a 12 Bank capital requirements ANZ Bank has the following transactions with a AAA-rated mining company: a long position in a six-month gold option with a principal of A$75 million that is worth A$4.5 million b a two-year foreign exchange forward contract with notional principal of A$50 million that is worth – A$3 million a three-year interest rate swap with notional principal of A$150 million that is currently worth A$2 million. Compute the capital requirement under Basel I. How will this change if Basel II rules are applied using the standardised approach?
– Calculate RWA for each transactions
– Calculate Capital requirement under Basel I
– Calculate Capital requirement under Basel II
Please show full calculations, formulas, & weightings.
