What is the basle risk weighted assets

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Reference no: EM131510718

1. Use the balance sheet of a bank below to answer the following. Assets are either fixed or rate sensitive.

Assets Liabilities_______

Required Reserves 6 m Money Market Deposits 100 m

Excess Reserves _____ Capital 10 m

T-bills 25 m

Mortgages (30 year) 60 m

Commercial Loans (5 year) 10 m

(In addition, assume that the duration of its assets is 1.3, and the duration of liabilities is .7 years.)

a. Fill in the blank in the balance sheet above.

b. What is the Basle risk weighted assets (in $)?

c. What is the Basle capital requirement (in $)?

Reference no: EM131510718

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