10.75%

问题如下：

Canzone International Bank carries $3.0 billion in Level 1 assetsplus $2.0 billion in Level 2A assets. With respect to expected cash outflowsover the next 30 days, the bank carries “less stable” deposits (liabilities) of$80.0 billion with an average run-off rate (factor) of 10%; expected cashinflows are $10.0 billion. Please note per Basel III:

• Level 1 assets can comprise an unlimited share of the pool and arenot subject to a haircut under the LCR

• A 15% haircut is applied to the current market value of each Level2A asset held in the stock of HQLA

• Level 2 assets (comprising Level 2A assets and any Level 2B assetspermitted by the supervisor) can be included in the stock of HQLA, subject tothe requirement that they comprise no more than 40% of the overall stock afterhaircuts have been applied

• Definition: Total net cash outflows over the next 30 calendardays=Total expected cash outflow-Min{total expected cash inflows;75% of totalexpected cash outflows}

Which is nearest to Canzone’s liquidity coverage ratio(LCR)?

选项：

A.

87.5%

B.

136.5%

C.

235.0%

D.

360.0%

解释：

High qualityliquid assets (HQLA) = L19 + L2 × (1 – haircut) = 3.0 + 2.0 × (100% - 15%) =$4.7 billion. As 2/(3+2) = 40%T, the 40% cap on L2 assets implies apost-haircut L2 max of $2.0 billion, but post-haircut L2 assets are only valuedat $1.7 such that cap does not apply.

Total net cashoutflows = ($80.0 × 10.0%) – Min {10.75% × 8.0} = 8 – 6 = $2.0 billion

Therefore, LCR =$4.7/2.0 = 235.0%. Note this is greater than the LCR ratio requirement of 100%.

In summary, the liquidity coverage ratio (LCR) = (Stock of HQLA)/(Totalnet cash outflows over the next 30 calendar day) and LCR must be equal to orgreater than 100%.

• Stock of HQLA refers to unencumbered high-quality liquid assets(HQLA) that can be converted easily and immediately in private markets intocash to meet their liquidity needs for a 30 calendar day liquidity stressscenario.

• Total net cash outflows is defined as the total expected cashoutflows minus total expected cash inflows in the specified stress scenario forthe subsequent 30 calendar days.

• Total expected cash outflows are calculated by multiplying theoutstanding balances of various categories or types of liabilities andoff-balance sheet commitments by the rates at which they are expected to runoff or be drawn down.

Total expected cash inflowsare calculated by multiplying the outstanding balances of various categories ofcontractual receivables by the rates at which they are expected to flow inunder the scenario up to an aggregate cap of 75% of total expected cashoutflows.