15.2.2.1.4 Identification and Treatment of Level 2B Non-RMBS Assets

The application identifies the following assets as HQLA Level 2B Non-RMBS assets:

1. Corporate debt securities (including commercial paper) which satisfy the following conditions:
   • Issuer type is not a financial institution or its affiliated entities.
   • Either has
     1. A long-term credit rating by a recognized External Credit Assessment Institution (ECAI) between A+ and BBB- or,
     2. If long-term rating is not available, then a short-term credit rating by a recognized ECAI which is between A+ and BBB- or,
     3. If it does not have assessment by a recognized ECAI, the probability of default as per the internal rating corresponding to a rating which is between A+ and BBB-
   • Price has not decreased or haircut has not increased by more than 20% over a 30-day period during a relevant period of significant liquidity stress which is specified by the bank.
2. Common equities which satisfy the following conditions:
   • Issuer type is not a financial institution or its affiliated entities.
   • Are exchange traded and centrally cleared.
   • Are a constituent of the major stock index in the legal entity’s home jurisdiction or where the liquidity risk is taken, as decided by the supervisor in the jurisdiction where the index is located.
   • Are denominated in the domestic currency of the legal entity’s home jurisdiction or in the currency of the jurisdiction where the liquidity risk is taken.
   • Price has not decreased or haircut has not increased by more than 40% over a 30-day period during a relevant period of significant liquidity stress which is specified by the bank.

   Note:

   The value of eligible securities included in the HQLA is the market value less hedge termination cost, if any.