Liquidity Coverage Ratio: An Empirical Study of the Deposit Cutoff Rates for a Swedish Bank

Abstract: This thesis examines the deposit cutoff rates experienced by a large Swedish bank between the years 2006 and 2010 and compares them to the ones proposed by the Swedish Financial Supervisory Authority. These cutoff rates are a fundamental part in the calculation of the Liquidity Coverage Ratio proposed by the Basel Committee in December 2010. Our results suggest that the weights allocated to the different deposit classes should be increased for three out of six classes and decreased for one class in order to match the actual depositors' behavior between the years 2006 and 2010 at the Swedish bank we studied.