(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 Person 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 A9.2.7 and 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 Person on the first day of the stress period, irrespective of their residual maturity.