流動(dòng)性風(fēng)險(xiǎn)(liquidity risk)

1、1流動(dòng)性風(fēng)險(xiǎn)(Liquidity Risk)2流動(dòng)性風(fēng)險(xiǎn)(Liquidity Risk)流動(dòng)性風(fēng)險(xiǎn)是一項(xiàng)重要的金融風(fēng)險(xiǎn)。流動(dòng)性風(fēng)險(xiǎn)不易量化，因此Basel Committee on Banking Supervision (BCBS)未將流動(dòng)性風(fēng)險(xiǎn)正式列入計(jì)算應(yīng)提資本。嚴(yán)重流動(dòng)性缺乏，甚至可能導(dǎo)致機(jī)構(gòu)破產(chǎn)(即使該機(jī)構(gòu)的資產(chǎn)價(jià)值大於負(fù)債價(jià)值)。例如銀行，因資產(chǎn)之存續(xù)期間大於負(fù)債之存續(xù)期間，因此具有潛在的流動(dòng)性不對稱(liquidity imbalance)的問題。3流動(dòng)性風(fēng)險(xiǎn)之分類流動(dòng)性風(fēng)險(xiǎn)包括資產(chǎn)變現(xiàn)性風(fēng)險(xiǎn)(asset liquidity risk)與週轉(zhuǎn)流動(dòng)性風(fēng)險(xiǎn)(funding liqui

2、dity risk)。The Committee of European Banking Supervisors (CERS)對資產(chǎn)變現(xiàn)性風(fēng)險(xiǎn)與週轉(zhuǎn)流動(dòng)性風(fēng)險(xiǎn)的定義是:Asset liquidity risk, also called market/product liquidity risk, is the risk that a position cannot easily be unwound or offset at short notice without significantly influencing the market price, because if inadequat

3、e market depth or market disruption.Funding liquidity risk is the current or prospective risk arising from an institutions inability to meet its liabilities and obligations as they come due without incurring unacceptable losses.4資產(chǎn)變現(xiàn)性風(fēng)險(xiǎn)-影響因素影響資產(chǎn)變現(xiàn)性風(fēng)險(xiǎn)的因素有:市場情況(market conditions)買賣價(jià)差(bid-ask spread)市場

4、影響度(market impact)交易時(shí)間長度(liquidation time horizon)資產(chǎn)與有價(jià)證券型態(tài)(asset and security type)資產(chǎn)轉(zhuǎn)手機(jī)制(asset fungibility)5買賣價(jià)差(Bid-ask spread)買賣價(jià)差是在正常市場交易量(normal market size, NMS)下，買進(jìn)與賣出雙邊交易的本錢。亦可定義買賣相對價(jià)差(relative bid-ask spread)為S = p(ask) p(bid) / p(mid)流動(dòng)性好的資產(chǎn)具有以下特質(zhì)；買賣價(jià)差較緊(tightness)，以及交易深度(depth)較大。所謂買賣價(jià)差較

5、緊是指，實(shí)際交易價(jià)格偏離報(bào)價(jià)之均價(jià)的程度較小。所謂交易深度則是指，交易的數(shù)量不致對價(jià)格造成太大影響。6市場影響度(market impact)交易量大時(shí)，往往會(huì)影響價(jià)格，如一筆大量的賣單，可能影響價(jià)格下跌，而一筆大量的買單，則會(huì)影響價(jià)格上升。上述之價(jià)量關(guān)係(price-quantity function)，稱為市場影響度。流動(dòng)性好的資產(chǎn)，其價(jià)量關(guān)係較為平坦(flat)，表示大量的交易，對價(jià)格不會(huì)有太多的影響，公債即屬之。反之，流動(dòng)性較差的資產(chǎn)，不僅買賣價(jià)差較大，其價(jià)量關(guān)係也較為陡峭(steep)，銀行的放款即是一例 。此外，亦可觀察價(jià)格回復(fù)的速度(resiliency)，也就是價(jià)格受到交易量影

