1. Liquidity Risk Regulatory Calculations for European Banking Authority User Guide
  2. Net Stable Funding Ratio Calculation as Per Capital Requirements Regulation
  3. Asset Reclassification Rules

5.1 Asset Reclassification Rules

Asset Reclassification for EHQLA and HQLA is done as part of the LCR process and is applicable to NSFR as well. Also, the assets that are not classified under EHQLA or HQLA can be categorized as Other Liquid Asset or Other Non-Liquid Asset based on the following criteria:
  1. EBA NSFR Domestic Currency Sovereign Bonds
    Sovereign bonds issued in domestic currency rated below ECAI 2 OR of minimum issue size less then EUR 100 million (or the local currency equivalent) is reclassified as Other Liquid Assets. For this purpose, the issuer type is considered as either Sovereign (that is, Central Government) or Central Banks.
  2. Classified as Other Liquid Assets when conditions mentioned in the following points are met else as Other Non-Liquid Assets.
  3. BA NSFR EEA Currencies Bonds Issued by Local Government Institutions
    Bonds issued by local government institutions in EEA currencies, rated below ECAI 2 OR of minimum issue size less than EUR 250 million (or the local currency equivalent) and a maximum time to maturity of 10 years is reclassified as Other Liquid Assets.
  4. EBA NSFR ECAI 1 Rated Covered Bonds Issued by Credit Institutions
    Covered bonds issued by Credit Institutions (including Banks) rated ECAI 1 (that is, of highest credit quality) having minimum issue size less than EUR 250 million.
  5. EBA NSFR RMBS Issued by Credit Institutions
    RMBS issued by Credit Institutions (including Banks) rated ECAI 1 having minimum issue size less than of EUR 100 million (or the local currency equivalent).
  6. EBA NSFR Common Equity Shares or Gold
    Common equity shares or Gold funds not classified as HQLA when not central bank eligible but are tradable.
  7. EBA NSFR Gold Funds
    Gold funds not classified as HQLA when not central bank eligible but are tradable.
  8. EBA NSFR Assets Backed Securities
    Asset-Backed Securities (including RMBS) not classified as HQLA when they are tradable and central bank eligible. Also, must be of highest credit quality (that is rated ECAI 1).
  9. EBA NSFR Credit Claims
    Credit Claims when non-tradable and being central bank eligible.