easy · FRM Part 2 Liquidity & Treasury Risk
A bank has a High-Quality Liquid Asset (HQLA) pool of 120 m. The estimated net cash outflows over a 30-day stress period are 100 m.
What is the bank's Liquidity Coverage Ratio (LCR), and does it meet the minimum Basel III requirement?
- LCR = 83%; No, it does not meet the 100% minimum.
- LCR = 1.2; This is a capital ratio, not a liquidity ratio.
- LCR = 20%; No, it is far below the requirement.
- LCR = 120%; Yes, it exceeds the 100% minimum.
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