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# RWA

#### dlrm

##### New Member
15.6 Estimate the capital required under Basel I for a bank that has the following transactions with a corporation. Assume no netting.
a. A nine-year interest rate swap with a notional principal of $250 million and a current market value of −$2 million.
b. A four-year interest rate swap with a notional principal of $100 million and a current value of$3.5 million.
c. A six-month derivative on a commodity with a principal of $50 million that is currently worth$1 million.

#### David Harper CFA FRM

##### David Harper CFA FRM
Staff member
Subscriber
Hi @luxsns@gmail.com looks like I worked this out in the exhibit above last year. See above. I hope this helps!

#### luxsns@gmail.com

##### Active Member
Thanks David. I can see that I needed to bracket everything apart from the counterparty rating (0,5).

#### FRM candidate

##### Member
Hi David,
I'm not sure how the risk weights in 15.6 are calculated. I'm using this formula: max(V, 0) + a × L and applying the following add on factors

a) 0.015*250 = 3.75
b) 0.005*100 + 3.5 = 4
c) 0.1*50 +1 = 6

then I am using the table below to get the relevant risk weight for a corporation and get the following values for the RWA
a) 100%* 3.75 = 3,75
b) 100%*4 = 4
c) 100%*6 = 6

where am I going wrong?

#### David Harper CFA FRM

##### David Harper CFA FRM
Staff member
Subscriber
@FRM candidate You posted this in T7.517, where it doesn't seem to directly relate, I don't know to what question you are referring (15.6?)

#### FRM candidate

##### Member
it's in HULL, CHAPTER 15: BASEL I, II, AND SOLVENCY II, HULL, CHAPTER 15: END OF CHAPTER Q&A

#### David Harper CFA FRM

##### David Harper CFA FRM
Staff member
Subscriber
@FRM candidate okay, then I've moved your question to a pre-existing thread where I've not only answered the question, I created a spreadsheet (see above) for it! To be honest, it has taken me almost more time to figure out what you are asking and locate the pre-existing answer than it was to answer the original question. Please note that we even have a tag for this question: https://www.bionicturtle.com/forum/tags/hull-rmfi-15-6/
.... it's totally fine, me and @Nicole Seaman are sincerely here to help, we would just appreciate if you try to use the forum in a way that "helps us help you" starting with your original post that didn't really tell me exactly where the question was. I am currently on a flight from LAX to Austin, to illustrate how time-intensive support can be for us, so we'd appreciate your cooperation. Thanks!