1. User Guide
  2. Liquidity Coverage Ratio Calculation
  3. Process Flow
  4. Calculation of Stock of High Quality Liquid Assets
  5. Calculation of Adjusted Stock of HQLA

6.2.2.5 Calculation of Adjusted Stock of HQLA

  1. Adjusted Stock of Level 1 Assets

    The formula for calculating adjusted stock of level 1 asset is as follows:


    Adjusted Stock of Level 1 Assets

    Note:

    Adjustments relate to the cash received or paid, and the eligible level 1 assets posted or received as collaterals, or underlying assets as part of secured funding, secured lending and asset exchange transactions.
  2. Adjusted Stock of Level 2A Assets

    The formula for calculating adjusted stock of level 2A assets is as follows:


    Adjusted Stock of Level 2A Assets

    Note:

    Adjustments relate to eligible level 2A assets posted or received as collaterals, or underlying assets as part of secured funding, secured lending and asset exchange transactions.
  3. Adjusted Stock of Level 2B Assets

    The formula for calculating adjusted stock of level 2B assets is as follows:


    Adjusted Stock of Level 2B Assets

    Note:

    Adjustments relate to eligible level 2B assets posted or received as collaterals, or underlying assets as part of secured funding, secured lending and asset exchange transactions.
  4. Adjusted Stock of Level 2B RMBS Assets

    The formula for calculating adjusted stock of level 2B RMBS assets is as follows:


    Adjusted Stock of Level 2B RMBS Assets

    Note:

    Adjustments relate to eligible level 2B RMBS assets posted or received as collateral or underlying assets as part of a secured funding transaction, secured lending transaction, asset exchanges, or collateralized derivatives transaction.
  5. Adjusted Stock of Level 2B Non-RMBS I Assets

    The formula for calculating adjusted stock of level 2B non-RMBS I assets is as follows:


    Adjusted Stock of Level 2B Non-RMBS I Assets

    Note:

    Adjustments relate to eligible level 2B Non-RMBS assets posted or received as collateral or underlying assets as part of a secured funding transaction, secured lending transaction, asset exchanges, or collateralized derivatives transaction.
  6. Adjusted Stock of Level 2B Non-RMBS II Assets

    The formula for calculating adjusted stock of level 2B non-RMBS II assets are as follows:


    Adjusted Stock of Level 2B Non-RMBS II Assets

    Note:

    Adjustments relate to eligible level 2B Non-RMBS assets posted or received as collateral or underlying assets as part of a secured funding transaction, secured lending transaction, asset exchanges, or collateralized derivatives transaction.