Accounting

A bank’s balance sheet information is shown below (in $000).

Used for answers to 1-4

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On Balance Sheet ItemsFace ValueWeightValue

Cash  $121,6000%$0

Short-term government securities (

Long-term government securities (>92 days) 414,4000%$0

Federal Reserve stock9,8000%$0

Repos secured by federal agencies159,00020%$31,800

Claims on U.S. depository institutions937,90020%$187,580

Loans to foreign banks, OECD CRC rated 21,640,00020%$328,000

General obligations municipals170,00020%$34,000

Claims on or guaranteed by federal agencies26,50020%$5,300

Municipal revenue bonds112,90050%$56,450

Residential mortgages,

category 1, loan-to-value ratio 75%5,000,00050%$2,500,000

Commercial loans4,667,669100%$4,667,669

Loans to sovereigns, OECD CRC rated 3.11,60050%$5,800

Premises and equipment455,000100%$455,000

ConversionFaceCredit-Equivalent              Risk-Adjusted

Off Balance Sheet Items:FactorValueAmountAsset Value

U.S. Government Counterparty

Loan commitments:

< 1=””>

1-5 year50%1,1405700

Standby letters of credit:

Performance-related50%2001000

Direct-credit substitute100%1001000

U.S. Depository InstitutionsCounterparty

Loan commitments:

< 1=””>

> 1 year50%3,0001,5001300

Standby letters of credit:

Performance-related50%20010020

Direct-credit substitute100%56,40056,40011,280

Commercial letters of credit:20%4008016

State and Local Government Counterparty

(revenue municipals)

Loan commitments:

>1 year50%1005025

Standby letters of credit:

Performance-related50%135,40067,70033,850

Corporate Customer Counterparty

Loan commitments:

< 1=””>

>1 year 50%3,046,2781,523,1391,523,139

Standby letters of credit:

Performance-related50%101,54350,77250,772

Direct-credit substitute100%490,900490,900490,9000

Commercial letters of credit:20%78,97815,79615,796

Sovereign Counterparty

Loan commitments, OECD CRC rated 1:

< 1=””>

>1 year 50%1,225,400612,7000

Sovereign Counterparty

Loan commitments, OECD CRC rated 2:

< 1=””>

>1 year 50%115,50057,75011,500

Sovereign Counterparty

Loan commitments, OECD CRC rated 7:

>1 year. 50%30,00015,00022,500

Interest rate market contracts:

(current exposure assumed to be zero.)

< 1=”” year=”” (notional=””>

> 1-5 year (notional amount) 0.5%5,0002525

1.What is the banks risk-adjusted asset base under Basel III?

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