top of page
The total stock of High Quality Liquid Assets should EXCEED the 30 day outflow projected for the bank. As a formula it looks as shown below:
High Quality Liquid Assets:
Level 1 assets are the best: require no haircut. $ 100 of asset can be taken as worth $ 100
Level 2 assets are the next grade: 15% + haircut usually required. $ 100 of asset can be taken as worth $ 85 at best.
A National Regulator will categorize assets into levels; and specify appropriate haircuts.
1. Contractual Maturity Mismatch
2. Concentration of Funding
3. Available Unencumbered Assets
4. LCR by significant currency
5. Market-related monitoring tools
bottom of page