Wineglass Bay Bank has the following assets (with liquidity levels in the parentheses) on its balance...

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Wineglass Bay Bank has the following assets (with liquidity levels in the parentheses) on its balance sheet: • Cash $30 • A-rated Commercial Loans $80 (Level 2A) • Residential mortgage-backed securities $50 (Level 2B) • Residential mortgage loans $100 (Level 2B) Alpha Bank's liabilities (with Run-off factors in the parentheses) are: • Stable retail deposits $80 (4.0%) • Less stable retail deposits $40 (18.0%) • 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 of the amount of Level 1 assets. Cash inflows over the next 30 days from the bank's performing assets are $17 million. 1) [2 marks] What is Wineglass Bay Bank's stock of HQLAS? million (Round to 2 decimal places in millions) 2) [2 Mark] What are Wineglass Bay Bank's net cash outflows over the next 30 days? million (Round to 2 decimal places in millions) 3) [1 Marks] What is Wineglass Bay Bank's Liquidity Coverage Ratio (LCR)? Wineglass Bay Bank has the following assets (with liquidity levels in the parentheses) on its balance sheet: • Cash $30 • A-rated Commercial Loans $80 (Level 2A) • Residential mortgage-backed securities $50 (Level 2B) • Residential mortgage loans $100 (Level 2B) Alpha Bank's liabilities (with Run-off factors in the parentheses) are: • Stable retail deposits $80 (4.0%) • Less stable retail deposits $40 (18.0%) • 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 of the amount of Level 1 assets. Cash inflows over the next 30 days from the bank's performing assets are $17 million. 1) [2 marks] What is Wineglass Bay Bank's stock of HQLAS? million (Round to 2 decimal places in millions) 2) [2 Mark] What are Wineglass Bay Bank's net cash outflows over the next 30 days? million (Round to 2 decimal places in millions) 3) [1 Marks] What is Wineglass Bay Bank's Liquidity Coverage Ratio (LCR)?

Answer rating: 100% (QA)

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