4.4.4.2 Regulation Addressed through Business Rules
The list of preconfigured rules and the corresponding reference to the regulatory requirement that it addresses are provided in the following table:
Table 3-12 Preconfigured LCR Business Rules
| Sl. No. | Rule Name | Rule Description | Regulatory Requirement Addressed | COMMISSION DELEGATED REGULATION (EU) 2015/61 |
|---|---|---|---|---|
| 1 | LRM - Excess And Contractually Due Collateral And Mitigant And Downgrade Trigger Amount Update | This rule computes and updates the values of contractually due to collateral, excess collateral due, contractually receivable collateral, excess collateral receivable, and downgrade impact amount in the FSI_NETTING_AGREEMENT table. | The computation of collateral value that is contractually required to be posted to the counterparty, the excess collateral that can be recalled by the counterparty and the loss due to a ratings downgrade in case of derivative contracts with associated netting agreements is configured as part of this rule. | Article 30 Paragraph 2 |
| 2 | LRM - EBA - Country liquidity risk indicator for NCOF | This computation rule identifies if a legal entity, holding debt securities issued in a foreign currency, has undertaken liquidity risk in that country. The rule checks if the legal entity has operations in a foreign country, other than those for purely trading purposes, and updates the account liquidity risk flag as Yes if this condition is met. | The identification of whether a legal entity has liquidity risk in a particular foreign jurisdiction is configured as part of this rule. This rule further used for classifying debt securities held by the bank, issued in foreign currencies by sovereigns or central banks assigned a non-zero risk weight by international rating agencies, as Level 1 assets. | Article 10 Paragraph 1 (d), Article 8 Paragraph 2 |
| 3 | LRM - EBA - Mitigant Country Liquidity Risk Indicator For NCOF | This computation rule identifies if a legal entity holding mitigants issued in foreign currency has undertaken liquidity risk in that country. The rule checks if the legal entity has operations in a foreign country, other than those for purely trading purposes, and updates the account liquidity risk flag for such mitigants as Yes if this condition is met. | The identification of whether a legal entity has liquidity risk in a particular foreign jurisdiction is configured as part of this rule. This rule is further used for classifying debt securities, received as mitigants, issued in foreign currencies by sovereigns or central banks assigned a non-zero risk weight by international rating agencies, as Level 1 assets. | Article 10 Paragraph 1 (d), Article 7 Paragraph 2 (b), Article 8 Paragraph 2 |
| 4 | LRM EBA - Instruments - Liquid And Readily Marketable Flag Update |
This rule reclassifies an account which is liquid and readily marketable based on the following attributes: - Is traded in an active secondary market - Is listed on a recognized Stock Exchange - Has a two-way market - Has timely and observably market prices - Has high trading volumes |
The classification of an asset, as liquid and readily marketable, is configured as part of this rule. | Article 7 Paragraphs 5 and 6 |
| 5 | LRM EBA - Mitigants - Liquid And Readily Marketable Flag Update |
This rule reclassifies a mitigant which is liquid and readily marketable based on the following attributes: - Is traded in an active secondary market - Is listed on a recognized stock exchange - Has a two-way market - Has timely and observably market prices - Has high trading volumes |
The classification of an asset, received as a mitigant, as liquid and readily marketable is configured as part of this rule. | Article 7 Paragraphs 2, 5 and 6 |
| 6 | LRM - Classification Of Customers As Retail And Wholesale | This rule identifies a customer as retail or wholesale. The customer is classified as retail if the customer type is retail else all the other customers will be classified as wholesale. | The classification of a small business customer, as eligible for retail treatment or not as per the regulation, is configured as part of this rule. | Article 3 Paragraph 8 |
| 7 | LRM - EBA - Currency Free Convertible Flag Update | This computation rule updates the Currency Free Convertible flag for a default set of currencies. | The identification of currencies that are freely convertible and hence have no transfer restriction is configured as part of this rule. Inflows from non-convertible currencies are limited to outflows from non-convertible currencies whereas inflows from freely convertible currencies are included in the calculations without limitations. | Article 8 Paragraph 2 |
| 8 | EBA_Ins_Unins_Amt_Calc | This DT calculates the insured and uninsured amount at the account-customer level. | The computation of insured and uninsured amount at an account - customer level is configured as part of this data transformation. | Article 27 Paragraph 2 |
| 9 | EBA DA LCR - Retail Established Relationship Assignment | This rule assigns the established relationship flag to retail deposits. | The identification of an established relationship for each retail customer is configured as part of this rule. | Article 24 Paragraph 2 |
