(1) Liquid assets are included at market value in the relevant section of the
(2) An asset is regarded as liquid if:
(a) prices are regularly quoted for the asset;
(b) the asset is regularly traded;
(c) the asset may readily be sold, including by repurchase agreement, either on an exchange, or in a deep and liquid market for payment in cash; and
(d) settlement is according to a prescribed timetable rather than a negotiated timetable.
(4) The discount factor to be applied to types of marketable assets when completing the maturity mismatch ratio calculation must be determined by reference to the following table and PIB Rules A9.2.6 to A9.2.9 (which define which assets are eligible to be included in each HQLA level):
|Level 1 HQLA||0%|
|Level 2A HQLA||15%|
|Level 2B HQLA - Eligible asset backed securities||25%|
|Level 2B HQLA - Other HQLA||50%|
|Non-HQLA eligible trading assets that are Investment Grade||60%|
DFSA may vary the discounts to reflect the conditions of a particular market or institution.