At US banks, less than 50% of liquid assets classified as AFS
Goldman Sachs reported smallest proportion relative to HQLAs across US banks subject to LCR
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
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