| 10 | EBA LCR - Established Operational Relationship Wholesale Non-Financial Institutions | This rule classifies established operational relationship for wholesale non-financial institutions. | The identification of established operational relationship for each non-financial wholesale customer is configured as part of this rule. | Article 27 Paragraph 6 |
| 11 | EBA DA - Retail Deposits Subject to Higher Outflows Risk Factor Assignment | This rule assigns higher outflow category to retail deposits, as Higher Run-off category 1 or Higher Run-off category 2. | The identification of an additional set of criteria for the classification of retail deposit into higher category 1 and higher category 2 retail deposit is configured as part of this rule. | Article 25 Paragraph 2 |
| 12 | FN_OPERATIONAL_BAL | This DT calculates the operational balance amount in reporting currency, based on the historical end of period balances. | The computation of operational balance based on a 5-day rolling average of historical balances is configured as part of this rule. | Article 27 |
| 13 | EBA LCR - Non Operational Amount Computation For Deposits | This rule calculates the non-operational portion of operational deposits. | The computation of the non-operational portion of the EOP balance of the accounts classified as operational deposits is configured as part of this rule. | Article 27 |
| 14 | EBA LCR - Operational Relationship - Operational Insured Balance | This rule calculates the operational insured balance. | The computation of the insured portion of the operational balance of the accounts classified as operational deposits is configured as part of this rule. | Article 27 |
| 15 | EBA LCR - Operational Relationship - Operational Uninsured Balance | This rule calculates the operational uninsured balance. | The computation of the uninsured portion of the operational balance of the accounts classified as operational deposits is configured as part of this rule. | Article 27 |
| 16 | EBA LCR - Operational Relationship - Non-Operational Insured Balance | This rule calculates the non-operational insured balance. | The computation of the insured portion of the non-operational balance of the accounts classified as operational deposits is configured as part of this rule. | Article 27 |
| 17 | EBA LCR - Operational Relationship - Non-Operational Uninsured Balance | This rule calculates the non-operational uninsured balance. | The computation of the uninsured portion of the non-operational balance of the accounts classified as operational deposits is configured as part of this rule. | Article 27 |
| 18 | LRM -EBA Basel III Deposit Stability - Stable Amount Calculation | This rule calculates the stable amount as per EBA DA guidelines. | The computation of the stable portion of a deposit is configured as part of this rule. | Article 24 Paragraphs 1 to 3, Article 25 Paragraphs 2 (d) |
| 19 | LRM -EBA Basel III Deposit Stability - Less Stable Amount Calculation | This rule calculates the less stable amount as per EBA DA guidelines. | The computation of the less stable portion of a deposit is configured as part of this rule. | Article 25 Paragraphs 1 and 2, Article 25 Paragraph 2 (d) |
| 20 | LRM - High Stability Insured Indicator Assignment | This rule classifies an account as highly stable if it meets additional insurance criteria and updates the highly stable amount for such accounts in the FSI_LRM_INSTRUMENT table. This rule also updates the stable amount for accounts classified as highly stable as 0, to avoid double counting of a stable amount. | The computation of the highly stable portion of a deposit is configured as part of this rule. | Article 24 Paragraphs 1 to 6, Article 25 Paragraph 2 (d) |
| 21 | EBA LCR - High Run-off Category Amount Calculation | This computation rule calculates the high Run-off category 1 and category 2 amounts as per EBA DA guidelines. | The computation of the portions of a deposit categorized as high Run-off category 1 and high Run-off category 2 is configured as part of this rule. | Article 25 Paragraphs 3 (a), Article 25 Paragraph 2 (d) |
| 22 | EBA LCR - Reclassification - Level 1 - Central Bank Reserves | This rule reclassifies central bank reserves, to the extent that the central bank policies allow them to be drawn down in times of stress, as HQLA Level 1 asset per the criteria specified by EBA. | The classification of central bank reserves as HQLA Level 1 assets is configured as part of this rule. | Article 7 Paragraphs 3 to 7, Article 10 Paragraph 1 (b) (iii) |
| 23 | EBA LCR - Reclassification - Level 1 - Cash, Restricted Cash and Bank Notes | This rule reclassifies cash, banknotes, and restricted cash as HQLA Level 1 asset per the criteria specified by EBA. | The classification of cash, including restricted cash and banknotes, as HQLA Level 1 asset is configured as part of this rule. | Article 7 Paragraphs 3 to 7, Article 10 Paragraph 1 (a) |
| 24 | EBA LCR - Reclassification - Level 1 - Market Asset Issuer | This rule reclassifies securities, issued by the central bank, sovereigns and central government as HQLA Level 1 assets, per the criteria specified by EBA. | The classification of marketable securities, issued by sovereigns, central banks, central governments, and local authorities domiciled in EEA, as HQLA Level 1 assets is configured as part of this rule. Additionally, the classification of marketable securities, issued by central banks that are zero risks weighted and are not domiciled in EEA and the European Central Bank, as HQLA Level 1 assets is configured as part of this rule. | Article 7 Paragraphs 3 to 7, Article 10 Paragraph 1 (b) (i), (ii), (c) |
