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This question is worth positive 2 marks for a correct answer. This question is worth negative 2 marks for an incorrect answer. Please select the neutral response for no penalty if you believe you are unable to answer this question. APRA. the relevant domestic Australian regulator has recognised the following relationship between the ratings published by agency Standard & Poor Corporation's and the equivalent credit rating grades under the Standardised Approach, S&P Corp RATING AAA tO AA A+ to A- BBB+ to 88B- BB+ to BB- CREDIT RATING GRADE 1 2 3 4 5 B+ to B CCC+to 6 The regulator has also published the following mapping of Australian dollar claims against different counterparties for credit rating grades 1 through 6. CREDIT RATING GRADE COUNTERPARTY 2 3 5 6 Reserve Bank of Australia 0% 096 0% 0% 09 096 Act 093 0 0% 0% With 02 09 The regulator has also published the following mapping of Australian-dollar claims against different counterparties for credit rating grades 1 through 6: COUNTERPARTY Reserve Bank of Australia Commonwealth government of Australia State governments & Territories Commercial banks (3mth maturity) Corporations 1 0% 0% 0% 20% 20% 20% CREDIT RATING GRADE 2 3 4 5 0% 0% 0% 0% 0% 0% 0% 0% 20% 50% 100% 100% 20% 20% 50% 50% 50% 50% 100% 100% 50% 10096 100% 150% 6 0% 0% 150% 150% 150% 150% CBA is a major Australian commercial bank that has only the following assets. All financial instruments are claims denominated in Australian dollars. ASSET VALUE ADDITIONAL NOTES Notes & Coins $135m All Australian dollars Gold bullion $273m Held in CBA's vaults Commonwealth Government of Australia Treasury Bonds 544m Rated AAA by S&P Corp Loan to State Government of New South Wales $75m Rated A- by S&P Corp 5-year term loan to Safe Bank of NSW $180m Rated BBB- by S&P Corp $6m Loan to Dodgy Aeronautical Fusion Corporation Rated BB by S&P Corp tee of $205 million You know that performance-related guarantees have a Loan to Dodgy Aeronautical Fusion Corporation 56m WH Rated 8- by S&P Corp CBA has also provided AF. Corp with a performance-related guarantee of $205 million. You know that performance-related guarantees have a credit conversion factor (CCF) of 75% To meet APRA's unquestionably strong benchmark on Australian major banks, calculate the minimum amount of CET1 capital in Smillions) that CBA would need to have out of their total capital requirement O a. $14.16 million b. $8.19 million O c $10.62 million O d. 515.23 million O e. 57.85 million f. $27.80 million O gal am unable to answer this question and accept zero marks. Next page je ty Privacy Content Social Media Disclaimer Copyright & Disclaimer Accessibility Site Map

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