Njenge Bank has the following balance sheet (in millions) with the risk weights in parentheses. Assets Cash OECD Interbank deposits (20%) K25 Liabilities and Equity Deposits Subordinated debt (2.5 years) (0%) K20 K175 K3 Mortgage loans K5 Consumer loans Total Assets (50%) K70 Cumulative preferred stock (100%) K70 к185 Equity Total Liabilities & Equity K2 K185 In addition, the bank has K30 million in performance-related standby letters of credit (SLCS), and K300 million in six-year interest rate swaps. Credit conversion factors follow: Performance-related standby LCs 1-5 year foreign exchange contracts 5% 1-5 year interest rate swaps 5-10 year interest rate swaps 50% 0.5% 1.5% Required a. What are the risk-adjusted on-balance-sheet assets of the bank as defined under the Basle Accord? b. What is the total capital required for both off- and on-balance-sheet assets?

Njenge Bank has the following balance sheet (in millions) with the risk weights in parentheses. Assets Cash OECD Interbank deposits (20%) K25 Liabilities and Equity Deposits Subordinated debt (2.5 years) (0%) K20 K175 K3 Mortgage loans K5 Consumer loans Total Assets (50%) K70 Cumulative preferred stock (100%) K70 к185 Equity Total Liabilities & Equity K2 K185 In addition, the bank has K30 million in performance-related standby letters of credit (SLCS), and K300 million in six-year interest rate swaps. Credit conversion factors follow: Performance-related standby LCs 1-5 year foreign exchange contracts 5% 1-5 year interest rate swaps 5-10 year interest rate swaps 50% 0.5% 1.5% Required a. What are the risk-adjusted on-balance-sheet assets of the bank as defined under the Basle Accord? b. What is the total capital required for both off- and on-balance-sheet assets?

FINANCIAL ACCOUNTING

10th Edition

ISBN:9781259964947

Author:Libby

Publisher:Libby

Chapter1: Financial Statements And Business Decisions

Section: Chapter Questions

Problem 1Q

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