4.3.3 Calculating 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 3-1 Stock of HQLA

Figure 3-2 Total Unadjusted Stock of HQLA

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 includes the stock of HQLA. The stock includes the bank’s assets which are unencumbered, that is not placed as collateral; as well assets received from counterparties where the bank has a re-hypothecation right and where such assets are not rehypothecated.

Note:

All calculations are based on the market value of assets.