4.3.1 Regulation Addressed through Business Rules
The application supports multiple pre-configured rules and scenarios based on MAS specified scenario parameters such as inflow rates, outflow rates, run-offs, haircuts and so on.
Table 3-8 List of pre-configured rules
| Rule Name | Rule Description | Regulatory Requirement Addressed | Regulatory ReferenceMAS Notice 649 Minimum Liquid Assets and Liquidity Coverage Ratio |
|---|---|---|---|
| LRM - MAS - HQLA Level 1 - Cash , Central Bank Reserves and Sukuk | This rule reclassifies cash, central bank reserves and undrawn portion of committed facilities that foreign bank branches have received from its head office, reserves and sukuk issued by Singapore Sukuk Pte Ltd as HQLA Level 1 assets in accordance with the criteria specified by MAS |
The classification of cash, central bank reserves and sukuk issued by Singapore Sukuk Pte Ltd. as HQLA level 1 asset is configured as part of this rule. Additionally, it classifies the undrawn portion of committed facilities that foreign bank branches have received from its head office as HQLA level 1 asset.
|
Paragraph 21 (a) Paragraph 21 (b) Paragraph 21 (c ) |
| LRM - MAS - HQLA Level 1 - Sovereign, Central Bank and MDB Issued Zero Risk Weight Securities | This rule reclassifies marketable zero risk weight securities, issued by sovereigns, central banks, public sector enterprises, regional governments , municipalities , state agencies , state enterprises , Bank for International Settlements , International Monetary Fund , European Central Bank , European Community and Multilateral Development Banks as HQLA Level 1 assets, in accordance with the criteria specified by MAS. | The classification of marketable zero risk weight securities, issued by sovereigns, central banks, public sector enterprises, regional governments, municipalities, state agencies, state enterprises, Bank for International Settlements, International Monetary Fund, European Central Bank, European Community and Multilateral Development Banks as HQLA Level 1 assets is configured as part of this rule. | Paragraph 21 (d) |
| LRM - MAS - HQLA Level 1 - Sovereign, Central Bank and MDB Guaranteed Zero Risk Weight Securities | This rule reclassifies marketable zero risk weight securities, guaranteed by sovereigns, central banks, public sector enterprises, regional governments, municipalities, state agencies, state enterprises, Bank for International Settlements, International Monetary Fund, European Central Bank, European Community and Multilateral Development Banks as HQLA Level 1 assets, in accordance with the criteria specified by MAS. | The classification of marketable zero risk weight securities, guaranteed by sovereigns, central banks, public sector enterprises, regional governments, municipalities, state agencies, state enterprises, Bank for International Settlements, International Monetary Fund, European Central Bank, European Community and Multilateral Development Banks as HQLA Level 1 assets is configured as part of this rule. | Paragraph 21 (d) |
| LRM - MAS - HQLA Level 1 - Sovereign and Central Bank Non-Zero Risk Weight Securities | This rule reclassifies non-zero risk weight securities issued by foreign sovereigns and central banks as HQLA Level 1 assets, in accordance with the criteria specified by MAS. | The classification of marketable securities, issued by non-zero risk weight foreign sovereigns and central banks as HQLA Level 1 assets is configured as part of this rule. |
Paragraph 21 (g) Paragraph 21 (h) |
| LRM - MAS - HQLA Level 2A - Debt Securities | This rule reclassifies 20 percent risk weighted securities issued or guaranteed by sovereigns, central banks, PSEs, regional governments, municipalities, state agencies, state enterprises and MDBs as HQLA Level 2A assets, in accordance with the criteria specified by MAS. | The classification of twenty percent risk weighted marketable securities either issued or guaranteed by foreign sovereigns, central banks, public sector enterprises, regional governments, municipalities, state agencies, state enterprises and Multilateral Development Banks as HQLA Level 2A assets is configured as part of this rule. | Paragraph 21 (e) |
| LRM - MAS - HQLA Level 2A -Corporate Debt Securities, Sukuk | This rule reclassifies debt securities rated >=AA- issued by non-financial corporates, covered bonds and sukuk issued by other than Singapore Sukuk Pte Ltd. as HQLA Level 2A assets | The classification of >=AA- rated debt securities issued by non-financial corporates, covered bonds and sukuk issued by other than Singapore Sukuk Pte Ltd. as HQLA Level 2A assets is configured as part of this rule. | Paragraph 21 (i) |