| 25 | EBA LCR - Reclassification - Level 1 - Market Asset Guarantor | This rule reclassifies securities guaranteed by central banks, sovereigns, and central governments as HQLA Level 1 asset, per the criteria specified by EBA. | The classification of marketable securities, guaranteed by sovereigns, central banks, central governments or local authorities domiciled in EEA or the European Central Bank, as HQLA Level 1 assets is configured as part of this rule. Additionally, the classification of zero risk-weighted marketable securities, guaranteed by central banks that are domiciled in EEA and the European Central Bank, as HQLA Level 1 assets is configured as part of this rule. | Article 7 Paragraphs 3 to 7, Article 10 Paragraph 1 (b) (i), (ii), (c) |
| 26 | EBA LCR - Reclassification - Level 1 - Assets Issued By Central And Reg Govt, Local Auth And PSE | This rule reclassifies marketable securities, issued by credit quality step 1 risk-rated central banks, regional governments, local authorities, PSE securities, zero risk weight multilateral development banks, and international organizations as HQLA Level 1 asset, per the criteria specified by EBA. | The classification of marketable securities, issued by multilateral development banks and international organizations that are zero risk-weighted, as HQLA Level 1 assets is configured as part of this rule. This rule also covers the classification of marketable securities, issued by state governments, regional governments and zero risks weighted PSEs, domiciled in EEA, as HQLA Level 1 assets. Additionally, the classification of marketable securities, issued by sovereigns, central governments, state governments, regional governments, local authorities that are zero risks weighted and are not domiciled in EEA, as HQLA Level 1 assets is configured. | Article 7 Paragraphs 3 to 7, Article 10 Paragraph 1 (c) (ii) to (v), (g) |
| 27 | EBA LCR - Reclassification - Level 1 - Assets Guaranteed By Central and Reg Govt, Local Auth, PSE | This rule reclassifies marketable securities, guaranteed by credit quality step 1 risk-rated central banks, regional governments, local authorities, PSE securities, and zero risk weight multilateral development banks and international organizations as HQLA Level 1 asset, per the criteria specified by EBA. | The classification of marketable securities, guaranteed by multilateral development banks and international organizations that are zero risk-weighted, as HQLA Level 1 assets are configured as part of this rule. This rule also covers the classification of marketable securities, guaranteed by state governments, regional governments, and zero risk-weighted PSEs, domiciled in EEA, as HQLA Level 1 assets. Additionally, the classification of marketable securities, guaranteed by sovereigns, central governments, state governments, regional governments, local authorities that are zero risk-weighted and are not domiciled in EEA, as HQLA Level 1 assets is configured. | Article 7 Paragraphs 3 to 7, Article 10 Paragraph 1 (c) (ii) to (v), (g) |
| 28 | EBA LCR - Reclassification - Level 1 - Assets Issued By Credit Inst And Guaranteed By Central Govt | This rule reclassifies marketable securities, issued by credit quality step 1 risk-rated, or zero risk weight credit institutions and guaranteed by central governments as HQLA Level 1 assets, per the criteria specified by EBA. | The classification of securities, issued by zero risk-weighted credit institutions and guaranteed by sovereigns, central governments, regional governments or local authorities, domiciled in EEA, as HQLA Level 1 assets is configured as part of this rule. | Article 35 |
| 29 | EBA LCR - Reclassification - Level 1 -Non-zero RW Assets Issued By Central,Reg Govt, Local Auth PSE | This rule reclassifies securities, issued by central banks, regional governments, local authorities and PSEs that have a risk rating other than credit quality step 1 or non-zero risk weight, as HQLA Level 1 assets, per the criteria specified by EBA. | The classification of marketable securities, issued by sovereigns, central governments and central banks that are non-zero risk weighted and are not domiciled in EEA, as HQLA Level 1 assets is configured as part of this rule. | Article 7 Paragraphs 3 to 7, Article 10 Paragraph 1 (d) |
| 30 | EBA LCR - Reclassification - Level 1-Non-zero RW Assets Guar By Central and Reg.Govt,Local Auth, PSE | This rule reclassifies securities, guaranteed by central banks, regional governments, local authorities, and PSEs that have a risk rating other than credit quality step 1 or non-zero risk weight, as HQLA Level 1 assets, per the criteria specified by EBA. | The classification of marketable securities, guaranteed by sovereigns, central governments and central banks that are non-zero risk-weighted and not domiciled in EEA, as HQLA Level 1 assets is configured as part of this rule. | Article 7 Paragraphs 3 to 7, Article 10 Paragraph 1 (d) |
| 31 | EBA LCR - Reclassification - Level 1 - Deposits Placed Under Institutional Protection Scheme | This rule reclassifies deposits placed at central institutions of networks under the obligation to invest them in Level 1 assets, as HQLA Level 1 asset per the criteria specified by EBA. | The classification of deposits, placed with central institutions of a cooperative network or an institutional protection scheme, that are invested in Level 1 assets by the central institution, as HQLA Level 1 assets is configured as part of this rule. | Article 16 Paragraph 1 (a) |
