How is HQLA calculated?

HQLA Amount (Numerator) Adjusted level 2B cap excess amount = max (Adjusted level 2B asset liquid amount – Adjusted level 2 cap excess amount – 0.1765 * (Adjusted level 1 liquid asset amount + Adjusted level 2A liquid asset amount) ; 0).

What is considered HQLA?

Assets are considered to be HQLA if they can be easily and immediately converted into cash at little or no loss of value. The liquidity of an asset depends on the underlying stress scenario, the volume to be monetised and the timeframe considered. Lower-quality assets typically fail to meet that test.

What is HQLA in LCR?

30.1. The numerator of the Liquidity Coverage Ratio (LCR) is the “stock of high-quality liquid assets (HQLA)”. Under the standard, banks must hold a stock of unencumbered HQLA to cover the total net cash outflows (as defined in LCR40) over a 30-day period under the stress scenario prescribed in LCR20.

What are HQLA in India?

This means, banks should have a stock of high-quality liquid assets (HQLA) — such as short-term government debt — which is 80 per cent of their total net cash outflows for 30 days. To address this concern, RBI told banks to maintain higher provision of 10 per cent on all such accounts under the standstill.

Which bonds are HQLA?

95% of HQLA consist of L1 assets, with L1 government bonds amounting to €9.8 trillion (89%) and L1 covered bonds €0.7 trillion (6%).

Is gold part of HQLA?

Gold, however, has so far not been included in the HQLA stock. This study examines each of the characteristics of HQLA and analyses how gold cope with them. Our results suggest that except of the one factor, which is low volatility, gold has no restrictions to be accepted as HQLA.

Is gold a HQLA?

The fundamental characteristics of a HQLA align well with gold, however gold is not yet considered a HQLA as there was insufficient data collected to demonstrate that gold responds well enough to real world shocks.

What is NSFR and LCR?

Net Stable Funding Ratio (NSFR) – Final Guidelines. The Net Stable Funding Ratio (NSFR) and Liquidity Coverage Ratio (LCR) are significant components of the Basel III reforms. The LCR guidelines which promote short term resilience of a bank’s liquidity profile have been issued vide circular DBOD. BP.

How do you calculate LCR?

How to Calculate the LCR

The LCR is calculated by dividing a bank’s high-quality liquid assets by its total net cash flows, over a 30-day stress period.
The high-quality liquid assets include only those with a high potential to be converted easily and quickly into cash.

Are Treasuries HQLA?

The highest quality Level I HQLA include reserves, Treasuries, and Treasury reverse repo.

How is the HQLA amount calculated?

HQLA amount = Level 1 liquid asset amount + Level 2A liquid asset amount + Level 2B liquid asset amount – max (Unadjusted excess HQLA amount ; Adjusted excess HQLA amount),

What does HQLA stand for?

It does this by ensuring that banks have an adequate stock of unencumbered high-quality liquid assets (HQLA) that can be converted easily and immediately in private markets into cash to meet their liquidity needs for a 30 calendar day liquidity stress scenario.

What is the stock of high quality liquid assets (HQLA)?

Go to section… The numerator of the Liquidity Coverage Ratio (LCR) is the “stock of high-quality liquid assets (HQLA)”. Under the standard, banks must hold a stock of unencumbered HQLA to cover the total net cash outflows (as defined in LCR40) over a 30-day period under the stress scenario prescribed in LCR20.

How do you calculate Level 1 liquid asset amount?

Level 1 liquid asset amount = Level 1 liquid assets that are eligible HQLA – Reserve balance requirement; Level 2A liquid asset amount =.85 * Level 2A liquid assets that are eligible HQLA; Level 2B liquid asset amount =.50 * Level 2B liquid assets that are eligible HQLA;