| LRM - MAS - HQLA Level 2B(I) Asset | This rule reclassifies corporate debt securities rated A+ to A-, issued by non-financial corporates, and sukuk issued by other than Singapore Sukuk Pte Ltd. As HQLA Level 2A assets, in accordance with the criteria specified by MAS. | The classification of A+ to A- rated debt securities issued by non-financial corporates and sukuk issued by other than Singapore Sukuk Pte Ltd. as HQLA Level (II) non-RMBS assets is configured as part of this rule. | Paragraph 21 (j) |
| LRM - MAS - HQLA Level 2B(II) non-RMBS Asset - Corporate Dept Securities | This rule reclassifies debt securities rated BBB+ and BBB-, issued by specialized sovereigns, central banks, non-financial corporates and sukuk issued by other than Singapore Sukuk Pte Ltd. as HQLA Level (II) non-RMBS assets, in accordance with the criteria specified by MAS. | The classification of BBB+ and BBB- rated debt securities issued by sovereigns; central banks; non-financial corporates and sukuk issued by other than Singapore Sukuk Pte Ltd. as HQLA Level (II) non-RMBS assets is configured as part of this rule. Additionally, the classification of BBB+ and BBB- rated debt securities guaranteed by sovereigns and central banks |
Paragraph 21 (f) Paragraph 21 (k) |
| LRM - MAS - HQLA Level 2B(II) non-RMBS Asset - Shares | This rule reclassifies equities issued by non-financial entities as HQLA Level (II) non-RMBS assets as HQLA Level (II) non-RMBS assets, in accordance with the criteria specified by MAS. | The classification of common equities issued by non-financial entities as HQLA Level (II) non-RMBS assets is configured as part of this rule. | Paragraph 21 (m) |
| LRM - MAS - HQLA Level 2B(II) RMBS Asset | This rule reclassifies residential mortgage backed securities of >= AA ,without any restructured underlying , as HQLA level 2B assets in accordance with the criteria specified by MAS. | The classification of >= AA rated residential mortgage backed securities without any restructured underlying as HQLA level 2B(II) RMBS assets is configured as part of this rule. | Paragraph 21 (l) |
| LRM - MAS - Level 1 Stock Adjustment - Deduction | This rule identifies all secured lending and asset exchange transactions involving HQLA that mature within the LCR horizon which are, therefore, required to be unwound and reclassifies them to the appropriate adjustment rule. In case of secured lending transactions, where the collateral received is a non-level 1 HQLA, the type of adjustment to the stock of HQLA due to such an unwind is updated as deduction of the amount paid. In case of asset exchange transactions, where the collateral received is a non-level 1 HQLA and the collateral posted in a level 1 HQLA, the type of adjustment to the stock of HQLA due to such an unwind is updated as deduction of the collateral posted. | The identification of secured funding and asset exchange transactions required to be unwound and the amount to be deducted from the stock of level 1 assets due to such an unwind is configured as part of this rule. | Appendix 6 Paragraph 5 |
| LRM - MAS - Level 1 Stock Adjustment - Addition | This rule identifies all secured funding and asset exchange transactions involving HQLA that mature within the LCR horizon which are, therefore, required to be unwound and reclassifies them to the appropriate adjustment rule. In case of secured funding transactions, where the collateral posted is a non-level 1 HQLA, the type of adjustment to the stock of HQLA due to such an unwind is updated as addition of the amount received. In case of asset exchange transactions, where the collateral posted is a non-level 1 HQLA and the collateral received in a level 1 HQLA the type of adjustment to the stock of HQLA due to such an unwind is updated as addition of the collateral received. | The identification of secured lending and asset exchange transactions required to be unwound and the amount to be added to the stock of level 1 assets due to such an unwind is configured as part of this rule. | Appendix 6 Paragraph 6 |
| LRM - MAS - Level 2A Stock Adjustment - Deduction | This rule identifies all secured funding and asset exchange transactions involving HQLA that mature within the LCR horizon which are, therefore, required to be unwound and reclassifies them to the appropriate adjustment rule. In case of secured funding transactions, where the collateral posted is a level 2A HQLA, the type of adjustment to the stock of HQLA due to such an unwind is updated as deduction of the collateral posted. In case of asset exchange transactions, where the collateral received is an HQLA and the collateral posted is a level 2A asset, the type of adjustment to the stock of HQLA due to such an unwind is updated as deduction of the collateral posted. | The identification of secured lending and asset exchange transactions required to be unwound and the amount to be deducted from the stock of level 2A assets due to such an unwind is configured as part of this rule. | Appendix 6 Paragraph 7 |
