Level 2 liquid assets

From ACT Wiki
Jump to navigationJump to search

Bank regulation - liquidity

Level 2 liquid assets are those of lower liquidity quality, compared with Level 1.

Level 2 liquid assets include certain qualifying high quality corporate obligations.

They can be included - in part - in the calculation of a regulated bank's High Quality Liquid Assets (HQLAs), but subject to haircuts.

The size of the % haircut depends on the liquidity quality, according to a fixed scale from 15% to 50%.

See also