| 32 | EBA LCR - Reclassification - Level 1 - Government Backed Promotional Lending Credit Institution | This rule reclassifies marketable securities, issued by EEA domiciled government-backed credit institutions or promotional lenders, as HQLA Level 1 assets, per the criteria specified by EBA. | The classification of securities, issued by a promotional lender or government incorporated credit institution domiciled in EEA, as HQLA Level 1 assets is configured as part of this rule. | Article 7 Paragraphs 3 to 7, Article 10 Paragraph 1 (e) (i) |
| 33 | EBA LCR - Reclassification - Level 1 - Covered Bonds | This rule reclassifies high quality covered bonds that are credit quality step 1 risk-rated or zero risks weighted, as HQLA Level 1 assets, per the criteria specified by EBA. | The classification of covered bonds having issue size >= 500 million Euro and over-collateralization ratio >=2%, as HQLA Level 1 assets, is configured as part of this rule. | Article 7 Paragraphs 3 to 7, Article 10 Paragraph 1 (f) |
| 34 | EBA LCR - Reclassification - Level 1 - Senior Bonds Issued By Impaired Asset Management Agencies | This rule reclassifies bonds, issued by credit quality step 1 risk-rated or zero risk-weighted asset restructuring companies, as HQLA Level 1 asset per the criteria specified by EBA. | The classification of senior bonds, issued by a credit quality step 1 risk-rated or zero risks weighted government-backed impaired assets management company domiciled in EEA, as HQLA Level 1 assets is configured as part of this rule. | Article 36 |
| 35 | EBA LCR - Reclassification - Level 2A - Assets Issued By Regional Govt, Local Authorities And PSE | This rule reclassifies marketable securities assigned a 20% risk weight, issued by EEA domiciled central governments, regional governments, local authorities, and PSEs, as HQLA Level 2A assets per the criteria specified by EBA. | The classification of marketable securities assigned a risk weight of 20% or lower, issued by regional governments, state governments, local authorities, and PSEs domiciled in EEA, as HQLA Level 2A assets are configured as part of this rule. | Article 7 Paragraphs 3 to 7, Article 11 Paragraph 1 (a) |
| 36 | EBA LCR - Reclassification - Level 2A - Assets Guaranteed By Regional Govt, Local Authorities, PSE | This rule reclassifies marketable securities assigned a 20% risk weight, guaranteed by EEA domiciled central governments, regional governments, local authorities, and PSEs, as HQLA Level 2A assets per the criteria specified by EBA. | The classification of marketable securities assigned a risk weight of 20% or lower, guaranteed by regional governments, state governments, local authorities, and PSEs domiciled in EEA, as HQLA Level 2A assets are configured as part of this rule. | Article 7 Paragraphs 3 to 7, Article 11 Paragraph 1 (a) |
| 37 | EBA LCR - Reclassification - Level 2A - Assets Issued By Local Govt Inst in a Third Country | This rule reclassifies marketable securities assigned a 20% risk weight, issued by third-country domiciled central governments, regional governments, local authorities, and PSEs, as HQLA Level 2A assets per the criteria specified by EBA. | The classification of marketable securities assigned a risk weight of 20% or lower, issued by regional governments, state governments, local authorities, and PSEs domiciled in third countries, as HQLA Level 2A assets are configured as part of this rule. | Article 7 Paragraphs 3 to 7, Article 11 Paragraph 1 (b) |
| 38 | EBA LCR - Reclassification - Level 2A - Assets Guaranteed By Local Govt Inst in a Third Country | This rule reclassifies marketable securities assigned a 20% risk weight, guaranteed by third-country domiciled central governments, regional governments, local authorities, and PSEs, as HQLA Level 2A assets per the criteria specified by EBA. | The classification of marketable securities assigned a risk weight of 20% or lower, guaranteed by regional governments, state governments, local authorities, and PSEs domiciled in third countries, as HQLA Level 2A assets are configured as part of this rule. | Article 7 Paragraph 3 to 7, Article 11 Paragraph 1 (b) |
| 39 | EBA LCR - Reclassification - Level 2A - EEA Covered Bonds | This rule reclassifies covered bonds issued by government institutions domiciled in EEA, that are credit quality step 2 risk-rated, or having a minimum risk weight of 20%, as HQLA Level 2A assets per the criteria specified by EBA. | The classification of covered bonds, issued by government institutions domiciled in EEA, which are at least credit quality step 2 risk-rated for issue size > 500 million Euro with an over-collateralization ratio >= 7%, or credit quality step 1 risk-rated for issue size >= 250 million Euro with an over-collateralization ratio >= 2%, as HQLA Level 2A assets, is configured as part of this rule. | Article 7 Paragraph 3 to 7, Article 11 Paragraph 1 (e) |
