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
No, because it does not hold enough Common Equity
Capital
No, because its Tier 1 Capital Ratio is insufficient
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.”
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 capital ratio是6%， capital ratio=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