| LRM - MAS - Level 2A Stock Adjustment - Addition | This rule identifies all secured lending and asset exchange transactions involving HQLA that mature within the LCR horizon which are, therefore, required to be unwound and reclassifies them to the appropriate adjustment rule. In case of secured lending transactions, where the collateral received is a level 2A HQLA, the type of adjustment to the stock of HQLA due to such an unwind is updated as addition of the collateral received. In case of asset exchange transactions, where the collateral posted is an HQLA and the collateral received is a level 2A asset, the type of adjustment to the stock of HQLA due to such an unwind is updated as addition of the collateral received. | The identification of secured funding and asset exchange transactions required to be unwound and the amount to be added to the stock of level 2A assets due to such an unwind is configured as part of this rule. | Appendix 6 Paragraph 8 |
| LRM - MAS - Level 2B(I) Stock Adjustment - Deduction | This rule identifies all secured funding and asset exchange transactions involving HQLA that mature within the LCR horizon which are, therefore, required to be unwound and reclassifies them to the appropriate adjustment rule. In case of secured funding transactions, where the collateral posted is a level 2B(I) HQLA, the type of adjustment to the stock of HQLA due to such an unwind is updated as deduction of the collateral posted. In case of asset exchange transactions, where the collateral received is an HQLA and the collateral posted is a level 2B(I) asset, the type of adjustment to the stock of HQLA due to such an unwind is updated as deduction of the collateral posted. | The identification of secured lending and asset exchange transactions required to be unwound and the amount to be deducted from the stock of Level 2B(I) assets due to such an unwind is configured as part of this rule. | Appendix 6 Paragraph 9 |
| LRM - MAS - Level 2B(I) Stock Adjustment - Addition | This rule identifies all secured lending and asset exchange transactions involving HQLA that mature within the LCR horizon which are, therefore, required to be unwound and reclassifies them to the appropriate adjustment rule. In case of secured lending transactions, where the collateral received is a level 2B HQLA, the type of adjustment to the stock of HQLA due to such an unwind is updated as addition of the collateral received. In case of asset exchange transactions, where the collateral posted is an HQLA and the collateral received is a level 2B asset, the type of adjustment to the stock of HQLA due to such an unwind is updated as addition of the collateral received. | The identification of secured funding and asset exchange transactions required to be unwound and the amount to be added to the stock of level 2B(I) assets due to such an unwind is configured as part of this rule. | Appendix 6 Paragraph 10 |
| LRM - MAS - Level 2B(II) RMBS Stock Adjustment - Deduction | This rule identifies all secured lending and asset exchange transactions involving HQLA that mature within the LCR horizon which are, therefore, required to be unwound and reclassifies them to the appropriate adjustment rule. In case of secured lending transactions, where the collateral received is a level 2B(II) RMBS HQLA, the type of adjustment to the stock of HQLA due to such an unwind is updated as deduction of the collateral received. In case of asset exchange transactions, where the collateral posted is an HQLA and the collateral received is a level 2B(II) RMBS asset, the type of adjustment to the stock of HQLA due to such an unwind is updated as deduction of the collateral received. | The identification of secured lending and asset exchange transactions required to be unwound and the amount to be deducted from the stock of Level 2B(II) RMBS assets due to such an unwind is configured as part of this rule. | Appendix 6 Paragraph 11 |
| LRM - MAS - Level 2B(II) RMBS Stock Adjustment - Addition | This rule identifies all secured funding and asset exchange transactions involving HQLA that mature within the LCR horizon which are, therefore, required to be unwound and reclassifies them to the appropriate adjustment rule. In case of secured funding transactions, where the collateral posted is a level 2B(II) RMBS HQLA, the type of adjustment to the stock of HQLA due to such an unwind is updated as addition of the collateral posted. In case of asset exchange transactions, where the collateral received is an HQLA and the collateral posted is a level 2B(II) RMBS asset, the type of adjustment to the stock of HQLA due to such an unwind is updated as addition of the collateral posted. | The identification of secured funding and asset exchange transactions required to be unwound and the amount to be added to the stock of Level 2B(II) RMBS assets due to such an unwind is configured as part of this rule. | Appendix 6 Paragraph 12 |
