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
  5. Calculating Stock of Liquid Assets

4.3.3.1 Calculating Stock of Liquid Assets

The process for calculation of stock of Liquid Assets is as follows:

  1. Calculating Stock of Level 1 Assets

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

  2. Calculating Stock of Level 2A Assets

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

  3. Calculating Stock of Level 2B- RMBS Assets

    The stock of level 2B liquid assets equals the haircut adjusted fair value of all level 2B RMBS liquid assets held by the bank as on the calculation date that are eligible HQLA, less hedge termination costs (if any).

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

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