4.2.1.5 Identification and Treatment of Level 2B(II) Non-RMBS Assets
The application identifies the following assets as HQLA Level 2B (II) Non-RMBS Assets:
- Marketable securities which satisfy the following conditions:
- Issuer type is not a financial institution or its affiliated entities.
- Issuer and guarantor type is a Sovereign or Central Bank.
- Assigned a rating between BBB+ 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.
- Debt securities issued by corporates, and Sukuk issued by
institutions other than Singapore Sukuk Pte Ltd, which
satisfy the following conditions:
- Issuer type is not a financial institution or its affiliated entities (in case of corporate debt securities).
- Assigned a rating between BBB+ 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.
- 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 specified by the bank.
Note:
The value of eligible securities included in the HQLA is the market value less hedge termination cost, if any.