Cimarron State Bank reports the following items on its balance sheet: cash = $200 million; U.S. government securities = $150 million; residential real estate loans = $300 million; and corporate loans = $350 million. Its off-balance-sheet items include standby credit letters backing the issue of state and local government general obligation bonds = $20 million, and long-term credit commitments to corporations = $160 million.
a. assume Cimarron State Bank reports that they have entered into a 5-year interest rate swap with a notional value of $50 million. What is the risk weighted asset amount for the swap?