liquidity-lcr

LCR FORMULA

LCR = HQLA Stock / Total Net Cash Outflows (30-day stress) >= 100%

Minimum regulatory: 100% Management buffer best practice: 110-130% (gives operating room above minimum)

HQLA CATEGORISATION AND HAIRCUTS

Level 1 Assets — No Haircut

• Coins and banknotes
• Central bank reserves (eligible for withdrawal in stress)
• Central government / central bank bonds in domestic currency
• Central government / central bank bonds in foreign currency (up to 15% cap per currency)
• Qualifying 0% risk weight sovereign bonds in Basel SA Level 1 assets: NO haircut, NO cap as proportion of HQLA.