1. Liquidity Risk Regulatory Calculations for Hong Kong Monetary Authority User Guide
  2. Liquidity Coverage Ratio Calculation
  3. Ratio Constituents
  4. Calculating Stock of High-Quality Liquid Assets

4.3.3 Calculating Stock of High-Quality Liquid Assets

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:

Figure 3-2 SHQLA=Min


This image displays the SHQLA=Min

Figure 3-3 SHQLA=Level 1


This image displays SHQLA=Level 1

Figure 3-4 SHQLA=Level 1 + Level 2


This image displays SHQLA=Level 1 + Level 2

The Application applies the relevant liquidity haircuts to the fair 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’ is considered in the stock of HQLA. The stock includes the bank’s 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 rehypothecated.

Note:

All calculations are based on the fair value of assets.