60.1K

Verified Solution

Link Copied!

0 0 20 0 20 50 100 150 0 100 150 0 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 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 The portion of an exposure that is conditionally guaranteed by the U.S. government, its central bank, or a U.S. government agency Other sovereign exposures: CRC of 0-1 CRC of 2 CRC of 3 CRC of 4-6 CRC of 7 OECD member with no CRC Non-OECD member with no CRC Sovereign default 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 3. Exposures to government-sponsored entities (GSES) An exposure to a GSE other than an equity exposure or preferred stock An exposure to preferred stock issued by a GSE 4. Exposures to depository institutions, foreign banks, and credit unions Exposures to U.S. depository insitutions and credit unions Exposures to foreign banks: CRC of 0-1 CRC of 2 CRC of 3 CRC of 4-7 OECD member with no CRC Non-OECD member with no CRC Sovereign default 5. Exposures to public sector entities (PSEs): General obligation exposures to U.S. PSES Revenue obligation exposures to U.S. PSES General obligation exposures to non-U.S. PSES: CRC of 0-1 CRC of 2 CRC of 3 CRC of 4-7 OECD member with no CRC 20 100 20 20 50 100 150 20 100 150 20 50 20 50 100 150 20 Risk Weight (in percent) 100 150 50 100 150 50 100 150 100 50 100 Exposures Non-OECD member with no CRC Sovereign default Revenue obligation exposures to non-U.S. PSES: CRC of 0-1 CRC of 2-3 CRC of 4-7 OECD member with no CRC Non-OECD member with no CRC Sovereign default 6. Corporate exposures All corporate exposures, including bonds and loans 7. Residential mortgage exposures An exposure to a first-lien residential mortgage with lower risk, or category (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) An exposure to a first-lien residential mortgage with higher risk, or category 2 (all other residential mortgage exposures) 8. Pre-sold construction loans and statutory multi-family mortgages Exposures to pre-sold construction loans and statutory multi-family mortgage 9. High-volatility commercial real estate (HVCRE) An HVCRE exposure 10. Past-due exposures An exposure that is not guaranteed or that is unsecured 11. Other assets Cash owned and held; gold bullion held in the bank's own vaults or held in another depository institution's vaults on an allocated basis, to the extent the gold bullion assets are offset by gold bullion liabilities; and exposures that arise from the settlement of cash transactions Cash items in the process of collection All assets not specifically assigned a different risk weight, including deferred acquisition costs (DAC) and value of business acquired (VOBA) Deferred tax assets (DTAs) arising from temporary differences that the bank could realize through net operating loss carrybacks Portion of mortgage servicing assets (MSAs) and DTAs arising from temporary differences that the bank could not realize through net operating loss carrybakcs that are not deducted from common equity tier 1 capital 50 150 150 0 20 100 100 250 Refer to:Table 1328: A bank's balance sheet information is shown below (in $000). On-Balance-Sheet Items Cash Short-term government securities (92 days) Federal Reserve stock Repos secured by federal agencies claims on U.S. depository institutions Loans to foreign banks, OECD CRC rated 2 General obligation municipals claims on or guaranteed by federal agencies Municipal revenue bonds Residential mortgages, category 1, loan-to-value ratio 75% Commercial loans Loans to sovereigns, OECD CRC rated 3 Premises and equipment Face Value $ 128,600 6,100 421,400 10,500 166,000 944,900 1,710,000 177,000 27,200 119,900 5,700,000 5,367,669 12,300 462,000 Conversion Factor ($) Face Value 20 50 $ 300 1,140 50 100 200 100 20 50 100 3,000 50 100 20 200 56,400 400 Off-Balance Sheet Items U.S. Government Counterparty Loan commitments: 1 year Standby letters of credit: Performance-related Direct-credit substitute Commercial letters of credit State and Local Government Counterparty (revenue municipals) Loan commitments: >1 year Standby letters of credit: Performance-related Corporate Customer Counterparty Loan commitments: 1 year Standby letters of credit: Performance-related Direct-credit substitute Commercial letters of credit Sovereign counterparty Loan commitments, OECD CRC rated 1: 1 year 50 100 50 135, 400 20 50 3,212,400 3,046, 278 50 100 20 101,543 490,900 78,978 20 50 110,500 1,225,400 3 ON O O 20 50 85,000 115,500 Sovereign counterparty Loan commitments, OECD CRC rated 2: 1 year Sovereign counterparty Loan commitments, OECD CRC rated 7: >1 year Interest rate market contracts (current exposure assumed to be zero): 1-5 year (notional amount) 50 30,000 0 0.5 2,000 5,000 What is the bank's risk-weighted asset base? (Do not round your intermediate calculations. Round your answer to the nearest whole dollar amount. (e.g., 32)) How much CET1 capital does a bank need to have as a percentage of risk-weighted assets according to the Basel III accords in order to be considered adequately capitalized? How much Tier 1 capital does a bank need to have as a percentage of risk-weighted assets according to the Basel III accords in order to be considered adequately capitalized? 