Document ID: chunk:federal_register_of_legislation:F2022L01620:front:0:p11
Version: federal_register_of_legislation:F2022L01620
Segment Type: other
Provision Reference: 
Character Range: 27980–30712

only comprise up to 40 per cent of the total stock of HQLA. HQLA2B must not exceed 15 per cent of the total stock of HQLA. HQLA2B must be included within the overall 40 per cent cap on HQLA2.

    7.             The calculation of the 40 per cent cap detailed in paragraph 6 of this Attachment, and the 15 per cent cap detailed in paragraph 6 of this Attachment, must take into account the impact on the stock of HQLA of the amounts of HQLA1 and HQLA2 involved in secured funding, secured lending and collateral swaps transactions maturing within 30 calendar days. The maximum amount of adjusted HQLA2 in the stock of HQLA is equal to two-thirds of the adjusted amount of HQLA1 after haircuts have been applied. The maximum amount of adjusted HQLA2B in the stock of HQLA is equal to either: 15/85 of the sum of the adjusted amounts of HQLA1 and HQLA2A after haircuts have been applied; or, in cases where the 40 per cent cap is binding, up to one quarter of the adjusted amounts of HQLA1 after haircuts are applied.

    8.             The adjusted amount of HQLA1 is the amount of HQLA1 that would result after unwinding short‑term secured funding, secured lending and collateral swap transactions involving the exchange of any HQLA for any HQLA1 that meet, or would meet if held unencumbered, the operational requirements for HQLA set out in paragraphs 22 to 25 of this Attachment. The adjusted amount of HQLA2A is defined as the amount of HQLA2A that would result after unwinding those short‑term secured funding, secured lending and collateral swap transactions involving the exchange of any HQLA for any HQLA2A that meet, or would meet if held unencumbered, the operational requirements for HQLA set out in paragraphs 22 to 25 of this Attachment. The adjusted amount of HQLA2B is the amount of HQLA2B that would result after unwinding short-term secured funding, secured lending and collateral swap transactions involving the exchange of any HQLA for HQLA2B that meet, or would meet if held unencumbered, the operational requirements for HQLA set out in paragraphs 22 to 25 of this Attachment. In this context, short‑term transactions are transactions with a maturity date up to and including 30 calendar days.

    HQLA1

    9.             HQLA1 may comprise an unlimited share of the stock of eligible HQLA. HQLA1 are included at market value and are not subject to a haircut under the LCR. These assets are limited to:

       (a)          notes and coin;

       (b)          central bank balances, to the extent that these balances may be drawn down in times of stress;

       (c) marketable securities representing claims on or claims guaranteed by sovereigns, central banks, public sector entities (PSEs), the Bank for