[PDF] Basel Committee on Banking Supervision Basel III: The Liquidity

What assets can be used to meet the HQLA requirement?

Assets assigned to the most liquid category are given more credit toward meeting the requirement, and assets in the least liquid category are given less credit. What Types of Assets Can Be Used to Meet the Rule? HQLAs include bank reserves, U.S. Treasury securities, certain securities issued by foreign governments and

How do jurisdictions demonstrate HQLA?

The jurisdiction must demonstrate this with due regard to the three criteria set out below. Criterion (a): The supply of HQLA in the domestic currency of the jurisdiction is insufficient, in terms of Level 1 assets only or both Level 1 and Level 2 assets, to meet the aggregate demand for such assets from banks operating in that currency.

How should HQLA stock be diversified?

Diversification of the stock of HQLA 44. The stock of HQLA should be well diversified within the asset classes themselves (except for sovereign debt of the bank’s home jurisdiction or from the jurisdiction in which the bank operates; central bank reserves; central bank debt securities; and cash).

What is the cap on HQLA & Level 2B assets?

48. The 40% cap on Level 2 assets and the 15% cap on Level 2B assets should be determined after the application of required haircuts, and after taking into account the unwind of short-term securities financing transactions and collateral swap transactions maturing within 30 calendar days that involve the exchange of HQLA.