As of 1 Jan 2020, Alliance Bank has the following balance sheet and no off-balance sheet transactions or securitisation activities.

 

Assets		Liabilities and equity
Cash	$24	Deposits	$1176
Australian Treasury Bonds	$48	Subordinated debt	$50
Loans to Australian corporates rated BBB+	$660	Common equity	$78
Fixed assets	$276	Retained earnings	$12
Total assets	$1008	Total liabilities and equity	$1008

 

Transactions during 2020

(a) February : Uninsured mortgages of LVR 90% amounting to $50mn were given out, funded from interbank loans on the wholesale market.

(b) March : Bank sold down some real estate and its fixed assets went down to $176mn.  The proceeds from sale of $100mn was invested in Australian Treasury bonds.

(c) April : Bank gave out loan commitment with certain drawdown of $15mn to a resource company with credit rating BBB+ for a mining exploration project.

(d) May : The Treasury desk of Alliance Bank entered into a forward foreign exchange contract with notional exposure of $100mn with current exposure of $2.5mn, maturity of 4 years.  The counterparty was BHP mining which has credit rating of A.

 

1. What is the new common equity Tier 1 ratio of the bank after the transaction in February 2020?
2. Using the financial data as of 1 January 2020 and ignoring the transactions in February and March, what is the new risk-weighted assets of this bank at end-April after the April transaction?
3. Using the financial data as of 1 January 2020 and ignoring the transactions in February, March and April, what is the new risk-weighted assets of this bank after the May transaction?
4. What is the total risk-weighted assets of this bank on 1 January 2020?
5. What is the common equity Tier 1 (CET1) capital of this bank as of 1 January 2020?
6. What is the new risk-weighted assets of the bank after the transaction in February 2020?
7. Using the 1 Jan 2020 balance sheet information and only the March 2020 transaction (ignoring February 2020 transaction), what is the new Total Capital Adequacy Ratio (CAR) of Alliance Bank?
8. Using the 1 Jan 2020 balance sheet information and only the March 2020 transaction (ignoring February 2020 transaction), what is the new risk-weighted assets of Alliance Bank?
9. What is the total risk-weighted assets of this bank on 1 January 2020?
10. Using the financial data as of 1 January 2020 and all the transactions in February, March, April and May, what was Alliance Bank's total regulatory capital adequacy ratio after the May transaction?