SVB opens floodgates on liquidity buffers debate

European regulator says HQLAs should be booked at fair value, but not everyone agrees

Credit: montage

A bank tells its auditor it plans to hold a bond until the maturity date. The same bank is telling its regulator it is holding the same bond as part of a liquidity buffer, to be sold if the treasurer needs to raise cash.

This apparent contradiction isn’t a hypothetical scenario. It is a reality that is already under scrutiny from regulators in the wake of Silicon Valley Bank’s collapse in the US. SVB marked most of the bonds it was holding at amortised acquisition cost, rather than at fair

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