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This question is worth positive 2 marks for a correct answer. This question is worth negative 2 marks for an incorrect answer. Please select the neutral response for no penalty if you believe you are unable to answer this question. The relevant domestic Australian regulator has recognised the following relationship between the ratings published by agency Panda & Stoor Corporation's and the equivalent credit rating grades under the Standardised Approach. CREDIT RATING P&S Corp GRADE RATING 1 AAA to AA. 2 A-to A- 3 BBB-to BBB- BB to BB- B-to B- 6 CCC to D 4 5 The regulator has also published the following mapping of Australian-dollar claims against different counterparties for credit rating grades 1 through 6: 1 0% 0% COUNTERPARTY Reserve Bank of Australia Commonwealth government of Australia State governments & Territories Commercial banks (3mth maturity) Corporations CREDIT RATING GRADE 2 3 4 5 0% no 096 0% 0% 0% 096 % 0% 0% 20% 50% 100% 100% 20% 20% 50% 50% 50% 50% 100% 100% 50% 100% 100% 150% 0% 6 % 098 096 150% 150% 150% 15096 20% 20% 20% VALUE $104m ANZ is a major Australian commercial bank that has only the following assets. All financial instruments are claims denominated in Australian dollars. ASSET Notes & Coins Gold bullion Commonwealth Government of Australia Treasury Bonds Loan to State Government of New South Wales 2-months term loan to Safe Bank of NSW Loan to Dodgy Aeronautical Fusion Corportation $527m $535m ADDITIONAL NOTES All Australian dollars Held in Fong Bank's vaults Rated AAA by P&S Corp Rated A+ by P&S Corp Rated BBB- by P&S Corp Rated BB- by P&S Corp $83m $283m $10m ANZ has also provided Dodgy A.F. Corp with a performance-related guarantee of $217 million. You know that performance-related guarantees have a credit conversion factor (CCF) of 50% To meet APRA's requirement to be unquestionably strong, calculate the minimum amount of CET1 capital (in $millions) that ANZ would need to have out of their total capital requirement. O a. I am unable to answer this question and accept zero marks. O O b. $18.09 million O c. $20.13 million O C O d. $9.75 million e $13.57 million O f. $18.45 million O g. $10.64 million This question is worth positive 2 marks for a correct answer. This question is worth negative 2 marks for an incorrect answer. Please select the neutral response for no penalty if you believe you are unable to answer this question. The relevant domestic Australian regulator has recognised the following relationship between the ratings published by agency Panda & Stoor Corporation's and the equivalent credit rating grades under the Standardised Approach. CREDIT RATING P&S Corp GRADE RATING 1 AAA to AA. 2 A-to A- 3 BBB-to BBB- BB to BB- B-to B- 6 CCC to D 4 5 The regulator has also published the following mapping of Australian-dollar claims against different counterparties for credit rating grades 1 through 6: 1 0% 0% COUNTERPARTY Reserve Bank of Australia Commonwealth government of Australia State governments & Territories Commercial banks (3mth maturity) Corporations CREDIT RATING GRADE 2 3 4 5 0% no 096 0% 0% 0% 096 % 0% 0% 20% 50% 100% 100% 20% 20% 50% 50% 50% 50% 100% 100% 50% 100% 100% 150% 0% 6 % 098 096 150% 150% 150% 15096 20% 20% 20% VALUE $104m ANZ is a major Australian commercial bank that has only the following assets. All financial instruments are claims denominated in Australian dollars. ASSET Notes & Coins Gold bullion Commonwealth Government of Australia Treasury Bonds Loan to State Government of New South Wales 2-months term loan to Safe Bank of NSW Loan to Dodgy Aeronautical Fusion Corportation $527m $535m ADDITIONAL NOTES All Australian dollars Held in Fong Bank's vaults Rated AAA by P&S Corp Rated A+ by P&S Corp Rated BBB- by P&S Corp Rated BB- by P&S Corp $83m $283m $10m ANZ has also provided Dodgy A.F. Corp with a performance-related guarantee of $217 million. You know that performance-related guarantees have a credit conversion factor (CCF) of 50% To meet APRA's requirement to be unquestionably strong, calculate the minimum amount of CET1 capital (in $millions) that ANZ would need to have out of their total capital requirement. O a. I am unable to answer this question and accept zero marks. O O b. $18.09 million O c. $20.13 million O C O d. $9.75 million e $13.57 million O f. $18.45 million O g. $10.64 million

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