1. Liquidity Risk Regulatory Calculations for Monetary Authority of Singapore User Guide
  2. Minimum Liquid Assets Calculation
  3. Process Flow
  4. Identification of Liquid Assets
  5. Identification and Treatment of Tier 2 Assets

6.2.2.2 Identification and Treatment of Tier 2 Assets

Tier 2 Assets are assets which qualify to be fully included as part of the stock of liquid assets for MLA computation. They include:

  1. Debt Security or Sukuk issued by statutory board of Singapore. If the legal entity’s holding is less than or equal to 20% of issue size, then 90% of market value is included, whereas if holding more than 20%, then 50% of market value is included in the stock of liquid assets.
  2. Debt Security or Sukuk rated AAA- issued by Bank for International Settlements and PSE. If legal entity’s holding is less than or equal to 20% of issue size, then 100% of market value is included, whereas if holding is more than 20%, then 50% of market value is included in the stock of liquid assets.
  3. Debt Security or Sukuk rated AAA- issued by corporates and guaranteed by non-Singapore sovereigns. If the legal entity’s holding is less than or equal to 20% of issue size then 100% of market value is included, whereas if the holding is more than 20% then 50% of market value is included in the stock of liquid assets.
  4. Debt Security or Sukuk rated AAA to AA-, or short term rated as A-1, issued by sovereigns, statutory board, Bank for International Settlements, International Monetary Fund, European Central Bank, European Community, and Multilateral Development Banks. If the legal entity’s holding is less than or equal to 20% of issue size then 90% of market value is included, whereas if the holding is more than 20% then 50% of market value is included in the stock of liquid assets.
  5. Debt Security or Sukuk rated AAA to AA-, or short term rated as A-1, issued by corporates and guaranteed by non-Singapore sovereigns. If the legal entity’s holding is less than or equal to 20% of issue size then 90% of market value is included, whereas if the holding more than 20% then 50% of market value is included in the stock of liquid assets.
  6. Debt Security or Sukuk rated A- to A+, or short term rated as A-2, issued by sovereigns, statutory boards, Bank for International Settlements, International Monetary Fund, European Central Bank, European Community, and Multilateral Development Banks. If the legal entity’s holding is less than or equal to 20% of issue size then 80% of market value is included, whereas if the holding is more than 20% then 50% of market value is included in the stock of liquid assets.
  7. Debt Securities or Sukuk rated A- to A+, or short term rated as A-2 issued by corporates and guaranteed by non-Singapore sovereigns. If the legal entity’s holding is less than or equal to 20% of the issue size then 80% of the market value is included, whereas if the holding is more than 20% then 50% of market value is included in the stock of liquid assets.
  8. Debt Securities or Sukuk rated BBB to BBB+, or short term rated as A-3 issued by sovereigns, statutory boards, Bank for International Settlements, International Monetary Fund, European Central Banks, European Community, and Multilateral Development Banks. If the legal entity’s holding is less than or equal to 20% of the issue size then 70% of market value is included, whereas if the holding more than 20% then 50% of market value is included in the stock of liquid assets.
  9. Debt Securities or Sukuk rated BBB to BBB+, or short term rated as A-3, issued by corporates and guaranteed by non-Singapore sovereigns. If the legal entity’s holding is less than or equal to 20% of the issue size then 70% of market value is included, whereas if the holding is more than 20% then 50% of market value is included in the stock of liquid assets.
  10. Debt Securities rated AAA to AA-, or short term rated as A-1 issued by banks. If the legal entity’s holding is less than or equal to 20% of the issue size then 90% of market value is included, whereas if the holding is more than 20% then 50% of market value is included in the stock of liquid assets.
  11. Debt Securities rated A- to A+, or short term rated as A-2, issued by banks. If the legal entity’s holding is less than or equal to 20% of issue size then 80% of market value is included, whereas if holding more than 20% then 50% of market value is included in the stock of liquid assets.
  12. Debt Security rated BBB to BBB+, or short term rated as A-3, issued by banks. If the legal entity’s holding is less than or equal to 20% of the issue size then 70% of market value is included, whereas if the holding is more than 20% then 50% of market value is included in the stock of liquid assets.
  13. Debt Security rated AAA to AA-, or short term rated as A-1 issued by corporates that are not covered earlier. If the legal entity’s holding is less than or equal to 20% of issue size then 90% of the market value is included, whereas if the holding is more than 20% then 50% of the market value is included in the stock of liquid assets.
  14. Debt Security rated A- to A+, or short term rated as A-2 issued by corporates that are not covered earlier. If the legal entity’s holding is less than or equal to 20% of the issue size then 80% of the market value is included, whereas if holding more than 20%, then 50% of the market value is included in the stock of liquid assets.
  15. Debt Security rated BBB to BBB+, or short term rated as A-3 issued by corporates that are not covered earlier. If legal entity’s holding is less than or equal to 20% of the issue size then 70% of the market value is included, whereas if the holding is more than 20% then 50% of the market value is included in the stock of liquid assets.
  16. For Bills Receivable and Bills Purchase and Discounted in Singapore dollars, 100% of the book value is included in the stock of liquid asset.