1. User Guide
  2. Liquidity Coverage Ratio Calculation
  3. Process Flow
  4. Identification of Asset Levels
  5. Identification and Treatment of Level 2B Non-RMBS I Assets

6.2.1.4 Identification and Treatment of Level 2B Non-RMBS I Assets

Corporate debt securities (including commercial paper) which satisfy the following conditions:

Assets classified as HQLA Level 2B Non-RBMS I are assigned a 20% haircut under the regulatory scenario prescribed by BNM.

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

Corporate debt securities (including commercial paper) which satisfy the following conditions:

  • Denominated in non-Ringgit currencies
  • Issuer type is not a financial institution or its affiliated entities.
  • Issuer type is not the bank itself for which the computations are being carried out or any of its affiliated entities.
  • Either has
    • A long-term credit rating by a recognized External Credit Assessment Institution (ECAI) between A- to A+,
    • Price has not decreased or haircut has not increased by more than 10% over a 30-day period during a relevant period of significant liquidity stress which is specified by the bank.