SBAB Bank AB (publ)

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The quantitative thresholds should also consider the fact that banks are required to hold a large stock of high quality liquid assets (HQLA) as a result of liquidity risk regulation, typically comprised of government exposures, high credit quality covered bonds and other high credit quality exposures. As a direct consequence of the HQLA being of very high credit quality, defaults are extremely rare and models consequently difficult to build and validate. To allow flexibility, particularly for smaller banks with limited exposure to governments and institutions outside the liquidity portfolio, the quantitative threshold should allow exempetions or higher quantitative thresholds for assets included in HQLA.
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See Q2
Quantitative thresholds should only be applied on a consolidated basis.
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Björn Bondén
S