Explanation:
Option C is inaccurate. In the Liquidity Coverage Ratio (LCR), retail demand deposits are not treated as one-year money with a daily run-off rate. Instead, the LCR measures a 30-day stress scenario, and retail deposits are assigned specific run-off factors over this 30-day period depending on their stability (e.g., 3% to 5% for stable deposits, and 10% or higher for less stable deposits). The other statements correctly describe wholesale funding reports, the liquidity risk posed by undrawn commitments, and the importance of funding concentration reports.
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20.11.2. In regard to the variety of types of liquidity risk reports generated by a typical bank, each of the following is a true statement EXCEPT which is inaccurate?
A
Wholesale funding reports that breakdown the bank's funding by price, volume, product type, and tenor are an indication of liquidity strength
B
Liquidity metrics should include Undrawn Commitments because the existence of undrawn commitments can exacerbate funding shortages at exactly the wrong time
C
In the liquidity coverage ratio (LCR), which is a strategic and regulatory liquidity risk metric, retail demand deposits are treated as one-year money with a run-off rate in the range of 0.28% (1/365 days) to 0.40% (1/255 days)
D
The funding concentration report matters to senior managers because a central principle of liquidity management is funding diversity: a bank should not become over-reliant on a single source, or sector, of funds.