Less than half of the easy-to-sell assets that underpin major US banks’ liquidity adequacy requirements sit within their balance sheets’ available-for-sale (AFS) perimeter, Risk Quantum research has found. In a seeming mismatch between practice and theory, the divergence may come under scrutiny if the liquidity coverage ratio (LCR) framework is re-examined in the wake of Silicon Valley Bank’s collapse.

The 14 US dealers subject to the LCR measure collectively held $1.48 trillion of securities