Answers, round 3 December 13, 2012 at 9:43 pm

Here are the answers for the regulation round.

  1. Yes.
  2. Probably 100% as there is no ruling in the text, so the default is ‘other’. Whether this was intended or not is unclear.
  3. Residential mortgages.
  4. 1 day and either 5 or 10 days depending on whether the swap is cleared. Can we all say `futurisation’?
  5. 0.56% of market value, i.e. 7% risk weight. Which is shocking.

Happy holidays.

2 Responses to “Answers, round 3”

  1. 5: 7% is for granular senior exposures, no?

  2. Oops, you’re right, I got those two (granular and non-granular) the wrong way around. 1.60%