What is the contribution to the asset base of the following items under the Basel III requirements?

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What is the contribution to the asset base of the following items under the Basel III requirements?

a. $ 10 million cash reserves.

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

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

d. $ 5 million U.K. government bonds, OECD CRD rated 1.

e. $ 5 million French short-term government bonds, OECD CRD rated 2.

f. $ 1 million general obligation bonds.

g. $ 40 million repurchase agreements ( against U. S. Treasuries).

h. $ 2 million loan to foreign bank, OECD rated 3.

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

j. $ 10 million 1-4 family home mortgages, category 2, loan-to-value ratio 95%.

k. $ 5 million 1-4 family home mortgages, 100 days past due.

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

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

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

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

p. $ 7 million commercial letter of credit to a foreign bank, OECD CRC rated 2.

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

r. $ 8 million bankers’ acceptance conveyed to a U.S. AA rated corporation.

s. $ 17 million three-year loan commitment to a private agent.

t. $ 17 million three-month loan commitment to a private agent.

u. $ 30 million standby letter of credit to back an A rated corporate issue of commercial paper.

v. $ 4 million five-year interest rate swap with no current exposure.

w. $ 6 million two-year currency swap with $ 500,000 cur-rent exposure.


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Financial Markets and Institutions

ISBN: 978-0077861667

6th edition

Authors: Anthony Saunders, Marcia Cornett

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