Question

What is the contribution to the asset base of the following items under the Basel III 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 U.K. government bonds, OECD CRD rated 1.
e.	$5 million French short-term government bonds, OECD CRD rated 2.
f.	$2 million general obligation bonds.
g.	$20 million repurchase agreements (against U.S. Treasuries).
h.	$4 million loan to foreign bank, OECD rated 3.
i.	$480 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.
l.	$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.
q.	$3 million five-year loan commitment to a foreign government, OECD CRC rated 1.
r.	$9 million bankers’ acceptance conveyed to a U.S., AA rated corporation.
s.	$17 million three-year loan commitment to a private agent.
t.	$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 paper.
v.	$7 million five-year interest rate swap with no current exposure.
w.	$3 million two-year currency swap with $200,000 current exposure.

   

	Basel III Asset Base
a.	$
b.
c.
d.
e.
f.
g.
h.
i.
j.
k.
l.
m.
n.
o.
p.
q.
r.
s.
t.
u.
v.
w.

Answer 1

Answer i as follows

Risk weight Basel III Asset Base

a. 0 % $ 0

b. $ 0

c. $24,000,000

d. $ 0

e. 20 $ 1,000,000

f. 20 $ 400,000

g. 20 $ 4,000,000

h. 50 $ 2,000,000

i. 50 $ 240,000,000

j. 200 $ 18,000,000

k. 150 $ 7,500,000

l. 100 $ 480,000,000

m. 100 $ 480,000,000

n. 50 100 $ 100,000

o 50 20 $ 20,000

p. 20 20 $ 360,000

q. 50 0 $ 0

r. 20 100 $ 1,800,000

s. 50 100 $ 8.5 million

t. 20 100 $ 3.4 million

u. 100 100 $ 34 million

v. 5% $ 0 100 $ 35,000

w. 5% 200,000 100 $ 350,000