Following a general request from the European Commission, the PCS has sent its response to the EBA’s report of December 2013 on the definition of High Quality Liquid Assets (HQLA) that may be included in a bank’s liquidity cover ratio buffers. In the report, and following the lead of the Basel Committee on Banking Supervision, the EBA did not admit any securitisations as HQLA save a sub-set of RMBS. PCS felt that there were a number of fundamental issues with the approach adopted by the EBA as well as some flaws in the methodological choices which combined to discriminate unfairly against high quality securitisations. PCS strongly recommends in its response that a definition of “high quality securitisations”, based on the PCS principles and similar to that provided by EIOPA in the context of Solvency II, should be crafted and that such securitisations be allowed as HQLAs. The PCS response may be found here.