1. Liquidity Risk Regulatory Calculations for Reserve Bank of India User Guide
  2. Liquidity Coverage Ratio Calculation
  3. Process Flow
  4. Calculation of Stock of HQLA

5.2.3 Calculation of Stock of HQLA

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 4-2 Stock of HQLA


This image displays the Stock of HQLA.

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.