EMBA778R M4 Assign Home Insert Page LayoutFormulas Data Review View % Cut Arial
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EMBA778R M4 Assign Home Insert Page LayoutFormulas Data Review View % Cut Arial copy Paste V, Format Painter B 1 u . B.?'?· ir fr Merge & Center. $. % , ? a conde Clipboard Font Number 1 Question 2 3 Central Bank has the following balance sheet (in millions of dollars) Liquidity 6 Assets 7 Cash Run-off factor 3% levelLiabilities and Equity S 20 Level1 Stable retail deposits Less stable retail deposits CDs maturing in 6 months Unsecured wholesale funding from: $190 Deposits at the Fed 30 145 50 60 540 285 Level 1 Level 1 Level1 Level 2A Level 2A Treasury bonds 70 10 100 0 Qualifying marketable securities 2 GNMA bonds 3 Loans to AA-corporations 4 Mortgages 5 Premises Stable small business deposits Less stable small business deposits Nonfinancial corporates 125 100 450 7 5 10 Equity Total $1,165 Total S1,165 7 Cash inflows over the next 30 days from the bank's performing assets are $7.5 million. 9 2. Calculate the LCR for Central Bank.Explanation / Answer
For liquidity coverage ratios, we need total of High Quality Liquid Assets. The Level 1 and Level 2A assets are HQLA.
In case of Level 1 HQLA, no haircut is applied, so Level 1 assets in this case=20+30+145+50=$245 million
In case of Level 2A HQLA, 15% haircut is to be applied, so Level 2A assets in this case=(60+540)*85%=$510 million
Total HQLA=245+510=$755 million
Cash inflows over next 30 days from performing assets=7.5 million
So LCR=755/7.5=100.67
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