Assume that the bank securitises asset A1. Calculate the risk-adjusted regulatory capital both before and after the securitisation. The table below presents the distribution of assets held by a bank with the associated probabilities of default and rates of return. The regulatory capital ratio is 10%. 
A) Before 271.43, After 235.71
B) 27.14, 36.67
C) 271.43, 366.67
D) 27.14, 23.57
Correct Answer:
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