6、響，此一影響消失的速度，流動(dòng)性愈大，回復(fù)速度愈快。7內(nèi)生流動(dòng)性與外生流動(dòng)性假設(shè)所交易的量是屬於正常市場交易量(normal market size, NMS) ，則交易不會(huì)影響價(jià)格，稱為外生的流動(dòng)性(exogenous liquidity) 。 相對地，當(dāng)交易量大時(shí)，則該筆大量的交易結(jié)果會(huì)影響價(jià)格，此一情形稱為內(nèi)生的流動(dòng)性(endogenous liquidity) 。8交易時(shí)間長度(liquidation time horizon)在價(jià)量關(guān)係下，大單交易會(huì)影響價(jià)格，但是假設(shè)將大單劃分?jǐn)?shù)個(gè)小單，並將時(shí)間拉長，等待較好時(shí)機(jī)進(jìn)行交易，假設(shè)改以此一方式處理，則同樣的一 筆數(shù)量的交易，對價(jià)格的影響相對

7、會(huì)減少許多。因此流動(dòng)性的大小，也是時(shí)間長度的函數(shù)，時(shí)間愈長，流動(dòng)性愈大。9資產(chǎn)與有價(jià)證券型態(tài)(asset and security type)不同的資產(chǎn)類別，流動(dòng)性各不相同。流通在外之?dāng)?shù)量愈大的有價(jià)證券，流動(dòng)性愈大。最近發(fā)行的有價(jià)證券，稱為on-the-run，有較大的流動(dòng)性。以30年期的公債為例，on-the-run的30年期公債與off-the-run的30年期公債，由於二者具有相同的信用風(fēng)險(xiǎn)與市場風(fēng)險(xiǎn)，因此二者收益率之差異，就是所謂的流動(dòng)性貼水(liquidity premium) 。10資產(chǎn)轉(zhuǎn)手機(jī)制(asset fungibility)在集中市場，有價(jià)證券的買賣較容易撮合成功，故具有較

8、大的流動(dòng)性，在集中市場交易的金融商品如期貨與股票等。相對地，在OTC市場交易的金融商品，流動(dòng)性較小。11資產(chǎn)變現(xiàn)性風(fēng)險(xiǎn)資產(chǎn)變現(xiàn)性低(illiquidity)的現(xiàn)象，有可能形成市場全面性(market-wide)，也可能隨時(shí)間而有所不同。1994年債券市場下跌、1998年的LTCM危機(jī)、以及2007年以來的信用危機(jī)等，即是市場普遍性的資產(chǎn)變現(xiàn)性低的例子。通常在這種時(shí)候，市場會(huì)出現(xiàn) 逃向高品質(zhì)商品(flight to quality)的現(xiàn)象，也就是對於如公債等商品需求增加，而信評較低的商品，因需求萎縮而出現(xiàn)資產(chǎn)變現(xiàn)性低的狀況。在收益率上，會(huì)形成公司債與公債利差擴(kuò)大的現(xiàn)象。12調(diào)整流動(dòng)性之風(fēng)險(xiǎn)值(L

9、iquidity-adjusted VaR)We can attempt to incorporate the effect of bid-ask spreads in risk measures.If the spread S is fixed, one could simply construct a liquidity-adjusted VaR frm the traditional VaR by adding a term:Where W is the initial wealth, or portfolio value.If VaR is to be measured from ze

10、ro (relative to the initial portfolio value), instead of away from the mean, we need to subtract .13調(diào)整流動(dòng)性之風(fēng)險(xiǎn)值(Liquidity-adjusted VaR)If bid-ask spreads vary substantially, the LVaR formula can be adjusted to account for the worst increase in spread at some confidence level.The distribution of the sp

11、read can be described by its mean and standard deviation. The worst-case LVaR is then:14LVaR-An ExampleAssume we have $10 million invested in a 30-year Treasury bond, with daily volatility 1% and spread 0.1%. The one-day LVaR at the 95% confidence level is$10,000,000(1.645*0.01)+0.5*(0.001)=$164,500

12、 + $5,000=$169,50015FRM Exam 2021-Question 7-7You are a manager of a renowned hedge fund and are analyzing a 1,000 share position in an undervalued but illiquid stock BNA, which has a current stock price of USD 72 (expressed as the midpoint of the current bid-as spread). Daily return for BNA has an

13、estimated volatility of 1.24%. The average bid-ask spread is USD 0.16. Assuming returns of BNA are normally distributed, what is the estimated liquidity-adjusted daily 95% VaR, using the constant spread approach?USD 1,389USD 1,469USD 1,549USD 1,62916FRM Exam 2021-Question 7-7解cConventional VaR is $1

