0% Commercial loans 4,832 100%
The assets and liabilities of a bank is shown below:
|
Assets |
||
|
$ in million |
Risk-weight % |
|
|
Cash |
273 |
0% |
|
Commercial loans |
4,832 |
100% |
|
Lending to OECD Banks |
1,267 |
20% |
|
U.S. government securities |
1,245 |
0% |
|
First lien residential mortgage |
3,698 |
50% |
|
Fixed assets |
2,028 |
100% |
|
Liabilities and Equity |
||
|
$ in million |
||
|
Deposits |
10,765 |
|
|
|
128 |
|
|
Subordinated debt capital |
239 |
|
|
Common stock (par value) |
52 |
|
|
Surplus (on common stock) |
268 |
|
|
Intermediate-term |
194 |
|
|
Noncumulative perpetual preferred stock |
87 |
|
|
Cumulative perpetual preferred stock with unpaid dividends |
1,610 |
|
Suppose the operational risk asset amount and the market risk asset amount are $1,258 million and $1,539 million respectively.
A.Does the bank meet the capital adequacy ratio (CAR) requirement of Tier 1 capital under Basel I? Explain.
B.Does the bank meet the CAR requirement of Tier 1 capital under Basel II? Explain
C.Does the bank meet the CAR requirement of Tier 1 capital under Basel III? Explain.
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