Identifying and Treating Level 2B Assets

Asset-backed security meeting the following criteria:

Has a rating of at least credit quality step 1 or risk weight up to 20%.
Are Senior bonds.
The underlying asset is one of the following types:
- First, lien residential loan having either maximum Loan-To-Value ratio (LTV) of 80% or maximum Loan-To-Income ratio (LTI) of 60%.
- Fully Guaranteed Residential Loans.
- Commercial Loans or Leases or Credit Facilities.
- Auto Loans or Leases.
- Personal Loans or Credit Facilities.
- Are not self-issued.
Asset-backed securities fulfilling above criteria are assigned haircuts as follows:
25% on first-lien residential loans, fully guaranteed residential loans, and auto loans and leases.
35% on commercial loans, leases, credit facilities, or personal loans.

Corporate debt securities which satisfy the following conditions:

Are assigned a minimum rating of credit quality step 3 or risk weight >= 20% and <=100%.
The issue size is >= EUR 250 million.
The time to maturity when the security was issued was <=10 years.

The application assigns and applies a 50% haircut to all corporate debt securities classified as Level 2B.

Shares which satisfy the following conditions:

Are a component of a major stock index.
Issuer type is not a financial institution or its affiliated entities.
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 which is specified by the bank.
Are denominated in the domestic currency of the legal entity’s home jurisdiction. If denominated in a foreign currency, they are included in the stock of HQLA as Level 2B assets only to the extent of the bank’s net stressed cash outflows in that currency arising from bank’s operations in that foreign jurisdiction.

Restricted-use committed liquidity facility provided by the following:

European Central Bank.
Central Bank of a Member State.
Central Bank of a third country.
The application assigns and applies a 0% haircut to all restricted-use committed liquidity facilities classified as Level 2B.

Exposures in the form of extremely high quality covered bonds meeting the following criteria:

Issue size of at least EUR 250 million.
Institution periodically receives information about the pool, geographical distribution, maturity structure, loan percentage more than 90 days past due.
The underlying asset pool is more than 10% of the outstanding amount of the covered bond.
National law to protect bondholders supervises issuer and the covered bonds. The laws of third countries are at least equal to respective union laws.
Backed exclusively by a pool of assets having the following asset types fulfilling accompanying criteria:
- A debt security issued or guaranteed by member state’s central government or central bank or ECB or public sector entity or regional government or local authority.
- Residential loan having maximum Loan-To-Value ratio (LTV) of 80% and risk weight up to 35%.
- The residential loan fully guaranteed by eligible credit protection provider having maximum Loan-To-Income ratio (LTI) of 33%. The application assigns and applies a 30% haircut to all covered bonds classified as Level 2B.

Sight deposits of the credit institution, which belongs to an institutional protection scheme or a cooperative network, maintained with the central institution of the network, meeting one of the following criteria:

The central credit institution is legally required to invest the deposit amount in liquid assets of a specified level and has invested the deposit amount in Level 2B liquid assets. In this case, the amount included in the stock of Level 2B assets is that portion of the deposit which is invested in Level 2B assets.
The central credit institution has no obligation to invest the deposit amount in liquid assets.

Liquidity Facility provided by the central institution of an institutional network of cooperative banks or institutional protection schemes. Considered as Level 2B up to the portion of funding not collateralized by any specific liquid asset.

The application assigns and applies a 25% haircut such liquid facilities classified as Level 2B.

A non-interest bearing asset which satisfies the following conditions:

Issuer type or guarantor type is one of the following:
- Central Bank
- Central Government
- Regional Government
- Local Authority
- Public Sector Entity
The party, that is issuer or guarantor, belongs to a third country.
The exposure is assigned a minimum rating of credit quality step 5 or risk weight of <=100%.
Is not an obligation of a financial institution or any of its affiliated entities.

The application assigns and applies a 50% haircut to all non-interest bearing assets classified as Level 2B.

Asset-backed security meeting the following criteria:

Has a rating of at least credit quality step 1 or risk weight up to 20%.
Is Senior bond.
Underlying asset pool is First lien residential loan having maximum Loan-To-Value ratio (LTV) of > 80% and maximum Loan-To-Income ratio (LTI) of > 45%.
Are not self-issued.
Asset-backed security issue date greater than or equal to 1-Oct-2015 meets the following criteria
- Underlying of Asset Based Security is not subject to Loan-to-Income Ratio.
- Underlying Loan is issue date less than 1-Oct-2015.
- Such Asset-backed security are included in the stock of HQLA only till 1-October-2025.

Investments in Collective Investment Units (CIUs) which satisfy the following criteria:

The following information relating to the CIU is published:
- The categories of assets in which the CIU is authorized to invest.
- If investment limits apply, the relative limits and the methodologies to calculate them.
- The business of the CIU on an annual basis.
The underlying assets of the CIU are liquid assets which are classified as Level 2B assets. This is classified by the application.
Should not be self-issued.
The issuer is subject to special supervision and it ensures sufficient cooperation with the competent authority.

Note:

The maximum value of the investment in CIUs by a particular entity included in the stock of HQLA is EUR 500 million across all CIUs held by the entity.

CIUs classified as Level 2B assets are assigned haircuts as follows:

30% on Level 2B securitizations backed by residential and auto loans.
35% on Level 2B covered bonds.
40% on Level 2B securitizations backed by commercial and personal loans.
55% on Level 2B corporate bonds, shares and non-interest Bearing assets.