14、,469 (=$72 * 1,000(1.24%*1.645)The spread effect is $80 (=$0.16*1,000*0.5)LVaR = $1,469 + $80 = $1,54917FRM Exam 2007-Question 116You are holding 100 Wheelbarrow Company shares with a current price of $50. The daily mean and volatility of the stock return is 1% and 2%, respectively. VaR should be me

15、asured relative to the initial wealth. The bid-ask spread of the stock varies over time. The daily mean and volatility of the spread are 0.5% and 1%, respectively. Both the return and spread are normally distributed. Calculate the daily liquidity-adjusted VaR at a 99% confidence level.USD 254USD 229

16、USD 325USD 27518FRM Exam 2007-Question 116解aThe regular VaR relative to the initial portfolio value is The liquidity effect The total is $254 (=$183 + $70.75)19週轉(zhuǎn)流動(dòng)性風(fēng)險(xiǎn)(Funding Liquidity Risk)根據(jù)Basel Committee的定義“Funding liquidity risk is the risk that the firm will not be able to meet efficiently bo

17、th expected and unexpected current and future cash flow and collateral needs without affecting either daily operations or the financial condition of the firm.20週轉(zhuǎn)流動(dòng)性風(fēng)險(xiǎn)之指標(biāo)三個(gè)月期國庫券利率、三個(gè)月期LIBOR、以及聯(lián)邦資金利率(federal funds rate)等均可作為參考指標(biāo)。三個(gè)月期LIBOR與聯(lián)邦資金利率的利差，反映term spread.三個(gè)月期國庫券利率與三個(gè)月期LIBOR的利差，稱為泰德利差(TED spre

18、ad)，反映的是信用風(fēng)險(xiǎn)貼水與流動(dòng)性風(fēng)險(xiǎn)貼水。泰德利差通常大約是25bp，2007年至2021年間，泰德利差大幅上升，尤其在2021年9月15日， Lehman破產(chǎn)後曾高達(dá)500bp。 21流動(dòng)性風(fēng)險(xiǎn)管理Liquidity risk management requires robust internal governance, implemented by adequate tools to identify, measure, monitor, and manage liquidity risk.The board of directors is ultimately responsible

19、 for the institutions liquidity strategy.Funding liquidity risk arises from the liability side, for either on-balance-sheet or off-balance-sheet items.22流動(dòng)性風(fēng)險(xiǎn)管理步驟步驟一: 就負(fù)債面估(包含表內(nèi)與表外負(fù)債)計(jì)目前及未來不同時(shí)間點(diǎn)應(yīng)支付之現(xiàn)金流量的金額步驟二:就資產(chǎn)面(包含表內(nèi)與表外之資產(chǎn))評估目前及未來不同時(shí)間點(diǎn)可收到之現(xiàn)金流量步驟三: 就步驟一與步驟二之現(xiàn)金流出與現(xiàn)金流入，按期限別作成一個(gè)資金週轉(zhuǎn)矩陣(a funding matrix

20、)，然後計(jì)算各期限別的週轉(zhuǎn)缺口(funding gap)，估計(jì)可用以填補(bǔ)週轉(zhuǎn)缺口的內(nèi)部其他資金，如現(xiàn)金或是出售資產(chǎn)等之各期限別之額度，稱之為缺口補(bǔ)平(gap closures)，假設(shè)缺口補(bǔ)平金額小於週轉(zhuǎn)缺口，亦即淨(jìng)週轉(zhuǎn)缺口(net funding gap) ，就必須有外部的借入款。23現(xiàn)金流量與到期期限評估各期現(xiàn)金流入與現(xiàn)金流出，按現(xiàn)金流量與到期期限是否固定，可區(qū)分為四類:(一) 現(xiàn)金流量固定，且到期期限固定如固定利率之債券(二) 現(xiàn)金流量隨機(jī)，但到期期限固定如浮動(dòng)利率之債券(三) 現(xiàn)金流量固定，但到期期限隨機(jī)如可贖回之債券(callable bonds)(四) 現(xiàn)金流量隨機(jī)，且到期期限隨後如

