1. Liquidity Risk Regulatory Calculations for European Banking Authority User Guide
  2. Liquidity Coverage Ratio Calculation as Per Delegated Act
  3. Process Flow
  4. Identification of Asset Levels

4.3.1 Identification of Asset Levels

High quality liquid assets are assets that can be easily sold or used as collateral to obtain funds at little or no loss of value even under stress scenarios. All assets, whether owned by the bank or received from counterparties as collateral, that meet the high quality liquid asset criteria specified by BIS, are classified as follows :

  • Level 1 Assets
  • Level 2A Assets
  • Level 2B Assets

Level 1 assets excluding covered bonds can be included without limit, level 1 covered bonds can only comprise 70% of the stock of level 1 assets and Level 2 assets can only comprise 40% of the stock of HQLA. Of this, Level 2B assets can only comprise of 15% of stock of HQLA. Any asset not classified as an HQLA are considered an Other Asset.

Note:

  1. The application assigns relevant regulatory haircut to each asset classified as HQLA as part of the pre-configured regulatory scenario. This haircut can be modified by the user for the purposes of stress testing.
  2. The value included in the stock of HQLA is net of any hedge termination cost or gain, as applicable.