Given the following Balance Sheet of a commercial bank: Balance Sheet Assets $ Million Liabilities $ Million
Question:
Given the following Balance Sheet of a commercial bank:
Balance Sheet | |||
Assets | $ Million | Liabilities | $ Million |
Cash & Required Reserves | 5 | Demand Deposits | 40 |
Deposits with Correspondent Banks abroad (rated A) | 30 | Saving Deposits | 110 |
Eurodollar Bonds issued by Lebanon | 150 | Time Deposits | 190 |
Loans to corporates (rated BB) | 40 | Debentures | 50 |
CDs issued by the Central Bank in L.L. | 65 | Convertible bonds | 2 |
Loans to B rated sovereign borrowers | 60 | CoCo’s | 5 |
Investments in US treasuries | 25 | Subordinated Debt (10 years maturity) | 6 |
Loans to SMEs (unrated) | 45 | Perpetual Bonds | 1 |
LGs extended to contractors rated CC (assuming 30% of the time these LGs were called upon) | 20 | Common Stocks | 13 |
LCs to corporates rated BB (assuming 40% historical default risk) | 40 | Preferred Stocks | 3 |
Loans Commitment to corporates rated B- | 10 | Retained Earnings | 0 |
- Calculate the risk weighted assets (both on balance sheet and off-balance sheet).
- Find Common Equity Tier 1 (CET 1), Tier 1 and Tier 2 Capital, and Leverage Ratio.
- Is this bank adequately capitalized based on Basel 3?
Mathematical Statistics with Applications in R
ISBN: 978-0124171138
2nd edition
Authors: Chris P. Tsokos, K.M. Ramachandran