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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

答案:C

解析: To qua1ify, 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.

Tier 1 capital includes all of the following except:

A) Asset revaluation reserves

B) Common stock

C) Noncumulative preferred shares

D) Disclosed reserves

答案:A

解析: Tier 1 capital consists of common stockholders' equity, noncumulative perpetual preferred stock, minority equity interests in consolidated subsidiaries, and disclosed reserves, less goodwill and other deductions.

The Basel II Accord recommends basic methods for assessing operational risk that estimate the risk by:

A) Applying a floating percentage to operating assets based on their risk profiles.

B) Multiplying annual gross income by a set percentage.

C) Adding a premium to the credit risk measures used by the bank.

D) Adjusting the required capital by a fixed percentage of total bank assets.扫码预约

答案:B

解析:The basic indicator approach and the standardized approach both multiply gross income by a set percentage to estimate operational risk.

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