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

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]