4.3.3.5 Calculating Excess Liquid Asset Amount

The regulation requires banks to maintain the composition of the stock of HQLA as follows:

• A minimum of 60 % should include Level 1 assets.
• A minimum of 30 % should include Level 1 assets excluding extremely high quality covered bonds.
• A maximum of 15% should include Level 2B assets.

The Level 1 covered bonds, Level 2A, and 2B assets more than the composition prescribed by the regulator are excluded from the stock of HQLA. The application computes the excess liquid asset amounts as per the following procedure:

1. Excess Level 1 Covered Bonds Liquid Asset Amount
   The formula for calculating excess Level 1 covered bonds liquid asset amount is as follows:

   Figure 3-6 Excess Level 1 Covered Bonds

   
   

   

   
   
   Where:
   Post-Cap Adjusted Level 1 Covered Bonds = Minimum [Adjusted Level 1 Covered Bonds, (Adjusted Level 1 Assets Excluding Covered Bonds *70/30)]
2. Excess Level 2A Liquid Asset Amount
   The formula for calculating excess Level 2A liquid asset amount is as follows:

   Figure 3-7 Excess Level 2A Liquid Asset Amount

   
   

   

   
   
   Where:
   Post-Cap Adjusted Level 2A Assets = Minimum [Adjusted Level 2A Assets, {(Adjusted Level 1 Assets Excluding Covered Bonds + Post-Cap Adjusted Level 1 Covered Bonds)*40/60}, Maximum {(Adjusted Level 1 Assets Excluding Covered Bonds*70/30) – Post-Cap Adjusted Level 1 Covered Bonds, 0}]
3. Excess Level 2B Liquid Asset Amount
   The formula for calculating excess Level 2B liquid asset amount is as follows:

   Figure 3-8 Excess Level 2B Liquid Asset Amount

   
   

   

   
   
   Where:
   Post-Cap Adjusted Level 2B Assets = Minimum [Adjusted Level 2B Assets, (Adjusted Level 1 Assets Excluding Covered Bonds + Post-Cap Adjusted Level 1 Covered Bonds + Post-Cap Adjusted Level 2A Assets)*15/85, Maximum {(Adjusted Level 1 Assets Excluding Covered Bonds + Post-Cap Adjusted Level 1 Covered Bonds)*40/60 – Post-Cap Adjusted Level 2A Assets,0}, Maximum {(70/30*Adjusted Level 1 Assets Excluding Covered Bonds) – Post-Cap Adjusted Level 1 Covered Bonds – Post-Cap Adjusted Level 2A Asset),0}]