1. Liquidity Risk Regulatory Calculations for Monetary Authority of Singapore User Guide
  2. Liquidity Coverage Ratio Calculation
  3. Process Flow
  4. Calculation of Stock of HQLA
  5. Calculation of Adjusted Stock of HQLA

4.2.3.4 Calculation of Adjusted Stock of HQLA

  1. Adjusted Stock of Level 1 Assets

    The formula for calculating adjusted stock of Level 1 Assets is as follows:


    This image displays the 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 collateral or underlying assets as part of a secured funding transaction, secured lending transaction, asset exchanges, or collateralized derivatives transaction.
  2. Adjusted Stock of Level 2A Assets

    The formula for calculating adjusted stock of Level 2A Assets is as follows:


    This image displays the Adjusted Stock of Level 2A Assets.

    Note:

    Adjustments relate to eligible level 2A 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.
  3. Adjusted Stock of Level 2B (I) Assets

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


    This image displays the Adjusted Stock of Level 2B (I) Assets.

    Note:

    Adjustments relate to eligible level 2B (I) 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.
  4. Adjusted Stock of Level 2B (II) RMBS Assets

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


    This image displays the Adjusted Stock of Level 2B (II) RMBS Assets.

    Note:

    Adjustments relate to eligible level 2B (II) 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 (II) Non-RMBS Assets

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


    This image displays the Adjusted Stock of Level 2B (II) Non-RMBS 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.