| 40 | EBA LCR - Reclassification - Level 2A - Third Country Covered Bonds | This rule reclassifies covered bonds issued by third-country domiciled local government institutions, that are credit quality step 1 risk-rated or having a minimum risk weight of 10%, and whose underlying exposures meet at least one of the criteria amongst B1, B2, C, E, and F, as HQLA Level 2A assets per the criteria specified by EBA. The classification of underlying assets based on the criteria specified by EBA is handled as part of the EBA DA - LCR Covered Bond Eligibility Criteria process. | The classification of covered bonds, which are credit quality step 1 rated, issued by third-country domiciled local government institutions and whose underlying exposures meet at least any one of the criteria amongst B1, B2, C, E, and F, as HQLA Level 2A assets are configured as part of this rule. | Article 7 Paragraph 3 to 7, Article 11 Paragraph 1 (d) |
| 41 | EBA LCR - Reclassification - Level 2A - Debt Security Issued By Corporate | This rule reclassifies credit quality step 1 rated marketable securities issued by corporates as HQLA Level 2A assets per the criteria specified by EBA. | The classification of debt securities, which are rated at least credit quality step 1 and issued by corporates, as HQLA Level 2A assets are configured as part of this rule. | Article 7 Paragraph 3 to 7, Article 11 Paragraph 1 (e) |
| 42 | EBA LCR - Reclassification - Level 2A – Deposits Placed Under Institutional Protection Scheme | This rule reclassifies deposits placed at central institutions of networks under the obligation to invest them in Level 2A assets, as HQLA Level 2A assets per the criteria specified by EBA. | The classification of deposits, placed with central institutions of a cooperative network or an institutional protection scheme, that are invested in Level 2A assets by the central institution, as HQLA Level 2A assets are configured as part of this rule. | Article 16 Paragraph 1 (a) |
| 43 | EBA LCR - Reclassification - Level 2B - Debt Securities Issued By Corporate | This rule reclassifies securities issued by corporates as HQLA Level 2B assets, per the criteria specified by EBA. | The classification of debt securities issued by corporates, which are at least credit quality step 3 rated or equivalent, as HQLA Level 2B assets are configured as part of this rule. | Article 7 Paragraph 3 to 7, Article 12 Paragraph 1 (b) |
| 44 | EBA LCR - Reclassification - Level 2B - Common Equity Shares | This rule reclassifies marketable common equities as HQLA Level 2B assets, per the criteria specified by EBA. | The classification of shares that are components of a major equity index, as HQLA Level 2B assets is configured as part of this rule. | Article 7 Paragraph 3 to 7, Article 12 Paragraph 1 (c) |
| 45 | EBA LCR - Reclassification - Level 2B - Restricted Use Committed Liquid Facility | This rule reclassifies the central bank-issued a line of credit as HQLA Level 2B assets, per the criteria specified by EBA. | The classification of restricted use liquidity facility as HQLA Level 2B assets is configured as part of this rule. | Article 7 Paragraph 3 to 7, Article 12 Paragraph 1 (d), Article 14 |
| 46 | EBA LCR - Reclassification - Level 2B - Covered Bonds | This rule reclassifies covered bonds, which do not meet the Level 1 and Level 2A asset criteria and whose underlying exposures exclusively meet criteria - A, C, and D, as HQLA Level 2B assets per the criteria specified by EBA. The classification of underlying assets based on the criteria specified by EBA is handled as part of the process - EBA DA - LCR Covered Bond Eligibility Criteria. | The classification of high quality covered bonds having issue size >= 250 million Euro and over-collateralization ratio >=10%, whose underlying exposures meet either criterion A or criteria C or criteria D, as HQLA Level 2B assets are configured as part of this rule. | Article 7 Paragraph 3 to 7, Article 12 Paragraph 1 (e) |
| 47 | EBA LCR - Reclassification - Level 2B - Non Interest Bearing Assets | This rule reclassifies the line of credit received from a central institution, which can be used as liquid facility as HQLA Level 2B assets, per the criteria specified by EBA. | The classification of the liquidity facility, provided by the central institution of an institutional network of cooperative banks or institutional protection scheme, as HQLA Level 2B asset is configured as part of this rule. | Article 16 Paragraph 2 |
| 48 | EBA LCR - Reclassification - Level 2B - Securitization | This rule reclassifies asset-backed securities as HQLA Level 2B securitizations, per the criteria specified by EBA. | The classification of asset-backed securities, which are rated at least credit quality step 1, and having an underlying asset pool of residential loans, auto loans and leases, personal loans, commercial loans, or leases and credit facilities, as HQLA Level 2B assets, is configured as part of this rule. | Article 7 Paragraph 3 to 7, Article 12 Paragraph 1 (a), Article 13 |
| 49 | EBA LCR - Reclassification - Level 2B - Deposits Placed Under Institutional Protection Scheme | This rule reclassifies deposits placed at central institutions as obligated investments, as HQLA Level 2B assets per the criteria specified by EBA. | The classification of deposits, placed with central institution of a cooperative network or institutional protection scheme, which are either invested in Level 2B assets or where the central institution has no obligation to invest in the liquid asset of a specified asset level, as HQLA Level 2B assets are configured as part of this rule. | Article 16 Paragraph 1 |
