Regulatory Glossary

This glossary contains terms and abbreviations in the field of regulatory reporting. It should help you to get a quick and general overview of the respective terms.

HQLA High-quality Liquid Assets

High-quality Liquid Assets (HQLA) are defined within the Liquidity Coverage Ratio (LCR). They are divided into 2 (actually even 3) categories:

  • Level 1: This contains immediately liquid financial resources like cash, central bank funds or interest securities with risk weight 0 regarding the Credit Risk Standardized Approach (CRSA) such as guaranteed bonds.
  • Level 2A: Financial resources of this level are for example securities with a risk weight of 20% regarding the CRSA, but also bonds with a minimum rating of AA-.
  • Level 2B: This new level allows corporate bonds with a rating of A+ to BBB-, unencumbered shares of the main index from the home country of the institution as well as bonds secured with private property financing with a minimum rating of AA.

Resources from level 1 can be included into the capital buffer at full market value and with no limits. Level 2 resources have to be reduced by 15% of their market value before adding them to the capital buffer and even then the amount of these financial resources is not allowed to be higher than 40% of the total capital buffer.

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