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Njenge Bank has the following balance sheet (in millions). Liabilities and Equity. Deposits Subordinated debt (2.5 years) K3 Cumulative preferred stock Equity Total Liabilities & Equity Assets Cash К20 К25 K70 K70 K185 К175 OECD Interbank deposits Mortgage loans Consumer loans K5 K2 K185 Total Assets 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%

Njenge Bank has the following balance sheet (in millions). Liabilities and Equity. Deposits Subordinated debt (2.5 years) K3 Cumulative preferred stock Equity Total Liabilities & Equity Assets Cash К20 К25 K70 K70 K185 К175 OECD Interbank deposits Mortgage loans Consumer loans K5 K2 K185 Total Assets 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%

Essentials Of Investments
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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c. Does the bank have enough capital to meet the Basle requirements? If not, what minimum Tier 1 or total capital does it need to meet the requirement?  

 

d.Discuss the major shortcomings of the Basle I accord.

Njenge Bank has the following balance sheet (in millions). Liabilities and Equity. Deposits Subordinated debt (2.5 years) K3 Cumulative preferred stock Equity Total Liabilities & Equity Assets К20 К25 K70 K70 К185 Cash K175 OECD Interbank deposits Mortgage loans K5 К2 K185 Consumer loans Total Assets 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%
Transcribed Image Text:Njenge Bank has the following balance sheet (in millions). Liabilities and Equity. Deposits Subordinated debt (2.5 years) K3 Cumulative preferred stock Equity Total Liabilities & Equity Assets К20 К25 K70 K70 К185 Cash K175 OECD Interbank deposits Mortgage loans K5 К2 K185 Consumer loans Total Assets 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: What are the risk-adjusted on-balance-sheet assets of the bank as defined under the Basle Accord? a. b. What is the total capital required for both off- and on-balance-sheet assets?
Transcribed Image Text:Required: What are the risk-adjusted on-balance-sheet assets of the bank as defined under the Basle Accord? a. b. What is the total capital required for both off- and on-balance-sheet assets?
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