21、客戶之存款24Funding Gap Analysis下表是一假設(shè)例子，並假設(shè)沒有其他新業(yè)務(wù)出現(xiàn)，且所有資金均無展期(rollover of funding)。首先分析會(huì)產(chǎn)生現(xiàn)金流量的資產(chǎn)與負(fù)債，資產(chǎn)部份有放款，負(fù)債局部有客戶存款以及長短期負(fù)債，就現(xiàn)金流量作成未來一年的time profile。計(jì)算未來一年time profile的週轉(zhuǎn)缺口(funding gap)，正值表示該時(shí)點(diǎn)之現(xiàn)金流入大於現(xiàn)金流出，反之負(fù)值表示該時(shí)點(diǎn)之現(xiàn)金流入缺乏支付現(xiàn)金流出。並計(jì)算一年的累積週轉(zhuǎn)缺口(cumulative funding gap)。累積週轉(zhuǎn)缺為-30，表示未來一年的現(xiàn)金流量是呈淨(jìng)現(xiàn)金流出。25Fundi

22、ng Gap Analysis再估計(jì)其他資產(chǎn)未來一年之time profile，其中現(xiàn)金部位可立即動(dòng)用，另外可出售有價(jià)證券，這些資金稱為缺口補(bǔ)平(gap closure)。計(jì)算未來一年之累積缺口補(bǔ)平(cumulative gap closure) 。週轉(zhuǎn)缺口與缺口補(bǔ)平之合計(jì)數(shù)稱為預(yù)期之淨(jìng)週轉(zhuǎn)缺口，或可表示為 net funding gap =funding gap + gap closure淨(jìng)週轉(zhuǎn)缺口為正值，且時(shí)間愈長，表示該機(jī)構(gòu)的流動(dòng)性風(fēng)險(xiǎn)低。26Example of Funding Gap AnalysisTime ProfileBalanceO/N7D14D1M3M1YCumulativ

23、eFunding MatrixLoans100553155538Retail deposits-50-5-5-5-8-5-5-33Short-term debt-30-10-5-5-5-50-30Long-term debt-30000-500-5Total Funding gap-10-5-7-3-50-30Gap ClosureCash55000005Securities20108200020Total158200025Net Funding gap53-5-3-50-5Cumulative5830-5-527壓力測試以情境分析(scenario)進(jìn)行壓力測試，評估在不同的情境之下，現(xiàn)金流

24、量偏離其預(yù)期值的程度。所分析的情境應(yīng)涵蓋institution-specific, country-specific, and marketwide scenarios.週轉(zhuǎn)流動(dòng)性風(fēng)險(xiǎn)(funding liquidity risk)經(jīng)常與資產(chǎn)變現(xiàn)性風(fēng)險(xiǎn)(asset liquidity risk)交互影響。28控制流動(dòng)性風(fēng)險(xiǎn)提高穩(wěn)定型(stable)資金的比例。對於資金的來源(sources)、區(qū)域(geographical location)以及期限別(maturities)進(jìn)行多樣化。資產(chǎn)多樣化。訂定高流動(dòng)性資產(chǎn)之最低比例。訂定到期期限差異(maturity mismatches)之上限。訂

25、定每一時(shí)點(diǎn)之週轉(zhuǎn)缺口(funding gap)上限。訂定同一資金來源(funding source)之上限。To penalize business units or instruments that can generate claims on liquidity29德意志銀行之流動(dòng)性管理德意志銀行(Deutsche Bank)是一家德國的領(lǐng)導(dǎo)(商業(yè))銀行。該行在2007年12月之資產(chǎn)為20,200億歐元風(fēng)險(xiǎn)性資產(chǎn)(risk-weighted assets)為3,290億歐元股東權(quán)益370億歐元第一類資本比率為8.6%30德意志銀行之流動(dòng)性管理逐日的現(xiàn)金流量預(yù)測。25%資金來緣源是客戶存款(

26、retail deposits)，20%來自資本市場。不同資產(chǎn)項(xiàng)目給與不同的流動(dòng)性。具高度流動(dòng)性資產(chǎn)投資組合金額達(dá)250億歐元?？刂瀑Y產(chǎn)與負(fù)債到期期限的差異。31德意志銀行之壓力測試The hypothetical events encompass external shocks as well as internal shocks.external shocks : market events, emerging market crises, and systemic ernal shocks: operational risk events and rating dow

27、ngradesUnder each of these scenarios the bank assumes that all maturing loans to customers will need to be rolled over and require funding, whereas rollover of liabilities will be partially impaired, resulting in a funding gap.32德意志銀行之壓力測試The bank then models the steps it would take to counterbalanc

