1. Liquidity Risk Regulatory Calculations for European Banking Authority User Guide
  2. Liquidity Coverage Ratio Calculation as Per Delegated Act
  3. Process Flow
  4. Calculating Stock of HQLA
  5. Calculating Stock of Liquid Assets

4.3.3.1 Calculating Stock of Liquid Assets

This section explains the calculation of the Stock of Liquid Assets.
  1. Calculating Stock of Level 1 Assets
    The stock of Level 1 assets equals (1-haircut percent) of the market value of all Level 1 liquid assets held by the bank as of the calculation date that is eligible HQLA, less the amount of the minimum/mandatory reserves less hedge termination costs (if any), less withdrawal penalty on time deposits (if any).
  2. Calculating Stock of Level 2A Assets
    The stock of Level 2A liquid assets equals (1-haircut percent) of the market 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. Calculating Stock of Level 2B Assets
    The stock of Level 2B liquid assets equals (1-haircut percent) of the market 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).