A banks balance sheet information is shown below (in $000). On Balance Sheet Items Face Value Cash
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A bank’s balance sheet information is shown below (in $000).
On Balance Sheet Items | Face Value | ||
Cash | $ | 141,600 | |
Short-term government securities (<92 days) | 7,400 | ||
Long-term government securities (>92 days) | 434,400 | ||
Federal Reserve stock | 11,800 | ||
Repos secured by federal agencies | 179,000 | ||
Claims on U.S. depository institutions | 957,900 | ||
Loans to foreign banks, OECD CRC rated 2 | 1,840,000 | ||
General obligation municipals | 190,000 | ||
Claims on or guaranteed by federal agencies | 28,500 | ||
Municipal revenue bonds | 132,900 | ||
Residential mortgages, category 1, loan-to-value ratio 75% | 7,000,000 | ||
Commercial loans | 6,667,669 | ||
Loans to sovereigns, OECD CRC rated 3 | 13,600 | ||
Premises and equipment | 475,000 | ||
Off Balance Sheet Items: | Conversion Factor (%) | Face Value | |||
U.S. Government Counterparty | |||||
Loan commitments: | |||||
<1 year | 20 | $ | 300 | ||
1–5 year | 50 | 1,140 | |||
Standby letters of credit: | |||||
Performance-related | 50 | 200 | |||
Direct-credit substitute | 100 | 100 | |||
U.S. Depository Institutions Counterparty | |||||
Loan commitments: | |||||
<1 year | 20 | 100 | |||
>1 year | 50 | 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 | 20 | 3,212,400 | |||
>1 year | 50 | 3,046,278 | |||
Standby letters of credit: | |||||
Performance-related | 50 | 101,543 | |||
Direct-credit substitute | 100 | 490,900 | |||
Commercial letters of credit: | 20 | 78,978 | |||
Sovereign Counterparty | |||||
Loan commitments, OECD CRC rated 1: | |||||
<1 year | 20 | 110,500 | |||
>1 year | 50 | 1,225,400 | |||
Sovereign Counterparty | |||||
Loan commitments, OECD CRC rated 2: | |||||
<1 year | 20 | 85,000 | |||
>1 year | 50 | 115,500 | |||
Sovereign Counterparty | |||||
Loan commitments, OECD CRC rated 7: | |||||
>1 year | 50 | 30,000 | |||
Interest rate market contracts (current exposure assumed to be zero): | |||||
<1 year (notional amount) | 0 | 2,000 | |||
>1–5 year (notional amount) | 0.5 | 5,000 | |||
What is the bank’s risk-adjusted asset base?
Related Book For
Financial Institutions Management A Risk Management Approach
ISBN: 978-0071051590
8th edition
Authors: Marcia Cornett, Patricia McGraw, Anthony Saunders
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