| 50 | EBA LCR - Reclassification - Level 2B - Sukuk Issued | This rule reclassifies Sukuk, issued by central banks, regional governments, state governments, local authorities, and PSEs, as HQLA Level 2B assets, per the criteria specified by EBA. | The classification of non-interest bearing assets, which are at least credit quality step 5 rated and issued by central banks, central governments, regional governments, state governments, local authorities, and PSEs, not domiciled in EEA, as HQLA Level 2B assets are configured as part of this rule. | Article 7 Paragraph 3 to 7, Article 12 Paragraph 1 (f) |
| 51 | EBA LCR - Reclassification - Level 2B - Sukuk Guaranteed | This rule reclassifies Sukuk, guaranteed by central banks, regional governments, state governments, local authorities, and PSEs as HQLA Level 2B assets, per the criteria specified by EBA. | The classification of non-interest bearing assets, which are at least credit quality step 5 rated and guaranteed by central banks, central governments, regional governments, state governments, local authorities, and PSEs, not domiciled in EEA, as HQLA Level 2B assets are configured as part of this rule. | Article 7 Paragraph 3 to 7, Article 12 Paragraph 1 (f) |
| 52 | EBA LCR Mitigants - Reclassification - Level 1 - Market Asset Issuer | This rule reclassifies securities received as mitigants, issued by central banks, sovereigns and central governments as HQLA Level 1 assets, per the criteria specified by EBA. | The classification of marketable securities, received as mitigants and issued by sovereigns, central banks, central governments, and local authorities domiciled in EEA, as HQLA Level 1 assets is configured as part of this rule. Additionally, the classification of marketable securities received as mitigants, issued by central banks that are zero risk-weighted and are not domiciled in EEA and the European Central Bank, as HQLA Level 1 assets is configured as part of this rule. | Article 7 Paragraph 2 to 7, Article 10 Paragraph 1 (b) (i), (ii), (c) |
| 53 | EBA LCR Mitigants - Reclassification - Level 1 - Market Asset Guarantor | This rule reclassifies securities received as mitigants, guaranteed by central banks, sovereigns, and central governments as HQLA Level 1 asset, per the criteria specified by EBA. | The classification of marketable securities received as mitigants and guaranteed by sovereigns, central banks, central governments, and local authorities domiciled in EEA, as HQLA Level 1 assets is configured as part of this rule. Additionally, the classification of securities received as mitigants and guaranteed by central banks that are zero risk-weighted and are not domiciled in EEA and the European Central Bank, as HQLA Level 1 assets is configured. | Article 7 Paragraph 2 to 7, Article 10 Paragraph 1 (b) (i), (ii), (c) |
| 54 | EBA LCR Mitigants - Reclassification - Level 1 - Assets Issued By Central,Regional Govt,Local Auth | This rule reclassifies marketable securities received as mitigants, issued by credit quality step 1 risk-rated central banks, regional governments, local authorities, PSE, and zero risk weight multilateral development banks and international organizations as HQLA Level 1 assets, per the criteria specified by EBA. | The classification of marketable securities received as mitigants and issued by multilateral development bank and international organization that is zero risk-weighted, as HQLA Level 1 assets is configured as part of this rule. The rule also covers the classification of marketable securities, received as mitigants and issued by state governments, regional governments and zero risks weighted PSEs domiciled in EEA, as HQLA Level 1 assets. Additionally, the classification of marketable securities received as mitigants and issued by sovereigns, central governments, state governments, regional governments, and local authorities that are zero risks weighted and domiciled outside EEA, as HQLA Level 1 assets is configured. | Article 7 Paragraph 2 to 7, Article 10 Paragraph 1 (c) (ii) to (v), (g) |
| 55 | EBA LCR Mitigants - Reclassification - Level 1 - non-zero RW Assts Guarntd By Cntrl,Rg Gvt Lcl Auth | This rule reclassifies marketable securities received as mitigants, guaranteed by credit quality step 1 risk-rated or non-zero risk weight central governments, regional governments, local authorities, and PSEs, as HQLA Level 1 assets, per the criteria specified by EBA. | The classification of marketable securities received as mitigants and guaranteed by sovereigns, central government, and the central bank that are non-zero risk-weighted and not domiciled in EEA, as HQLA Level 1 assets is configured as part of this rule. | Article 7 Paragraph 2 to 7, Article 10 Paragraph 1 (d) |
| 56 | EBA LCR Mitigants - Reclassification - Level 1 - Assets Guaranteed By Central,Reg Govt Local Auth | This rule reclassifies marketable securities received as mitigants, guaranteed by credit quality step 1 risk-rated central governments, regional governments, local authorities, PSEs, and zero risk weight multilateral development banks and international organizations, as HQLA Level 1 assets, per the criteria specified by EBA. | The classification of marketable securities received as mitigants and guaranteed by multilateral development banks and international organizations that are zero risk-weighted, as HQLA Level 1 assets is configured as part of this rule. This rule also covers the classification of marketable securities, guaranteed by state governments, regional governments and zero risks weighted PSEs, domiciled in EEA, as HQLA Level 1 assets. Additionally, the classification of marketable securities, guaranteed by sovereigns, central governments, state governments, regional governments, local authorities that are zero risk-weighted and are not domiciled in EEA, as HQLA Level 1 assets is configured. | Article 7 Paragraph 2 to 7, Article 10 Paragraph 1 (c) (ii) to (v), (g) |
