1. User Guide
  2. Bank for International Settlements Basel III Liquidity Ratio Calculation
  3. Liquidity Coverage Ratio Calculation
  4. Liquidity Ratio Calculation Process Flow
  5. Calculation of Stock of High Quality Liquid Asset
  6. Calculation of Stock of Liquid Assets

15.2.2.3.1 Calculation of Stock of Liquid Assets

  1. Calculation of Stock of Level 1 Assets

    The stock of level 1 assets equals the market value of all level 1 liquid assets held by the bank as of the calculation date that are eligible HQLA, less the amount of the minimum reserves less hedge termination costs (if any), less withdrawal penalty on time deposits (if any).

  2. Calculation of Stock of Level 2A Assets

    The stock of level 2A liquid assets equals 85 percent of the market value of all level 2A liquid assets held by the bank as of the calculation date that are eligible HQLA, less hedge termination costs (if any).

  3. Calculation of Stock of Level 2B RMBS Assets

    The stock of level 2B RMBS liquid asset amount equals 75 percent of the market value of all level 2B RMBS liquid assets held by the bank as of the calculation date that are eligible HQLA, less hedge termination costs (if any).

  4. Calculation of Stock of Level 2B Non-RMBS Assets

    The stock of level 2B liquid assets equals 50 percent of the market value of all level 2B non-RMBS liquid assets held by the bank as of the calculation date that are eligible HQLA, less hedge termination costs (if any).