1. Liquidity Risk Regulatory Calculations for European Banking Authority User Guide
  2. Liquidity Coverage Ratio Calculation as Per Delegated Act
  3. Calculation of Contractually Required Collateral
  4. Calculating Excess Collateral
  5. Alternative Liquidity Approaches

4.4.3.9 Alternative Liquidity Approaches

Where there are insufficient liquid assets in a given currency for credit institutions to meet the liquidity coverage ratio, the institution can adopt alternative liquidity ratios. These approaches are subject to jurisdictional approval. Liquidity Risk Regulatory Calculations for European Banking Authority supports the following options:

  • Option 1: Contractually committed credit facilities from the relevant central bank, with a fee.
  • Option 2: Foreign currency HQLA to cover domestic currency liquidity needs.
  • Option 3: Additional use of Level 2A Assets with a higher haircut.

Note:

HQLA shortfall is determined by the difference in the NCOF and the available HQLA. When an HQLA Shortfall occurs, one or all three of the applicable and alternative liquidity approaches, are applied based on the sequence specified, and the maximum permissible amount.