[1] https://www.ecfr.gov/current/title-12/chapter-II/subchapter-...
And if they have to value it appropriately every quarter, the issue likely would have been seen earlier and maybe they could have changed their positions as the rates were rising instead of being in a hole and trying to do it all at once.
At least I think that’s how the regulations might have worked here.
> Calculating the amount of a highly liquid asset. In calculating the amount of a highly liquid asset included in the liquidity buffer, the bank holding company must discount the fair market value of the asset to reflect any credit risk and market price volatility of the asset.
>A bank holding company subject to this subpart must maintain a liquidity buffer that is sufficient to meet the projected net stressed cash-flow need over the 30-day planning horizon of a liquidity stress test conducted in accordance with paragraph (a) of this section under each scenario set forth in paragraph (a)(3)(i) through (iii) of this section.
Edit: this FT opine summarize the sillyness: https://www.ft.com/content/c95e7708-b903-405d-a017-963844eb3... (paywall bypass: http://archive.today/2023.03.11-083455/https://www.ft.com/co...)