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
  6. Option 2

4.4.3.9.2 Option 2

This refers to currencies that do not have sufficient HQLA. Option 2 allows banks that evidence a shortfall of HQLA in the domestic currency, to hold HQLA in a currency that does not match the currency of the associated liquidity risk, provided that the resulting currency mismatch positions are justifiable and controlled within limits agreed by their supervisors. These criteria are checked by dimensions such as non-convertible currency flag, Pegged currency pair, and so on. Such assets would be further subject to an additional haircut as specified.