Regulatory Alerts2022-07-14
BS13A Liquid Assets Annex July 2022
The Reserve Bank of New Zealand issued this policy annex to define primary and secondary liquid assets for calculating one-week and one-month liquidity mismatch ratios. It establishes eligibility criteria, including unencumbered status and credit rating requirements, while specifying detailed haircuts and cover factors for various securities in Annexes 1 and 2. The document also imposes limits on residential mortgage-backed securities and registered certificates of deposit based on the bank's encumbrance ratio and total assets.
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