medium · FRM Part 2 Liquidity & Treasury Risk
A bank holds a portfolio of Level 1 High-Quality Liquid Assets (HQLA) totaling 10 billion and Level 2A assets (pre-haircut) totaling $20 billion. The estimated net cash outflows over a 30-day stress period are $15 billion. Calculate the bank's Liquidity Coverage Ratio (LCR), assuming the Level 2 cap is not breached.
- 180%
- 67%
- 200%
- 100%
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