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Question
Fifth Bank has the following balance sheet with values stated in millions of dollars. All assets are associated with corporate customers (not governments or sovereigns). Refer to Table 20-8 for associated risk weights.
In addition, Fifth Bank has off-balance sheet items as follows: (Refer to Tables 20-10 and 20-11)
$50 million in commercial letters of credit (LCs),
$300 million in 3-year interest rate swaps that are in-the-money by $2 million
$50 million in 4-year forward FX contracts that are out-of-the money by $2 million
What is the amount of risk adjusted on-balance-sheet assets of the bank as defined under the Basel II standards?
A. $130.0 million.
B. $685.0 million.
C. $720.0 million.
D. $630.0 million.
E. $900.0 million.
Answer
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