(a) Calculation
of the HQLA amount. As of the calculation date, a Board-regulated
institution’s HQLA amount equals:
(1) The level 1 liquid asset amount; plus
(2) The level 2A liquid
asset amount; plus
(3) The
level 2B liquid asset amount; minus
(4) The greater of:
(i) The unadjusted excess HQLA amount;
and
(ii) The adjusted excess
HQLA amount.
(b) Calculation of liquid asset amounts.
(1) Level 1 liquid
asset amount. The level 1 liquid asset amount equals the fair
value of all level 1 liquid assets held by the Board-regulated institution
as of the calculation date that are eligible HQLA, less the amount
of the reserve balance requirement under section 204.5 of Regulation
D (12 CFR 204.5).
(2) Level 2A liquid asset amount. The level 2A liquid asset amount
equals 85 percent of the fair value of all level 2A liquid assets
held by the Board-regulated institution as of the calculation date
that are eligible HQLA.
(3) Level 2B liquid asset amount. The level
2B liquid asset amount equals 50 percent of the fair value of all
level 2B liquid assets held by the Board-regulated institution as
of the calculation date that are eligible HQLA.
(c) Calculation of the unadjusted excess HQLA amount. As of the calculation date, the unadjusted excess HQLA amount equals:
(1) The level 2 cap excess
amount; plus
(2) The level
2B cap excess amount.
(d) Calculation of the level 2 cap excess amount. As of the calculation
date, the level 2 cap excess amount equals the greater of:
(1) The level 2A liquid asset amount plus the level 2B liquid asset amount minus 0.6667 times
the level 1 liquid asset amount; and
(2) 0.
(e) Calculation
of the level 2B cap excess amount. As of the calculation date,
the level 2B excess amount equals the greater of:
(1) The level 2B liquid asset amount minus the level 2 cap excess amount minus 0.1765 times
the sum of the level 1 liquid asset amount and the level 2A liquid
asset amount; and
(2) 0.
(f) Calculation of adjusted liquid asset
amounts.
(1) Adjusted level 1 liquid asset amount. A
Board-regulated institution’s adjusted level 1 liquid asset amount
equals the fair value of all level 1 liquid assets that would be eligible
HQLA and would be held by the Board-regulated institution upon the
unwind of any secured funding transaction (other than a collateralized
deposit), secured lending transaction, asset exchange, or collateralized
derivatives transaction that matures within 30 calendar days of the
calculation date where the Board-regulated institution will provide
an asset that is eligible HQLA and the counterparty will provide an
asset that will be eligible HQLA; less the amount of the reserve
balance requirement under section 204.5 of Regulation D (12 CFR 204.5).
(2) Adjusted level 2A liquid asset amount. A
Board-regulated institution’s adjusted level 2A liquid asset amount
equals 85 percent of the fair value of all level 2A liquid assets
that would be eligible HQLA and would be held by the Board-regulated
institution upon the unwind of any secured funding transaction (other
than a collateralized deposit), secured lending transaction, asset
exchange, or collateralized derivatives transaction that matures within
30 calendar days of the calculation date where the Board-regulated
institution will provide an asset that is eligible HQLA and the counterparty
will provide an asset that will be eligible HQLA.
(3) Adjusted
level 2B liquid asset amount. A Board-regulated institution’s
adjusted level 2B liquid asset amount equals 50 percent of the fair
value of all level 2B liquid assets that would be eligible HQLA and
would be held by the Board-regulated institution upon the unwind of
any secured funding transaction (other than a collateralized deposit),
secured lending transaction, asset exchange, or collateralized derivatives
transaction that matures within 30 calendar days of the calculation
date where the Board-regulated institution will provide an asset that
is eligible HQLA and the counterparty will provide an asset that will
be eligible HQLA.
(g) Calculation
of the adjusted excess HQLA amount. As of the calculation date,
the adjusted excess HQLA amount equals:
(1) The adjusted level 2 cap excess amount; plus
(2) The adjusted level
2B cap excess amount.
(h) Calculation of the adjusted level 2 cap excess amount. As of
the calculation date, the adjusted level 2 cap excess amount equals
the greater of:
(1) The
adjusted level 2A liquid asset amount plus the adjusted level
2B liquid asset amount minus 0.6667 times the adjusted level
1 liquid asset amount; and
(2) 0.
(i) Calculation of the adjusted
level 2B excess amount. As of the calculation date, the adjusted
level 2B excess liquid asset amount equals the greater of:
(1) The adjusted level 2B liquid asset
amount minus the adjusted level 2 cap excess amount minus 0.1765 times the sum of the adjusted level 1 liquid asset amount
and the adjusted level 2A liquid asset amount; and
(2) 0.
