8.1.1.1 Calculation of Stock of HQLA

The bank must calculate the LCR for each UA fund by including the HQLA specific to that UA fund. These calculations must be done based on the specified haircuts, definitions, and limits. Any asset that is held specifically for investment accounts cannot be included in the LCR calculations for the bank.

All unencumbered assets classified as Level 1, 2A or 2B, which meet the HQLA eligibility criteria, are included in the stock of high quality liquid assets (SHQLA). The formula for calculating SHQLA is as follows:

Stock of HQLA=Post Haircut Stock of Level 1 Assets

+Post Haircut Stock of Level 2A Assets

+Post Haircut Stock of Level 2B RMBS Assets

+Post Haircut Stock of Level 2B Non-RMBS Assets I+Assets

+Post Haircut Stock of Level 2B Non-RMBS II Assets

-Adjustment due to Cap on Level 2B Assets

-Adjustment due to Cap on Level 2 Assets

Where, Adjustment due to Cap on Level 2B Assets : Adjustment for 15% cap

Adjustment due to Cap on Level 2 Assets : Adjustment for 40% cap

The application applies the relevant liquidity haircuts to the market value of each eligible HQLA based on the haircuts specified as part of a business assumption. The sum of haircut adjusted market value of all assets which are not ‘other assets’ and which are classified as ‘eligible HQLA’ comprises of the stock of HQLA. The stock includes bank’s own assets which are unencumbered, i.e. not placed as collateral; as well as assets received from counterparties where the bank has a re-hypothecation right and where such assets are not re-hypothecated.

Note:

All calculations are based on the market value of assets.