Guidance for Supervisors on Market-Based Indicators of Liquidity

This document is intended to assist supervisors when they evaluate the liquidity profile of assets held by banks. While each jurisdiction will make its own determination as to HQLA qualifications and their application to supervised institutions, some commonality in the tools and data used to make such determinations will help ensure a level of consistency across jurisdictions. Supervisors are expected to work within the existing framework of “levels” established by the LCR standard, using the associated haircuts and diversification requirements associated with each level. As described in the LCR standard, national authorities can choose whether to include an additional class of Level 2B assets. This gives scope for the potential inclusion in HQLA of a wide range of assets with very different liquidity profiles. This document provides suggestions that may assist supervisors when classifying such assets.