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CAIIB-BFM-RECOLLECTED QUESTIONS FROM JUNE 2015-3

Recollected - June 2015
-----------------------------

Default probality of advance portfolio of a bank Rating aaa aa a bbb bb b ccc 3yrs 0.03% 0.12% 0.25% 1.05% 6% 25% 40% 5yrs 0.10% 0.35% 0.55% 1.90% 10% 35% 25% Base rate of 11% is charged to aaa category of borrowers for a 3yr loan load factor to be added to base rate. 1%of aa, 2%of a, 3% of bbb& 4% of bb a/c load factor to be further increased by 0.5% for each additional maturity year over 3yrs will be

1.a loan of rs400 crore for 5yrs was given to an A rated COMP two yrs back.there has been no default. Current out standing is rs200 crore. Exposure at default is 100% and loss given default is 50%. The expected loss on this a/c will be?

2.as per risk policy of the bank the loan that shall earn the lowest return will be?

3.received a proposal from a A rated borrower for a loan repayable in 5yrs.what rate of intrest should be charged to th borrower?

4.as on 31/03/2014,the bank had 200BBB rated a/c out of which 10% a/c migrated to default category by 31/03/2015.

5. what is the increase in the number of a/c’s in the default category?

..........................................................

ABC bank has a capital of rs400 crore s on 31/03/2014 following addl details as follows

s.no details amt in crore
1. cash &bal with rbi 200
2. bank balances 200
3. INVESTMENTS Held for trading 500
Available for sale 1000
Held to maturity 500

4. advances(net) 2000
5. other assets 300
6. total assets 4700

Interms of counter party the investments as follows

Counter party amt in crore

Government 1000
Banks 500 Others 500 The break investments as under Govt.sec bank bonds other sec total HFT 100 100 300 500 AFS 600 400 - 1000
Trading book 700 500 300 1500
HTM 300 - 200 500
TOTAL 1000 500 500 2000

Risk weights assigned as follows DETAILS OF ASSET RISK WEIGHT Cash&bal with rbi 0
Bank bal 20
INVESTMENTS Govt 2.5
Banks 22.5
Others 102.5
Adv & other assets 100

1.total risk weighted assets are?

2.% of total risk weighted assets to the book value of assets?

3.capital adequacy of the bank will be?

4.diff between the max&min risk weighted assets under investments?

5.capital held by abc bank in excess of the minimum regulatory requirement comes to ---------------- crores?

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