| LRM - MAS - Level 2B(II) Non-RMBS Stock Adjustment - Deduction | This rule identifies all secured lending and asset exchange transactions involving HQLA that mature within the LCR horizon which are, therefore, required to be unwound and reclassifies them to the appropriate adjustment rule. In case of secured lending transactions, where the collateral received is a level 2B(II) Non-RMBS HQLA, the type of adjustment to the stock of HQLA due to such an unwind is updated as deduction of the collateral received. In case of asset exchange transactions, where the collateral posted is an HQLA and the collateral received is a level 2B(II) Non-RMBS asset, the type of adjustment to the stock of HQLA due to such an unwind is updated as deduction of the collateral received. | The identification of secured lending and asset exchange transactions required to be unwound and the amount to be deducted from the stock of Level 2B(II) Non-RMBS assets due to such an unwind is configured as part of this rule. | Appendix 6 Paragraph 13 |
| LRM - MAS - Level 2B(II) Non-RMBS Stock Adjustment - Addition | This rule identifies all secured funding and asset exchange transactions involving HQLA that mature within the LCR horizon which are, therefore, required to be unwound and reclassifies them to the appropriate adjustment rule. In case of secured funding transactions, where the collateral posted is a level 2B(II) Non-RMBS HQLA, the type of adjustment to the stock of HQLA due to such an unwind is updated as addition of the collateral posted. In case of asset exchange transactions, where the collateral received is an HQLA and the collateral posted is a level 2B(II) Non-RMBS asset, the type of adjustment to the stock of HQLA due to such an unwind is updated as addition of the collateral posted. | The identification of secured funding and asset exchange transactions required to be unwound and the amount to be added to the stock of Level 2B(II) Non-RMBS assets due to such an unwind is configured as part of this rule. | Appendix 6 Paragraph 14 |
| LRM - MAS - Bank Own Assets - Meets HQLA Operational Requirements Flag Update | This rule reclassifies corporate debt securities rated A+ to A-, issued by non-financial corporates, and sukuk issued by institutions other than Singapore Sukuk Pte Ltd. As HQLA Level 2A assets, in accordance with the criteria specified by MAS. | The identification of whether an asset owned by the bank meets the operational requirements set forth by MAS for its inclusion in the stock of HQLA is configured as part of this rule. | Paragraph 22 |
| LRM - MAS - Mitigants - Meets HQLA Operational Requirements Flag Update | This rule reclassifies debt securities rated BBB+ and BBB-, issued by specialized sovereigns, central banks, non-financial corporates and sukuk issued by other than Singapore Sukuk Pte Ltd. as HQLA Level (II) non-RMBS assets, in accordance with the criteria specified by MAS. | The identification of whether the collateral received from counterparty meets the operational requirements set forth by MAS is configured as part of this rule. | Paragraph 22 |
| LRM - MAS - Re-hypothecated Mitigants - Meets HQLA Operational Requirements Flag Update | This rule reclassifies equities issued by non-financial entities as HQLA Level (II) non-RMBS assets as HQLA Level (II) non-RMBS assets, in accordance with the criteria specified by MAS. | The identification of whether a collateral received from a counterparty, that is further placed as collateral, meets the operational requirements set forth by MAS on unwind is configured as part of this rule. | Paragraph 22 |
| LRM - MAS - Instruments - Eligible High Quality Liquid Assets Flag Update | This rule reclassifies residential mortgage backed securities of >= AA, without any restructured underlying, as HQLA level 2B assets in accordance with the criteria specified by MAS. | The identification of whether a bank's asset classified as an HQLA, meets all the operational criteria and is therefore eligible to be included in the stock of HQLA is configured as part of this rule. | Paragraph 22 |
| LRM - MAS - Mitigants - Eligible High Quality Liquid Assets Flag Update | This rule identifies all secured lending and asset exchange transactions involving HQLA that mature within the LCR horizon which are, therefore, required to be unwound and reclassifies them to the appropriate adjustment rule. In case of secured lending transactions, where the collateral received is a non-level 1 HQLA, the type of adjustment to the stock of HQLA due to such an unwind is updated as deduction of the amount paid. In case of asset exchange transactions, where the collateral received is a non-level 1 HQLA and the collateral posted in a level 1 HQLA, the type of adjustment to the stock of HQLA due to such an unwind is updated as deduction of the collateral posted. | The identification of whether the collateral received from counterparty, classified as an HQLA, meets all the operational criteria and is therefore eligible to be included in the stock of HQLA is configured as part of this rule. | Paragraph 22 |