Sigma Bank has the following balance sheet in millions of dollars Unless mentioned otherwise, all assets are associated with corporate customers (not governments or sovereigns) Values are in millions of dollars Off balance sheet contingent liabilities $60 million direct credit substitute standby letters of credit issued to a US corporation $60 million commercial letters of credit issued to a corporation Offbalance sheet derivatives $100 million 10year interest rate swaps $200 million 2year forward FX contracts .

5. What is the credit equivalent amount of the off balance sheet letters of credit, both standby and commercial (Directcredit substitute standby letters of credit conversion factor 100 percent Commercial letters of credit conversion factor 20 percent Risk weights of each is 100) (PLESE SHOW YOUR WORK) 

A $96 million 

B $160 million 

C $48 million 

D $72 million 

E $80 million 

6. What is the credit equivalent amount of the off balance sheet foreign exchange contracts if it is in the money by $4 million (One to 5 year foreign exchange rate contract credit conversion factor 50 percent) (PLESE SHOW YOUR WORK) 

A $10 million 

B $2 million 

C $5 million 

D $1 million 

E $9 million

Answer rating: 100% (QA)

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