4.2.3.1 Calculation of Liquid Asset Amount

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

1. Level 1 liquid asset amount

   The level 1 liquid asset amount equals the fair value of all level 1 liquid assets held by the bank as of the calculation date that are eligible HQLA, less the amount of the reserve balance requirement less hedge termination costs (if any), less withdrawal penalty on time deposits (if any).

2. Level 2A liquid asset amount

   The level 2A liquid asset amount equals 85 percent of the fair value of all level 2A liquid assets held by the bank as of the calculation date that are eligible HQLA, less hedge termination costs (if any).

3. Level 2B liquid asset amount

   The level 2B liquid asset amount equals 50 percent of the fair value of all level 2B liquid assets held by the bank as of the calculation date that are eligible HQLA, less hedge termination costs (if any).

4. Level 2B PSE security liquid asset amount

   The level 2B liquid asset amount equals 50 percent of the fair value of fair value of all level 2B PSE securities, to the extent of 2 times the average daily trading volumes of all US general obligation municipal bonds issued by each issuer, held by the bank as of the calculation date that are eligible HQLA, less hedge termination costs (if any).