Regulatory Alerts2015-07-08
Treatment of High Quality Liquid Assets in Host Jurisdictions
The Saudi Arabian Monetary Agency (SAMA) requires Saudi banks with overseas branches and subsidiaries to apply the more conservative treatment of either SAMA's or the host jurisdiction's rules for Level 1 High Quality Liquid Assets (HQLA) and its repo facility when calculating consolidated Liquidity Coverage Ratio (LCR). This directive follows SAMA's recent circular dated July 8, 2015, which increased the repo facility for Level 1 HQLA from 75% to 100% for banks within the Kingdom of Saudi Arabia. SAMA acknowledges that host jurisdiction LCR requirements regarding HQLA haircuts or related repo facilities may not align with its own, necessitating this conservative approach for consolidated reporting.
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