Maurice Tutor

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    Argosy University/ Phoniex University/
    Nov-2005 - Oct-2011

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    Phoniex University
    Oct-2001 - Nov-2016

Category > Accounting Posted 04 Aug 2017 My Price 4.00

AA-rated corporation

12.21     A bank has the following transaction with a AA-rated corporation

a.   A two-year interest rate swap with a principal of $100 million that is worth $3 million

b.   A nine-month foreign exchange forward contract with a principal of $150 million that is worth

–$5 million

c.   An long position in a six-month option on gold with a principal of $50 million that is worth $7 million

What is the capital requirement under Basel I if there is no netting? What difference does it make if the netting amendment applies? What is the capital required under Basel II when the standardized approach is used?

Answers

Maurice Tutor
(5)
Status NEW Posted 04 Aug 2017 11:08 PM My Price 4.00

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