A U.S. based commercial bank has the following assets: $150 million in U.S. Treasury securities (0 percent
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A U.S. based commercial bank has the following assets: $150 million in U.S. Treasury securities (0 percent risk-weight category), $450 million in Fannie Mae (FNMC) mortgage backed securities (20 percent risk-weight category), $900 million in home mortgages (50 percent risk-weight category), and $1100 million in commercial loans (100 percent risk-weight category). This bank has $98 million in Tier 1 capital (e.g., common and preferred equity) and $46 million in Tier 2 capital (e.g., ALL, subordinated debt, etc). Based on the Basel I accord calculations, what is this commercial bank's ratio of TOTAL capital to risk-weighted assets?
Related Book For
Fixed Income Securities Valuation Risk and Risk Management
ISBN: 978-0470109106
1st edition
Authors: Pietro Veronesi
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