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 ⅔ of the amount of Level 1 assets. Cash inflows over the next 30 days from the bank’s performing assets are $10 million. What is Kensington Bank’s Liquidity Coverage Ratio (LCR)?
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Alpha Bank has the following assets (with Liquidity levels in the parentheses) on its
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