Capital Markets School

Internal Use Only

Question

Are all “Highly Liquid Assets” always included in On Balance Sheet Liquidity?

Internal Use Only

Mitigating Factors Assets that may be slower to convert to cash or risk large haircuts could be considered for liquidity in certain circumstances • Excess Pledged Collateral • Unencumbered HTM Securities • Loans Held-for-Sale • Sub-Investment Grade, Exotic Structures, or Thinly Traded Securities