1. Liquidity Risk Regulatory Calculations for Monetary Authority of Singapore User Guide
  2. Liquidity Coverage Ratio Calculation
  3. Process Flow
  4. Identification of Asset Levels
  5. Identification and Treatment of Level 2B(I) Assets

4.2.1.3 Identification and Treatment of Level 2B(I) Assets

The application identifies the following as HQLA Level 2B(I) Assets:

Debt Securities (including commercial paper) issued by corporates, and Sukuk issued by institutions other than Singapore Sukuk Pte Ltd. satisfying the following conditions:

  • Issuer type is not the bank itself for which the computations are being carried out or any of its affiliated entities.
  • Assigned a rating between A+ to A-.
  • 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.
  • For corporate debt securities, issuer type is not a financial institution or its affiliated entities.