Case Studies - BFM - 12 - Basel Iii Case Study No. 01: A K Gupta Institute of Banking

A K GUPTA INSTITUTE OF BANKING
( +91-9350476949; akg.bti@gmail.com; https://www.youtube.com/c/BankersTrainingInstituteAKGBTI ; android app: AKG BTI)
CASE STUDIES – BFM – 12 - BASEL III

CASE STUDY NO. 01
Fixed assets 100 cr,

Govt. securities 1000 cr,
Standard assets
in retail loans 600 cr,
in home loans 400 cr (Loans upto Rs 30 Lac LTV up to 80%)
other loans 2000 cr.
Substandard
secured are 100 cr,
unsecured 30 cr,
doubtful advances are 170 cr and
other assets 200 cr.
Under the simplified standard approach for credit risk, compute

the following components of claims:
1 RWA for retail and home loan segment:
a 510 cr b 590 cr
c 1000 cr d none of the above
2. Risk weighted assets for NPAs:

a 350 cr b 300 cr
c 400 cr d 450 cr e None of these
3 Risk weighted asset for the entire asset portfolio:

a 3240 cr b 3440 cr
4 Risk weighted assets for standard assets:

a 2510 cr b 3590 cr

CASE STUDIES – BFM – 12 - BASEL III - 02

BASEL III - Case study No 02 –
Calculation of Capital Ratios as per Basel III
Popular Bank Ltd has provided following information as on

31.03.18 (amount in crores of rupees)
RW
Open position in foreign currency 200
Term loan to an Indian corporate with A rating 300
Staff loans fully secured as per bank policy 1500
Loans guaranteed by CGTMSE 1600
Housing loans guaranteed by CRGFLIG 100
Individual house loans amount < 30 lac, LTV 75% 2000
Retail loans 1000
Other loans 600
Cash with other banks with CAR as per RBI rules 300
Credit cards issued by the bank 200
Based on this information, answer the following questions:
01 What is the amount of risk weight of assets in respect of
individual home loans:
a 2000 b 1000 c 700 d zero
02 What is the amount of risk weight of assets in respect of

loans to Indian corporates:
a 300 b 375 c 60 d 150
03 What is the capital ratio requirement for credit cards?

a 9% b 11.25% c 6.75% d 4.50%
04 What is the amount of total risk weight of all assets?
a 7800 b 3010 c 5030 d 6040
05 What is the amount of total capital requirement?

a 270.90 b 165.55 c 45.15 d 60.20
06 What is the required amount of Common Equity Tier-1

capital? =
a 270.90 b 165.55 c 45.15 d 60.20
CASE STUDIES – BFM – 12 - BASEL III - Case 03
Calculation of Capital as per Basel III

Popular Bank Ltd has provided following information as on
31.03.18 (amount in crores of rupees)
Equity capital 8000
Statutory reserves 1500
Perpetual non-cumulativePreference 3000
Capital reserve
Shae pPPpreference share 400
PCPS/RNCPS/RCPS 1500
Other disclosed free reserves 2400
General provisions and loan loss 3000
Revaluation
reserves reserve 1200
Forex Translation Reserve 300
The amount of risk weighted assets is Rs.200000 cr.
Based on this information, answer the following questions:

01 What is amount of eligible Common Equity Tier-1 Capital?
02 What is the amount of eligible Additional Tier-1 capital,

which can be included in the capital funds?
03 What is the amount of Tier-2 capital which can be included

in Capital funds?
04 What is the amount of total eligible Capital funds?
05 What is common equity Tier-1 capital adequacy ratio of the

bank?
06 What is capital adequacy ratio of the bank (rounding to first

decimal point)?

CASE STUDY NO 04 - CRAR

A bank has computed its capital and Risk weights as under:
1. Tier I capital Rs 1000 crore

2. Tier II capital Rs 1200 crore
3. RWAs for credit risk Rs 10,000 crore
4. Capital charge for market risk Rs 500 crore
5. Capital charge for operational risk Rs 300 crore
Based on the above, pl answer the following questions

1. What is the RWA for market risk?
2. What is the RWA for operational risk?
3. What is the level of total RWAs
4. What is maximum amount of Tier II capital eligible for
CRAR?
5. What is the total amount of capital eligible for CRAR?
6. What is the Tier I capital ratio
7. What is the Tier II capital ratio


BASEL III - CASE STUDY NO 05 - COMPUTATION OF RWA
FOR CREDIT RISK – STANDARDISED APPROACH
Popular bank has following exposure on a borrower:
Fund based facilities
Nature of facility Limit Balance Undrawn
sanctioned outstanding portion
Cash credit 200000 100000
Bills Purchased 60000 30000
Packing credit 40000 30000
Term Loan 200000 40000
Total 500000 200000
Out of the undisbursed portion of the Term Loan amounting to
Rs 1.60 lakh, Rs 0.60 lakh is to be disbursed within 1 year and
Rs 1.00 lakh is to be disbursed after 1 year.
Non fund based facilities (Thousands)

S Nature of NFB Outstanding Credit Credit
N Exposure NFB Conversion Equivalent
exposure Factor (%) 3x4
1 Financial 90 100
Guarantee
2 Acceptances 80 100
3 Performance 80 50
Guarantee
4 Bid Bonds 20 50
5 Stand By L/C 50 100
6 Clean Letter of 50 100
Credit
7 Documentary L/C 40 20
8 Unconditional 100 100
take out finance
9 Conditional take 50 50
out finance
Total 560

Based on the above, pl answer the following questions

1. What is the undrawn portion under fund based limit other
than Term Loan?
2. What is the exposure on account of fund based limits?
3. What is the exposure on account of undrawn portion
under fund based limit other than Term Loan?
4. What is the exposure on account of undisbursed portion of
the Term Loan to be disbursed within 1 yr.
5. What is the exposure on account of undisbursed portion of
the Term Loan to be disbursed after 1 year.
6. What is the total exposure on account of undrawn fund
based facilities?
7. What is the exposure on account of fund based facilities?
8. What is the exposure on account of non fund based
facilities?
9. What is the total exposure on the account?


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A K GUPTA INSTITUTE OF BANKING

( +91-9350476949; akg.bti@gmail.com; https://www.youtube.com/c/BankersTrainingInstituteAKGBTI ; android app: AKG BTI)