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What is kensington bank liquidity coverage ratio

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Reference no: EM132972918

Alpha Bank has the following assets (with Liquidity levels in the parentheses) on its balance sheet:

Cash $35
A-rated Commercial Loans $120 (Level 2A)
Residential mortgage-backed securities $50 (Level 2B)

Alpha Bank's liabilities (with Run-off factors in the parentheses) are:

Stable retail deposits $80 (3%)
Less stable retail deposits 40 (10%)
Unsecured wholesale funding 60 (100%)

  • All numbers are in millions of dollars.
  • Assume that a 15% haircut applies to Level 2A assets and a 50% haircut applies to level 2B assets. Assume further that the amount of Level 2 assets in the stock of HQLA is capped at ? of the amount of Level 1 assets. Cash inflows over the next 30 days from the bank's performing assets are $10 million.

Problem 1: What is Kensington Bank's Liquidity Coverage Ratio (LCR)?

Reference no: EM132972918

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