Refer to Table $1328.$

What is the contribution to the asset base of the following items under the Basel III requirements? $($Leave no cells blank $-$ be certain to enter $"0"$ wherever required. Enter your answers in dollars not in millions.$)$

$$15$ million cash reserves.

$$50$ million $91-$day U$.$S$.$ Treasury bills.

$$25$ million cash items in the process of collection.

$$8$ million UK government bonds, OECD CRD rated $1.$

$$8$ million French short$-$term government bonds, OECD CRD rated $2.$

$$1$ million general obligation bonds.

$$20$ million repurchase agreements $($against U$.$S$.$ Treasuries$).$

$$3$ million loan to foreign bank, OECD rated $3.$

$$500$ million $1-4$ family home mortgages, category $1,$ loan$-$to$-$value ratio $80\%.$

$$15$ million $1-4$ family home mortgages, category $2,$ loan$-$to$-$value ratio $95\%.$

$$8$ million $1-4$ family home mortgages, $100$ days past due.

$$500$ million commercial and industrial loans, AAA$-$rated.

$$500$ million commercial and industrial loans, B$-$rated.

$$100,000$ performance$-$related standby letters of credit to a AAA$-$rated corporation.

$$100,000$ performance$-$related standby letters of credit to a municipality issuing general obligation bonds.

$$12$ million commercial letter of credit to a foreign bank, OECD CRC rated $2.$

$$3$ million five$-$year loan commitment to a foreign government, OECD CRC rated $1.$

$$7$ million bankers$$ acceptance conveyed to a U$.$S$.$ AA$-$rated corporation.

$$20$ million three$-$year loan commitment to a private agent.

$$20$ million three$-$month loan commitment to a private agent.

$$40$ million standby letter of credit to back an A$-$rated corporate issue of commercial paper.

$$6$ million five$-$year interest rate swap with no current exposure.

$$6$ million two$-$year currency swap with $$500,000$ current exposure. BLE $1328$Risk Weights for Calculating Risk$-$Weighted Assets for On$-$Balance$-$Sheet

Items under Basel III

Exposures

Risk Weight

$($in percent$)$

$1.$ Exposures to sovereigns

Exposures to the U$.$S$.$ government:

An exposure to the U$.$S$.$ government, its central bank, or a U$.$S$.$ government

agency

$0$

The portion of an exposure that is directly and unconditionally guaranteed by

the U$.$S$.$ government, its central bank, or a U$.$S$.$ government agency

$0$

The portion of an exposure that is conditionally guaranteed by the U$.$S$.$

government, its central bank, or a U$.$S$.$ government agency

$20$

Other sovereign exposures:

CRC of $0-10$

CRC of $220$

CRC of $350$

CRC of $4-6100$

CRC of $7150$

OECD member with no CRC $0$

Non$-$OECD member with no CRC $100$

Sovereign default $150$

$2.$ Exposures to certain supranational entities and multilateral development

banks $($MDBs$)$

An exposure to the BIS, the ECB, the European Commission, the IMF, or an

MDB

$0$

$3.$ Exposures to government$-$sponsored entities $($GSEs$)$

An exposure to a GSE other than an equity exposure or preferred stock $20$

An exposure to preferred stock issued by a GSE $100$

$4.$ Exposures to depository institutions, foreign banks, and credit unions

Exposures to U$.$S$.$ depository insitutions and credit unions $20$

Exposures to foreign banks:

CRC of $0-120$

CRC of $250$

CRC of $3100$

CRC of $4-7150$

OECD member with no CRC $20$

Non$-$OECD member with no CRC $100$

Sovereign default $150$

$5.$ Exposures to public$-$sector entities $($PSEs$)$:

General obligation exposures to U$.$S$.$ PSEs $20$

Revenue obligation exposures to U$.$S$.$ PSEs $50$

General obligation exposures to non$-$U$.$S$.$ PSEs:

CRC of $0-120$

CRC of $250$

CRC of $3100$

CRC of $4-7150$

OECD member with no CRC $20$

Under the Basel III risk$-$based capital plan, each DI assigns its assets to one of several

categories of credit risk exposure. Table $1328$ lists the key categories and assets in these

categories.

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sau$72403\_$app$13$e$\_001-013.$indd $401/12/2105$:$23$ PM

$4$ Appendix $13$E$$Calculating Risk$-$Based Capital Ratios

Exposures

Risk Weight

$($in percent$)$

Non$-$OECD member with no CRC $100$

Sovereign default $150$

Revenue obligation exposures to non$-$U$.$S$.$ PSEs:

CRC of $0-150$

CRC of $2-3100$

CRC of $4-7150$

OECD member with no CRC $50$

Non$-$OECD member with no CRC $100$

Sovereign default $150$

$6.$ Corporate exposures

All corporate exposures, including bonds and loans $100$

$7.$ Residential mortgage exposures

An exposure to a first$-$lien residential mortgage with lower risk, or category

$1($mortgage that meets prudential underwriting standards, including

standards relating to loan$-$to$-$value ratio, are not $90$ days or more past due,

and that are not restructured or modified$)$

$50$

An exposure to a first$-$lien residential mortgage with higher risk, or category $2$

$($all other residential mortgage exposures$)$

$100$

$8.$ Pre$-$sold construction loans and statutory multi$-$family mortgages

Exposures to pre$-$sold construction loans and statutory multi$-$family mortgage $50$

$9.$ High$-$volatility commercial real estate $($HVCRE$)$

An HVCRE exposure $150$

$10.$ Past$-$due exposures

An exposure that is not guaranteed or that is unsecured $150$

$11.$ Other assets

Cash owned and held; gold bullion held in the bank$$s own vaults or held in

another depository institut