0 0 20 0 20 50 100 150 0 100 150 0 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 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 The portion of an exposure that is conditionally guaranteed by the U.S. government, its central bank, or a U.S. government agency Other sovereign exposures: CRC of 0-1 CRC of 2 CRC of 3 CRC of 4-6 CRC of 7 OECD member with no CRC Non-OECD member with no CRC Sovereign default 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 3. Exposures to government-sponsored entities (GSES) An exposure to a GSE other than an equity exposure or preferred stock An exposure to preferred stock issued by a GSE 4. Exposures to depository institutions, foreign banks, and credit unions Exposures to U.S. depository insitutions and credit unions Exposures to foreign banks: CRC of 0-1 CRC of 2 CRC of 3 CRC of 4-7 OECD member with no CRC Non-OECD member with no CRC Sovereign default 5. Exposures to public sector entities (PSEs): General obligation exposures to U.S. PSES Revenue obligation exposures to U.S. PSES General obligation exposures to non-U.S. PSES: CRC of 0-1 CRC of 2 CRC of 3 CRC of 4-7 OECD member with no CRC 20 100 20 20 50 100 150 20 100 150 20 50 20 50 100 150 20 Risk Weight (in percent) 100 150 50 100 150 50 100 150 100 50 100 Exposures Non-OECD member with no CRC Sovereign default Revenue obligation exposures to non-U.S. PSES: CRC of 0-1 CRC of 2-3 CRC of 4-7 OECD member with no CRC Non-OECD member with no CRC Sovereign default 6. Corporate exposures All corporate exposures, including bonds and loans 7. Residential mortgage exposures An exposure to a first-lien residential mortgage with lower risk, or category (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) An exposure to a first-lien residential mortgage with higher risk, or category 2 (all other residential mortgage exposures) 8. Pre-sold construction loans and statutory multi-family mortgages Exposures to pre-sold construction loans and statutory multi-family mortgage 9. High-volatility commercial real estate (HVCRE) An HVCRE exposure 10. Past-due exposures An exposure that is not guaranteed or that is unsecured 11. Other assets Cash owned and held; gold bullion held in the bank's own vaults or held in another depository institution's vaults on an allocated basis, to the extent the gold bullion assets are offset by gold bullion liabilities; and exposures that arise from the settlement of cash transactions Cash items in the process of collection All assets not specifically assigned a different risk weight, including deferred acquisition costs (DAC) and value of business acquired (VOBA) Deferred tax assets (DTAs) arising from temporary differences that the bank could realize through net operating loss carrybacks Portion of mortgage servicing assets (MSAs) and DTAs arising from temporary differences that the bank could not realize through net operating loss carrybakcs that are not deducted from common equity tier 1 capital 50 150 150 0 20 100 100 250 Refer to:Table 1328: A bank's balance sheet information is shown below (in $000). On-Balance-Sheet Items Cash Short-term government securities (92 days) Federal Reserve stock Repos secured by federal agencies claims on U.S. depository institutions Loans to foreign banks, OECD CRC rated 2 General obligation municipals claims on or guaranteed by federal agencies Municipal revenue bonds Residential mortgages, category 1, loan-to-value ratio 75% Commercial loans Loans to sovereigns, OECD CRC rated 3 Premises and equipment Face Value $ 128,600 6,100 421,400 10,500 166,000 944,900 1,710,000 177,000 27,200 119,900 5,700,000 5,367,669 12,300 462,000 Conversion Factor ($) Face Value 20 50 $ 300 1,140 50 100 200 100 20 50 100 3,000 50 100 20 200 56,400 400 Off-Balance Sheet Items U.S. Government Counterparty Loan commitments: 1 year Standby letters of credit: Performance-related Direct-credit substitute Commercial letters of credit State and Local Government Counterparty (revenue municipals) Loan commitments: >1 year Standby letters of credit: Performance-related Corporate Customer Counterparty Loan commitments: 1 year Standby letters of credit: Performance-related Direct-credit substitute Commercial letters of credit Sovereign counterparty Loan commitments, OECD CRC rated 1: 1 year 50 100 50 135, 400 20 50 3,212,400 3,046, 278 50 100 20 101,543 490,900 78,978 20 50 110,500 1,225,400 3 ON O O 20 50 85,000 115,500 Sovereign counterparty Loan commitments, OECD CRC rated 2: 1 year Sovereign counterparty Loan commitments, OECD CRC rated 7: >1 year Interest rate market contracts (current exposure assumed to be zero): 1-5 year (notional amount) 50 30,000 0 0.5 2,000 5,000 What is the bank's risk-weighted asset base? (Do not round your intermediate calculations. Round your answer to the nearest whole dollar amount. (e.g., 32)) How much CET1 capital does a bank need to have as a percentage of risk-weighted assets according to the Basel III accords in order to be considered adequately capitalized? How much Tier 1 capital does a bank need to have as a percentage of risk-weighted assets according to the Basel III accords in order to be considered adequately capitalized

Answer & Explanation Solved by verified expert

See Answer