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You are given your bank's most recent financial statement and are asked to calculate the liquidity coverage ratio. All dollar amounts are in millions. The
You are given your bank's most recent financial statement and are asked to calculate the liquidity coverage ratio. All dollar amounts are in millions. The run-off factors are 30-day runoffs. You expect cash inflows over the next 30 days to be $8 Assets Liabilities & Equity Run-Off Factor Cash Deposits at the Fed Liquidity Level $9Level 1 $16Level 1 $100Level 1 $71Level 2A $99 $42 5.15% 13.1% Treasury Securities $98 5.5% Stable retail depsoits Less stable retail depsoits Unsecured wholesale funding from: Stable small businesess deposits Less stable small businesess deposits Non-financial corporates Equity $102Level 2A $74 GNMA Securities Loans to A-rate Corporations Loans to B-rated corporations Premises total 12.4% $89Level 2B $50 74% $20 $407 $44. $407 You calculate the liquidity coverage ratio to be: 385% 399% 323%
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