28、e the resulting net shortfall in funding, which include selling assets and switching from unsecured to secured funding.For each scenario, the table shows the cumulative funding gap over an eight-week horizon, in billions of euros, and how much counterbalancing liquidity could be generated.33壓力測試-Deu

29、tsche BankScenarioFunding GapGap ClosureMarket risk5.598.9Emerging markets27.7117.1Systemic shock20.470.9Operational risk13.9106.7One-notch downgrade28.1129.3Three-notch downgrade108.6129.334Northern Rocks Liquidity RiskNorthern Rock (NR) is a bank that was counted among the top five mortgage lender

30、s in Britain.NRs business model was unusually reliant on funding from capital markets instead of retail deposits.Capital market funding, is more volatile than retail deposits.The bank had used this unusual structure to fuel its fast growth.35Northern Rocks Liquidity RiskDuring August 2007, NR starte

31、d to run into difficulties rolling over its short-term debt and issuing securitized loans.Higher rates on new capital started to squeeze margins, leading to a sharp fall in the banks share price.On September 13, it was announced that the Bank of England had granted emergency financial support to NR.

32、 This news started a bank run.By the end of the year, the bank had been unable to roll over GBP 8 billion in short-term debt and had lost GBP 15 billion in customer accounts.36Northern Rocks Liquidity RiskThe loan from the Bank of England had grown to GBP 27 billion.After two unsuccessful bids to se

33、ll Northern Rock, it was nationalized on February 22, 2021.Northern Rock was victim of funding liquidity risk, as it had funded long-term loans by short-term debt that it could not roll over.37Northern Rocks Balance Sheet(GBP Billion)AssetsDebtLoans96.7Retail deposits30.1Cash0.8Deb securities71.0Sec

34、urities8.0Other10.1Total113.5Total111.238FRM Exam 2021-Question 7-12Your CRO asks you to prepare a list of early warning indicators for liquidity problems for your bank. Which of the following are early warning indicators of a potential liquidity problem?I. Rapid asset growth, especially when funded

35、 with potentially volatile liabilitiesII. Growing concentrations in assets or liabilitiesIII. An increase of the weighted average maturity of liabilitiesIV. Reduction in the frequency of positions approaching or breaching internal or regulatory limitsNarrowing debt or credit default swap spreadsVI.

36、Counterparties that request additional collateral for credit exposuresVII. Increasing redemptions of CDs before maturity I, II, VI, and VIII, III, V, and VIII, IV, V, and VIII, V, VI, and VII Answer: a39Basel III: Liquidity Risk- IntroductionThe objective of the reforms is to improve the banking sec

37、tors ability to absorb shocks arising from financial and economic stress, whatever the source, thus reducing the risk of spillover from the financial sector to the real economy. Prior to the financial crisis that began in 2007, asset markets were buoyant and funding was readily available at low cost

38、. The rapid reversal in market conditions illustrated how quickly liquidity can evaporate and that illiquidity can last for an extended period of time. 40Basel III: Liquidity Risk- Introduction3. The difficulties experienced by some banks were due to lapses in basic principles of liquidity risk mana

39、gement. The Sound Principles provide detailed guidance on the risk management and supervision of funding liquidity risk.4. To complement these principles, the Committee has further strengthened its liquidity framework by developing two minimum standards for funding liquidity: the Liquidity Coverage

40、Ratio (LCR) and the Net Stable Funding Ratio (NSFR). 41Basel III: Liquidity Risk- Introduction5. These two standards are comprised mainly of specific parameters which are internationally “harmonised with prescribed values. 6. It should be stressed that the standards establish minimum levels of liqui

41、dity for internationally active banks. 7. the Committee has also developed a set of monitoring tools to be used in the ongoing monitoring of the liquidity risk exposures of banks, and in communicating these exposures among home and host supervisors. 42Liquidity Coverage Ratio (LCR)This standard aims

42、 to ensure that a bank maintains an adequate level of unencumbered, high-quality liquid assets that can be converted into cash to meet its liquidity needs for a 30 calendar day time horizon under a significantly severe liquidity stress scenario specified by supervisors. At a minimum, the stock of li

