The risk management department at Southern Essex Bank is trying to assess the impact of the capital conservation and countercyclical buffers defined in the Basel III framework. They consider a scenario in which the bank’s capital and risk-weighted assets are as shown in the table below (all values are in EUR millions): Risk-weighted assets 3,110 Common equity Tier 1 (CET1) capital 230 Additional Tier 1 capital 34 Total Tier 1 capital 264 Tier 2 capital 81 Tier 3 capital - Total capital 345 Assuming that all Basel III phase-ins have occurred and that the bank’s required countercyclical buffer is 0.75%, which of the capital ratios does the bank satisfy? 请问此题若是满足CB，则capital conservation buffer应达到345/3110对么？谢谢

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您现在的坐在位置：首页>智汇问答>FRM二级

caramelhan2019-08-26 09:42:21

The risk management department at Southern Essex Bank is trying to assess the impact of the capital conservation and countercyclical buffers defined in the Basel III framework. They consider a scenario in which the bank’s capital and risk-weighted assets are as shown in the table below (all values are in EUR millions): Risk-weighted assets 3,110 Common equity Tier 1 (CET1) capital 230 Additional Tier 1 capital 34 Total Tier 1 capital 264 Tier 2 capital 81 Tier 3 capital - Total capital 345 Assuming that all Basel III phase-ins have occurred and that the bank’s required countercyclical buffer is 0.75%, which of the capital ratios does the bank satisfy? 请问此题若是满足CB，则capital conservation buffer应达到345/3110对么？谢谢

回答（1）

Robin Ma2019-08-26 10:26:50

同学你好，加入留存缓释资本CCB（2.5%的一级核心资本）和逆周期缓冲资本CB（0.75%的一级核心资本）后，一级资本的要求率达到（6+2.5+0.75 ，即8.25%）一级核心资本的要求率达到了（4.5%+2.5%+0.75%=5.25%），总资本要求率达到了（8+2.5+0.75，即 11.25%），所以要想满足这个指标的话，那么一级资本需要8.25%*3110=256.575，一级核心资本需要0.0525*3110=163.275，总资本需要11.25%*3110=349.875。因为CCB和 CB是两个概念，一般来说CCB是固定的2.5%而且先缴纳CCB再补充CB，所以要根据实际情况计算，基本思路在上面已经写过了。