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Commercial Real Estate B-Pieces ($000's) - MARCH 1999
B-PIECES |
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PORTFOLIO SEGMENT |
REQUIRED CAPITAL |
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Outstandings |
84,080 |
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Unused Commitments |
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Financial L/Cs |
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Performance L/Cs |
OUTSTANDING BALANCE ($000) |
WEIGHTED AVG. CAPITAL RATIO (bps) |
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Commercial L/Cs |
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Total Portfolio |
$ 84,080 |
 |
$ 290,373 |
= | 2,896 |
|
| Grade | 1 | 2 | 3 | 4 | 5 | 6 | 7 | 8 | 9 | 10 | Total |
| 04 | 0 |
0 |
0 |
0 |
0 |
0 |
0 |
4,908 |
0 |
17,544 |
22,452 |
| 05 | 0 |
0 |
0 |
23,054 |
0 |
0 |
14,563 |
0 |
9,920 |
89,947 |
137,485 |
| 06 | 0 |
0 |
0 |
9,715 |
10,004 |
0 |
8,400 |
24,010 |
15,724 |
60,775 |
128,629 |
| NA | 0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
1,808 |
1,808 |
| Total | 0 |
0 |
0 |
32,770 | 10,004 | 0 |
22,963 | 28,918 | 25,644 | 170,074 |
290,373 |
The B-piece portfolio is exposed to market risk as well as credit risk. The market risk factors were determined by tracking the average spread to treasuries for different rated instruments over a reasonable time horizon. The credit risk factors are the same factors used for the banks entire commercial loan portfolio. The total factor that was applied is just the market risk factor and the credit risk factor added together. Mapping the resultant price changes into grade and tenor buckets produces the following market risk matrix: |
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Market Risk - Factors for B-piece Comm RE |
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Risk |
Remaining Tenor (Years) |
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Grade |
1 |
2 |
3 |
4 |
5 |
6 |
7 |
8 |
9 |
10 |
04 |
150 |
187 |
223 |
260 |
297 |
333 |
370 |
407 |
443 |
480 |
05 |
500 |
546 |
591 |
637 |
682 |
728 |
773 |
819 |
864 |
910 |
06 |
1200 |
1324 |
1449 |
1573 |
1698 |
1822 |
1947 |
2071 |
2196 |
2320 |
N/A |
500 |
546 |
591 |
637 |
682 |
728 |
773 |
819 |
864 |
910 |
Credit Risk - Factors in basis points |
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Risk |
Remaining Tenor (Years) |
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Grade |
1 |
2 |
3 |
4 |
5 |
6 |
7 |
8 |
9 |
10 |
04 |
403 |
441 |
480 |
500 |
518 |
530 |
545 |
556 |
564 |
576 |
05 |
571 |
596 |
622 |
650 |
669 |
684 |
704 |
718 |
723 |
723 |
06 |
797 |
814 |
831 |
850 |
861 |
866 |
868 |
870 |
868 |
861 |
N/A |
571 |
596 |
622 |
650 |
669 |
684 |
704 |
718 |
723 |
723 |
Total Risk - Used for B-piece Comm RE |
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Risk |
Remaining Tenor (Years) |
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Grade |
1 |
2 |
3 |
4 |
5 |
6 |
7 |
8 |
9 |
10 |
04 |
553 |
628 |
703 |
760 |
815 |
863 |
915 |
963 |
1007 |
1056 |
05 |
1071 |
1142 |
1213 |
1287 |
1351 |
1412 |
1477 |
1537 |
1587 |
1633 |
06 |
1997 |
2138 |
2280 |
2423 |
2559 |
2688 |
2815 |
2941 |
3064 |
3181 |
N/A |
1071 |
1142 |
1213 |
1287 |
1351 |
1412 |
1477 |
1537 |
1587 |
1633 |