43、quid assets should enable the bank to survive until Day 30 of the stress scenario.By which time it is assumed that appropriate corrective actions can be taken by management and/or supervisors, and/or the bank can be resolved in an orderly way. 43Liquidity Coverage Ratio Definition of the standard: (

44、Stock of high-quality liquid assets /Total net cash outflows over the next 30 calendar days) = 100%44Characteristics of high-quality liquid assets Fundamental characteristics: Low credit and market risk Ease and certainty of valuation Low correlation with risky assets Listed on a developed and recog

45、nized exchange market45Characteristics of high-quality liquid assets Fundamental characteristics Active and sizable market Presence of committed market makers Low market concentration Flight to quality 46High-quality liquid assets High-quality liquid assets should also ideally be eligible at central

46、 banks6 for intraday liquidity needs and overnight liquidity facilities. Central bank eligibility does not by itself constitute the basis for the categorization of an asset as a “high-quality liquid asset. 47Definition of high-quality liquid assets The stock of high-quality liquid assets should comp

47、rise assets with the characteristics outlined above.There are two categories of assets that can be included in the stock. Assets to be included in each category are those that the bank is holding on the first day of the stress period. “Level 1 assets can be included without limit, while “Level 2 ass

48、ets can only comprise up to 40% of the stock. 48“Unencumbered “Unencumbered means not pledged (either explicitly or implicitly) to secure, collateralise or credit-enhance any transaction. However, assets received in reverse repo and securities financing transactions that are held at the bank, have n

49、ot been rehypothecated, and are legally and contractually available for the banks use can be considered as part of the stock. 49Level 1 assetsLevel 1 assets can comprise an unlimited share of the pool, are held at market value and are not subject to a haircut under the LCR. However, national supervi

50、sors may wish to require haircuts for Level 1 securities based on, among other things, their duration, credit and liquidity risk, and typical repo haircuts. 50Level 1 assets are limited to: (a) cash; (b) central bank reserves, to the extent that these reserves can be drawn down in times of stress; (

51、c) marketable securities representing claims on or claims guaranteed by sovereigns, central banks, non-central government PSEs, the Bank for International Settlements, the International Monetary Fund, the European Commission, or multilateral development banks and satisfying all of the following cond

52、itions.51Level 1 assets are limited to: assigned a 0% risk-weight under the Basel II Standardised Approach; traded in large, deep and active repo or cash markets characterised by a low level of concentration; proven record as a reliable source of liquidity in the markets (repo or sale) even during s

53、tressed market conditions; and not an obligation of a financial institution or any of its affiliated entities. (d) for non-0% risk-weighted sovereigns, sovereign or central bank debt securities issued in domestic currencies by the sovereign or central bank in the country in which the liquidity risk

54、is being taken or in the banks home country; and, (e) for non-0% risk-weighted sovereigns, domestic sovereign or central bank debt securities issued in foreign currencies, to the extent that holding of such debt matches the currency needs of the banks operations in that jurisdiction. 52Level 2 asset

55、s Level 2 assets can be included in the stock of liquid assets, subject to the requirement that they comprise no more than 40% of the overall stock after haircuts have been applied. The portfolio of Level 2 assets held by any institution should be well diversified in terms of type of assets, type of

56、 issuer (economic sector in which it participates, etc) and specific counterparty or issuer. 53Level 2 assets are limited to: Marketable securities representing claims on or claims guaranteed by sovereigns, central banks, non-central government PSEs or multilateral development banks that satisfy all

57、 of the following conditions. assigned a 20% risk weight under the Basel II Standardised Approach for credit risk; traded in large, deep and active repo or cash markets characterised by a low level of concentration; proven record as a reliable source of liquidity in the markets (repo or sale) even d

58、uring stressed market conditions (ie maximum decline of price or increase in haircut over a 30-day period during a relevant period of significant liquidity stress not exceeding 10%); and not an obligation of a financial institution or any of its affiliated entities. 54Level 2 assets are limited to:

59、(b) Corporate bonds and covered bonds that satisfy all of the following conditions.not issued by a financial institution or any of its affiliated entities (in the case of corporate bonds); not issued by the bank itself or any of its affiliated entities (in the case of covered bonds); assets have a c

60、redit rating from a recognised external credit assessment institution (ECAI) of at least AA-12 or do not have a credit assessment by a recognised ECAI and are internally rated as having a probability of default (PD) corresponding to a credit rating of at least AA-; traded in large, deep and active r