| 57 | EBA LCR Mitigants - Reclassification - Level 1 - non-zero RW Assts Issud By Cntrl,Reg Govt,Local Aut | This rule reclassifies securities received as mitigants, issued by credit quality step 1 risk-rated or non-zero risk weight central governments, regional governments, local authorities, and PSEs, as HQLA Level 1 assets, per the criteria specified by EBA. | The classification of marketable securities received as mitigants and issued by sovereigns, central governments and central banks that are non-zero risk-weighted and are not domiciled in EEA, as HQLA Level 1 assets are configured as part of this rule. | Article 7 Paragraphs 3 to 7, Article 10 Paragraph 1 (d) |
| 58 | EBA LCR Mitigants - Reclassification - Level 1 - Assets Issued By CreInst And Guar By Cent Govt | This rule reclassifies marketable securities received as mitigants, issued by credit quality step 1 risk-rated or zero risk weight credit institutions and guaranteed by central governments as HQLA Level 1 assets, per the criteria specified by EBA. | The classification of securities received as mitigants and issued by zero risk-weighted credit institutions and guaranteed by sovereigns, central governments, regional governments, and local authorities, domiciled in EEA, as HQLA Level 1 asset is configured as part of this rule. | Article 35, Article 7 Paragraph 2 |
| 59 | EBA LCR Mitigants - Reclassification - Level 1 - Govt Backed Promotional Lending Credit Institution | This rule reclassifies marketable securities received as mitigants, issued by EEA domiciled government-backed credit institutions or promotional lenders, as HQLA Level 1 assets, per the criteria specified by EBA. | The classification of securities received as mitigants and issued by promotional lenders or government incorporated credit institutions domiciled in EEA as HQLA Level 1 assets is configured as part of this rule. | Article 7 Paragraph 2 to 7,Article 10 Paragraph 1 (e) (i) |
| 60 | EBA LCR Mitigants - Reclassification - Level 1 - Covered Bonds | This rule reclassifies high quality covered bonds received as mitigants that are credit quality step 1 risk-rated or zero risk-weighted, as HQLA Level 1 assets, per the criteria specified by EBA. | The classification of covered bonds received as mitigants, having an issue size >= 500 million Euro and over-collateralization ratio >=2%, as HQLA Level 1 assets is configured as part of this rule. | Article 7 Paragraphs 3 to 7, Article 10 Paragraph 1 (f) |
| 61 | EBA LCR Mitigants - Reclassification - Level 1 - Senior Bonds Issued By Impaired Asset Mgmt Agencies | This rule reclassifies bonds received as mitigants, issued by credit quality step 1 risk-rated or zero risk-weighted asset restructuring companies as HQLA Level 1 assets, per the criteria specified by EBA. | The classification of senior bonds received as mitigants and issued by a credit quality step 1 risk-rated or zero risk-weighted government-backed impaired assets management company domiciled in EEA, as HQLA Level 1 assets is configured as part of this rule. | Article 36, Article 7 Paragraph 2 |
| 62 | EBA LCR Mitigants - Reclassification - Level 2A - Issued By Regional Govt,Local Authorities and PSE | This rule reclassifies marketable securities assigned a 20% risk weight, received as mitigants, issued by EEA domiciled central governments, regional governments, local authorities, and PSEs, as HQLA Level 2A assets, per the criteria specified by EBA. | The classification of marketable securities assigned a risk weight of 20% or lower, received as mitigants and issued by regional governments, state governments, PSEs, and local authorities domiciled in EEA, as HQLA Level 2A assets are configured as part of this rule. | Article 7 Paragraph 2 to 7, Article 11 Paragraph 1 (a) |
| 63 | EBA LCR Mitigants - Reclassification - Level 2A - Assets Guaranteed by Reg. Govt,Local Authorities | This rule reclassifies marketable securities assigned a 20% risk weight, received as mitigants, guaranteed by EEA domiciled central banks, regional governments, local authorities, and PSEs, as HQLA Level 2A assets, per the criteria specified by EBA. | The classification of marketable securities, assigned a risk weight of 20% or lower, received as mitigants and guaranteed by regional governments, state governments, PSEs, and local authorities domiciled in EEA, as HQLA Level 2A assets are configured as part of this rule. | Article 7 Paragraph 2 to 7, Article 11 Paragraph 1 (a) |
| 64 | EBA LCR Mitigants - Reclassification - Level 2A - Assets Issued By Local Govt Ins in a Third Country | This rule reclassifies marketable securities assigned a 20% risk weight, issued by third-country central governments, regional governments, local authorities, and PSEs, as HQLA Level 2A assets, per the criteria specified by EBA. | The classification of marketable securities, assigned a risk weight of 20% or lower, received as mitigants and issued by sovereigns, central governments, regional governments, state governments, PSE and local authorities, not domiciled in EEA, as HQLA Level 2A assets are configured as part of this rule. | Article 7 Paragraph 2 to 7, Article 11 Paragraph 1 (b) |
