medium · FRM Part 2 Liquidity & Treasury Risk
A bank calculates its LCR and finds it has 40 billion of Level 1 HQLA and 35 billion of Level 2A (post-haircut).
If net 30-day outflows are $50 billion, which constraint most directly reduces its usable HQLA?
- The Level 2 composition cap (40% of HQLA).
- The 1250% risk weight floor.
- The 75% inflow cap.
- The 15% haircut on Level 2A assets.
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