【FRM每日一题】二级：巴塞尔协议(1)
备考FRM二级 | 2015-08-03
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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