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With the implementation of the Capital Requirements Directive AAAm liquidity funds are treated in the same way as deposits with highly rated banks.
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Under the standardised approach AAAm Liquidity funds are risk weighted at 20%. Using a look through approach the weighting may be much lower – as all the assets held by the fund are themselves highly rated. Under the liquidity regime the funds can be included in the 8 day time bucket with a 5% haircut. The result of these changes is that AAAm liquidity funds offer an attractive home for short term cash for financial institutions. Please click on the link below for further information on the benefits of AAAm rated liquidity funds for financial institutions. |
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