2024年5月5日发(作者：basic编程语言)

Capital adequacy ratios ("CAR") are a measure of the amount of a bank's

core capital expressed as a percentage of its assets weighted credit

exposures.

Capital adequacy ratio is defined as

TIER 1 CAPITAL -A)Equity Capital, B) Disclosed Reserves

TIER 2 CAPITAL -A)Undisclosed Reserves, B)General Loss reserves,

C)Subordinate Term Debts

where Risk can either be weighted assets () or the respective national

regulator's minimum total capital requirement. If using risk weighted

assets,

≥ 10%.

[1]

The percent threshold varies from bank to bank (10% in this case, a common

requirement for regulators conforming to the Basel Accords) is set by the

national banking regulator of different countries.

Two types of capital are measured: tier one capital (

T

1

above), which can

absorb losses without a bank being required to cease trading, and tier

two capital (

T

2

above), which can absorb losses in the event of a

winding-up and so provides a lesser degree of protection to depositors

Capital adequacy ratio is the ratio which determines the capacity of the

bank in terms of meeting the time liabilities and other risks such as

credit risk, operational risk, etc. In the most simple formulation, a

bank's capital is the "cushion" for potential losses, which protects the

bank's depositors or other lenders. Banking regulators in most countries

define and monitor

CAR

to protect depositors, thereby maintaining

confidence in the banking system.

[1]

CAR is similar to leverage; in the most basic formulation, it is comparable

to the inverse of debt-to-equity leverage formulations (although CAR uses

equity over assets instead of debt-to-equity; since assets are by

definition equal to debt plus equity, a transformation is required).

Unlike traditional leverage, however, CAR recognizes that assets can have

different levels of risk.

Risk weighting example

Risk weighted assets - Fund Based : Risk weighted assets mean fund based

assets such as cash, loans, investments and other assets. Degrees of

credit risk expressed as percentage weights have been assigned by RBI to

each such assets.

Non-funded (Off-Balance sheet) Items : The credit risk exposure attached

to off-balance sheet items has to be first calculated by multiplying the

face amount of each of the off-balance sheet items by the credit conversion

factor. This will then have to be again multiplied by the relevant

weightage.

Local regulations establish that cash and government bonds have a 0% risk

weighting, and residential mortgage loans have a 50% risk weighting. All

other types of assets (loans to customers) have a 100% risk weighting.

Bank "A"

has assets totaling 100 units, consisting of:

•

•

•

•

•

Cash: 10 units.

Government bonds: 15 units.

Mortgage loans: 20 units.

Other loans: 50 units.

Other assets: 5 units.

Bank "A"

has debt of 95 units, all of which are deposits. By definition,

equity is equal to assets minus debt, or 5 units.

Bank A's risk-weighted assets are calculated as follows

Cash

10 * 0% = 0

Government securities

15 * 0% = 0

Mortgage loans

Other loans

Other assets

20 * 50% = 10

50 * 100% = 50

5 * 100% = 5

Total risk

Weighted assets

Equity

CAR (Equity/RWA)

65

5

7.69%

Even though Bank "A" would appear to have a debt

-to-equity ratio of 95:5, or equity-to-assets of

only 5%, its CAR is substantially higher. It is considered less risky

because some of its assets are

less risky than others.

Types of capital

The Basel rules recognize that different types of equity are more

important than others. To recognize this, different adjustments are made:

1. Tier I Capital: Actual contributed equity plus retained earnings.

2. Tier II Capital: Preferred shares plus 50% of subordinated debt

.

Different minimum CAR ratios are applied: minimum Tier I equity to

risk-weighted assets may be 4%, while minimum CAR including Tier II

capital may be 8%.

There is usually a maximum of Tier II capital that may be "counted" towards

CAR, depending on the jurisdiction.