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Shuangshuang · 2024年05月06日

巴三Common Equity Capital 是不是要至少为rwa的6%+2.5%才达标

NO.PZ2023102101000049

问题如下:

Thrift Bank carries risk-weighted assets (RWA) of $100.0 billion. In regard to its eligible regulatory capital, the bank holds:

$5.0billion of Common Equity Tier 1 Capital (“Core Toer 1”)

$2.0billion of Additional Tier1 Capital

$3.5billion of Tier 2 Capital (“Gone concern”)

Does Thrift Bank meet the Basel III capital requirements?

选项:

A.

Yes, because its Total Capital Ratio of 10.5% is sufficient

B.

No, because it does not hold enough Common Equity Capital

C.

No, because its Tier 1 Capital Ratio is insufficient

D.

No, because the bank has no buffer-quality capital to contribute to its Capital Conservation Buffer

解释:

No, because it does not hold enough Common Equity Capital

The minimum Common Equity Capital Ratio is 4.5% but the Capital Conservation Buffer (which requires Common Equity) is 2.5%, such that the “Minimum common equity plus capital conservation buffer” is 7.0%.

In regard to (C), the Minimum Tier 1 Capital Ratio is 6.0%

In regard to (D), the Tier 1 Capital Requirement is 6.0%, and the bank has 7.0%, which implies that 1.0% is available toward the Conservation buffer (but it needs 2.5%).

Plase note: The Capital Conservation Buffer must be Common Equity Tier 1 and “Common Equity Tier 1 must first be used to meet the minimum capital requirements (including the 6% Tier 1 and 8% Total capital requirements if necessary), before the remainder can contribute to the capital conservation buffer.”

巴三Common Equity Capital 是不是要至少为rwa的6%+2.5%才达标

2 个答案
已采纳答案

李坏_品职助教 · 2024年05月07日

嗨,从没放弃的小努力你好:


根据巴III原文:

Common Equity Tier 1 must be at least 4.5% of risk-weighted assets (RWA),In addition, a Common Equity Tier 1 capital conservation buffer is set at 2.5% of RWA for all banks. Banks may also be subject to a countercyclical capital buffer or higher loss-absorbency requirements for systemically important banks.


所以Common Equity Tier 1 Capital应该至少要达到RWA的4.5% + 2.5% 可以达标。


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虽然现在很辛苦,但努力过的感觉真的很好,加油!

C_M_ · 2024年11月03日

5/100=5%,5%+2.5%=0.075>7%,为什么a不选

李坏_品职助教 · 2024年11月03日

嗨,从没放弃的小努力你好:


Capital Conservation Buffer是扣掉了Tier 1 Capital Requirement(6%)之后的比例。


这个bank总共的Tier 1 capital是7%,扣掉6%之后是1%,也就是只有1%的buffer。而BASEL是要求2.5%的buffer,所以不满足要求。

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努力的时光都是限量版,加油!

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NO.PZ2023102101000049 问题如下 Thrift Bank carries risk-weighteassets (RWof $100.0 billion. Inregarto its eligible regulatory capital, the bank hol: • $5.0billion of Common Equity Tier 1 Capit(“Core Toer 1”) • $2.0billion of AitionTier1 Capit• $3.5billion of Tier 2 Capit(“Gone concern”) es Thrift Bank meet the Basel III capitalrequirements? A.Yes, because its TotCapitRatio of 10.5% issufficient B.No, because it es not holenough Common EquityCapit C.No, because its Tier 1 CapitRatio is insufficient No, because the bank hno buffer-quality capittocontribute to its CapitConservation Buffer No, because it es not holenough CommonEquity CapitThe minimum Common Equity CapitRatio is4.5% but the CapitConservation Buffer (whirequires Common Equity) is2.5%, suththe “Minimum common equity plus capitconservation buffer” is7.0%. In regarto (C), the Minimum Tier 1 CapitalRatio is 6.0% In regarto (, the Tier 1 CapitalRequirement is 6.0%, anthe bank h7.0%, whiimplies th1.0% isavailable towarthe Conservation buffer (but it nee 2.5%). Plase note: The CapitConservation Buffermust Common Equity Tier 1 an“Common Equity Tier 1 must first usetomeet the minimum capitrequirements (inclung the 6% Tier 1 an8% Totalcapitrequirements if necessary), before the remainr ccontribute to thecapitconservation buffer.” 如果B是正确的,C也应该是正确的啊主要逻辑就是在没有增加 consevative buffer 2.5%之前, common equity ratio= 4.5%, tier 1 capitratio是6%, capitratio=8%;每个增加2.5%以后就分别是 7%、8.5%和10.5%了啊,这个题的结论都是自相矛盾的

2024-11-02 16:22 1 · 回答