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【FRM每日一题】二级:巴赛尔协议

发表时间:2015/8/12 12:42:59 编辑: 告诉小伙伴:
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[编考按]【FRM每日一题】二级:巴赛尔协议?Banks have limits on how much Tier 2 and Tier 3 capital they can use to meet capital requirements. Assuming that capital is 8% of total risk weighted assets, which of the following asset allocations would be acceptable to meet the Basel II capital requirements...

FRM每日一题

         Banks have limits on how much Tier 2 and Tier 3 capital they can use to meet capital requirements. Assuming that capital is 8% of total risk weighted assets, which of the following asset allocations would be acceptable to meet the Basel II capital requirements?

        I.30% cumulative preferred stock, 25% common stock, 20% retained earnings, 20% loan loss reserves.

        II.50% non-redeemable, non-cumulative preferred stock, 25% retained earnings, 25% common stock.

        III.35% common stock, 15% short-term subordinated debt, 40% unrealized gains on assets, 10% cumulative preferred stock.

        IV.50% cumulative preferred stock, 50% non-redeemable, non-cumulative preferred stock.

        A.I and II.

        B.II and III.

        C.II and IV.

        D.I, III, and IV

        Answer: C

        To qualify, Tier 2 capital is limited to 100% of Tier 1 capital, implying that a 50/50 split between Tier 1 and Tier 2 capital is acceptable. Tier 1 capital includes common stock, retained earnings, and non-redeemable, noncumulative, preferred stock. Tier 2 capital includes unrealized gains, cumulative preferred stock, and loan loss reserves. Tier 3 capital consists of short-term subordinated debt. Only choices II and IV have at least 50% of their allocation made up of Tier 1 capital.


        
  
 
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