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Question 15.P.3: Under the terms of the Basel I Agreement, what risk weights ...

Under the terms of the Basel I Agreement, what risk weights apply to the following on-balancesheet and off-balance-sheet items?

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Residential real estate loans Credi t card loans
Cash Standby letters of credit for municipal
Commercial loans bonds
U.S. Treasury securities Long-term unused commitments to
Deposits held at other banks make corporate loans
GNMA mortgage-backed Currency derivative contracts
securities Interest-rate derivative contracts
Standby credit letters for Short-term (under one year) loan
commercial paper commitments
Federal agency securities Bank real property
Munici pal general obligation bonds Bankers’ acceptances
Investments in subsidiaries Municipal revenue bonds
FNMA or FHLMC issued Reserves on deposit at the Federal
or guaranteed securi ties Reserve banks

 

The items which would appear in the 0%, 20%, 50% and 100% risk weight categories are the following:

 

0% 20% 50% 100%
Cash Deposits held at other banks Residential real estate loans Commercial loans
U.S. Treasury securities Federal agency securities Long term commitments to make corporate loans Standby credit letters for commercial paper
GNMA mortgage – backed securities Municipal general obligation bonds Currency derivative contracts Investments in subsidiaries
Short term loan commitments FNMA or FHLMC issued or guaranteed securities Interest-rate derivative contracts Credit card loans
Reserves on deposit at the Federal Reserve banks Standby letters of credit for municipal bonds Municipal revenue bonds Bank real estate
Bankers’ acceptances

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