 75% Commercial loans Loans to sovereigns, OECD CRC rated 3 Premises and equipment Face Value $ 130,600 6,300 423,400 10,700 168,000 946,900 1,730,000 179,000 27,400 121,900 5,900,000 5,567,669 12,500 464,800 Conversion Factor (3) Face Value 20 Se $ 300 1.140 so 100 200 1e0 2a 50 100 3,000 50 100 20 200 56,400 400 50 100 50 135,400 Off-Balance Sheet Items U.S. Government Counterparty Loan commitments: 1 year Standby letters of credit: Performance-related Direct-credit substitute Commercial letters of credit State and Local Government Counterparty (revenue municipals) Loan commitments: 1 year Standby letters of credit: Performance-related Corporate Customer Counterparty Loan commitments: 1 year Standby letters of credit: Performance-related Direct-credit substitute Commercial letters of credit Sovereign counterparty Loan commitments, OECD CRC rated 1 1 year Sovereign counterparty Loan commitments, OECD CRC rated 2: 1 year Sovereign counterparty Loan commitments, OECD CRC rated 7: >1 year Interest rate market contracts (current exposure assumed to be zero): 2e se 3,212,400 3,046,278 5e 100 20 101,543 490,900 78,978 20 se 110,500 1,225,400 2e 50 85.000 115,500 50 30,000 Clains on U.S. depository institutions Loans to foreign banks, OECD CRC rated 2 General obligation municipals Claims on or guaranteed by federal agencies Municipal revenue bonds Residential mortgages, category 1, loan-to-value ratio 75% Commercial loans Loans to sovereigns, OECD CRC rated 3 Premises and equipment 946,900 1,730,000 179,000 27,400 123,900 5,900,000 5,567,669 12,500 454,000 100 Off-Balance Sheet Items Conversion Factor (%) Face Value U.S. Government Counterparty Loan commitments: 1 year se 3,000 Standby letters of credit: Performance-related 50 200 Direct-credit substitute 100 56,400 Commercial letters of credit 20 400 State and Local Government Counterparty (revenue municipals) Loan commitments: >1 year 50 100 Standby letters of credit: Performance-related 50 135,400 Corporate Customer Counterparty Loan commitments: 1 year 50 3,046,278 Standby letters of credit: 50 Performance-related 101,543 100 Direct-credit substitute 490,900 20 78,978 Commercial letters of credit Sovereign counterparty Loan commitments, OECD CRC rated 1: 20 110,500 1 year Sovereign counterparty Loan commitments, OECD CRC rated 2: 20 35,000 1 year Sovereign counterparty Loan commitments, OECD CRC rated 7: 5e >1 year Interest rate market contracts (current exposure assumed to be zero): 1-5 year (notional amount) What is the bank's risk-weighted asset base? (Do not round your intermediate calculations, Round your answer to the nearest whole dollar amount. (e.g., 32)) 30,000 2.800 Risk-weighted asset base