Regulatory Alerts2022-05-17
BS13A Liquid Assets Annex
The Reserve Bank of New Zealand’s Prudential Supervision Department issued this annex to define primary and secondary liquid assets for calculating one-week and one-month liquidity mismatch ratios. The document specifies eligible asset classes, unencumbered status requirements, and credit-rating-based haircuts, including specific rules for Kauri securities and alternative cover factors for short-term maturities. It also imposes eligibility limits on residential mortgage-backed securities and registered bank certificates of deposit relative to total assets.
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