Other provisions relating to LCR calculation
For the purpose of calculating the LCR, if an eligible asset within HQLA becomes ineligible (e.g. due to a rating downgrade), an
Authorised Firmis allowed to keep the asset in its stock of HQLA for an additional 30 calendar days to allow time to adjust its stock as needed or replace the asset.
For the purpose of calculating a consolidated LCR for a
Financial Group, where applicable, qualifying HQLA held to meet statutory liquidity requirements at a legal entity or sub-consolidated level may be included in the stock at the consolidated level only to the extent that the related risks are also reflected in the consolidated LCR. Any surplus of HQLA held at the legal entity can be included in the consolidated stock of HQLA only if those assets would also be freely available to the consolidated parent entity in times of stress.
Authorised Firmmust be able to meet its liquidity needs in each currency in which it has a significant exposure. The currencies of the stock of HQLA of an Authorised Firmmust be similar in composition to its liquidity needs by currency.