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FRM Part II · FRM Exam Part II · Liquidity Risk Reporting and Stress Testing

A treasurer is deciding what to include in the BCBS 144 available unencumbered assets tool. Which asset should be reported?

The tool covers unencumbered assets that are marketable as collateral in secondary markets or eligible for central bank standing facilities, reported with their currency and location. It is broader than HQLA, and excludes pledged or non-marketable assets.

  1. AUnencumbered assets that are marketable as collateral in secondary markets or eligible at central banks' standing facilities, with their currency and locationCorrect
  2. BOnly assets already counted as HQLA in the LCR numerator
  3. CAssets pledged to secure repo funding but expected to be released
  4. DAny asset on the balance sheet regardless of marketability

Explanation

The tool captures unencumbered assets that can be used as collateral in secondary markets and/or are eligible at central banks, reported by currency and location. It is broader than LCR HQLA, so restricting it to HQLA is wrong. Pledged assets are encumbered, and non-marketable assets do not qualify.

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