Entire Section

  • Caps on different types of HQLA

    • PIB A9.2.5 PIB A9.2.5

      (1) Assets eligible to be included in the stock of HQLA for the purpose of the LCR calculation are classified under the following two categories:
      (a) Level 1 HQLA, consisting of the highest quality and most liquid assets; and
      (b) Level 2 HQLA, including Level 2A HQLA and Level 2B HQLA, consisting of other high quality liquid assets.
      (2) When calculating the total stock of HQLA, an Authorised Firm must apply the following caps in respect of each category of assets:
      (a) Level 1 HQLA can be included in the total stock of HQLA without any limit (i.e. up to 100% of HQLA);
      (b) Total Level 2 HQLA, including both Level 2A HQLA and Level 2B HQLA, can comprise only up to 40% of the total stock of HQLA; and
      (c) Level 2B HQLA can comprise only up to 15% of the total stock of HQLA within the overall 40% limit on Level 2 HQLA in (b).
      (3) The caps on Level 2 HQLA and Level 2B HQLA must be determined after applying the haircuts required under Rules PIB A9.2.7 and PIB A9.2.8, and after unwinding the amounts of HQLA involved in short-term secured funding, secured lending and collateral swap transactions maturing within 30 calendar days that involve the exchange of HQLA.
      (4) The assets to be included in each category of HQLA must be restricted to assets being held or owned by the Authorised Firm on the first day of the stress period, irrespective of their residual maturity.
      [Added] DFSA RM148/2014 (Made 1st January 2015). [VER23/01-15]

      • PIB A9.2.5 Guidance

        1. The following Guidance is intended to illustrate how PIB Rule A9.2.5 should be applied in practice.
        2. Under PIB Rule A9.2.5(3) the adjusted amounts of HQLA should be calculated as the amount of HQLA that would result after unwinding those short-term secured funding, secured lending and collateral swap transactions that involve the exchange of any HQLA for any other HQLA.
        3. The calculation of the stock of HQLA under PIB Rule A9.2.5 can be expressed as the following formula:

        Stock of HQLA = Level 1 HQLA + Level 2A HQLA + Level 2B HQLA – Adjustment for 15% cap – Adjustment for 40% cap

        Where:
        a. Adjustment for 15% cap = Max (Adjusted Level 2B HQLA – 15/85 x (Adjusted Level 1 HQLA + Level 2A HQLA), Adjusted Level 2B HQLA - 15/60 x (Adjusted Level 1 HQLA, 0)
        b. Adjustment for 40% cap = Max ((Adjusted Level 2A HQLA + Adjusted Level 2B HQLA – Adjustment for 15% cap) - 2/3 x Adjusted Level 1 HQLA, 0)
        [Added] DFSA RM148/2014 (Made 1st January 2015). [VER23/01-15]