| 65 | EBA LCR Mitigants - Reclassification - Level 2A - Assets Guar By Local Govt Ins in a Third Country | This rule reclassifies marketable securities assigned a 20% risk weight, received as mitigants, guaranteed by third-country central governments, regional governments, local authorities, and PSEs, as HQLA Level 2A assets, per the criteria specified by EBA. | The classification of marketable securities, assigned a risk weight of 20% or lower, received as mitigants and guaranteed by sovereigns, central governments, regional governments, state governments, PSE and local authorities, which are not domiciled in EEA, as HQLA Level 2A assets are configured as part of this rule. | Article 7 Paragraph 2 to 7, Article 11 Paragraph 1 (b) |
| 66 | EBA LCR Mitigants - Reclassification - Level 2A - EEA Covered Bonds | This rule reclassifies covered bonds received as mitigants, issued by government institutions domiciled in EEA, that are credit quality step 2 risk-rated or have a minimum risk weight of 20%, as HQLA Level 2A assets per the criteria specified by EBA. | The classification of covered bonds received as mitigants, issued by government institutions domiciled in EEA, that are at least credit quality step 2 risk-rated for issue size greater than 500 million Euro with an over-collateralization ratio greater than or equal to 7%, or credit quality step 1 risk-rated for issue size greater than or equal to 250 million Euro with an over-collateralization ratio greater than or equal to 2%, as HQLA Level 2A assets are configured as part of this rule. | Article 7 Paragraph 3 to 7, Article 11 Paragraph 1 (e) |
| 67 | EBA LCR Mitigants - Reclassification - Level 2A - Third Country Covered Bonds | This rule reclassifies covered bonds received as mitigants, issued by the third country domiciled local government institutions, that are credit quality step 1 risk-rated or have a minimum risk weight of 10% risk weight, and whose underlying exposures meet at least one of the criteria amongst - B1, B2, C, E, F criteria, as HQLA Level 2A assets per the criteria specified by EBA. The classification of underlying assets based on the criteria specified by EBA is handled as part of the process - EBA DA - LCR Covered Bond Eligibility Criteria. | The classification of covered bonds received as mitigants, that are credit quality step 1 risk-rated, issued by third-country domiciled local government institutions, and whose underlying exposures meet at least any one criteria out of B1, B2, C, E, and F, as HQLA Level 2A assets are configured as part of this rule. | Article 7 Paragraph 3 to 7, Article 11 Paragraph 1 (d) |
| 68 | EBA LCR Mitigants - Reclassification - Level 2A - Debt Security Issued By Corporate | This rule reclassifies credit quality step 1 rated marketable securities, received as mitigants, issued by corporates, as HQLA Level 2A assets, per the criteria specified by EBA. | The classification of debt securities which are rated at least credit quality step 1, received as mitigants and issued by corporates as HQLA Level 2A assets are configured as part of this rule. | Article 7 Paragraph 2 to 7, Article 11 Paragraph 1(e) |
| 69 | EBA LCR Mitigants - Reclassification - Level 2B - Debt Securities Issued by Corporate | This rule reclassifies securities received as mitigants, issued by corporates as HQLA Level 2B assets, per the criteria specified by EBA. | The classification of at least credit quality step 3 rated debt securities received as mitigants and issued by corporates as HQLA Level 2B assets is configured as part of this rule. | Article 7 Paragraph 2 to 7, Article 12 Paragraph 1 (b) |
| 70 | EBA LCR Mitigants - Reclassification - Level 2B - Common Equity Shares | This rule reclassifies marketable common equities received as mitigants, as HQLA Level 2B assets per the criteria specified by EBA. | The classification of shares traded at major equity index received as mitigants are configured as HQLA Level 2B as part of this rule. | Article 7 Paragraph 2 to 7, Article 12 Paragraph 1 (c) |
| 71 | EBA LCR Mitigants - Reclassification - Level 2B - Covered Bonds | This rule reclassifies covered bonds received as mitigants, which do not meet the Level 1 and Level 2A asset criteria and whose underlying exposures exclusively meet criteria A, C, and D criteria, as HQLA Level 2B assets per the criteria specified by EBA. The classification of underlying assets based on the criteria specified by EBA is handled as part of the process - EBA DA - LCR Covered Bond Eligibility Criteria. | The classification of high quality covered bonds received as mitigants, having an issue size >= 250 million Euro and over-collateralization ratio >=10%, whose underlying exposures meet either criterion A or criteria C or criteria D, as HQLA Level 2B assets are configured as part of this rule. | Article 7 Paragraph 3 to 7, Article 12 Paragraph 1 (e) |
| 72 | EBA LCR Mitigants - Reclassification - Level 2B - Securitization | This rule reclassifies asset-backed securities, received as mitigants, which has an underlying asset pool of fully guaranteed residential loans, commercial loans, leases and credit facilities, auto loans and leases, personal loans credit facilities or first-lien residential loans as HQLA Level 2B assets, per the criteria specified by EBA. | The classification of asset-backed securities received as mitigants, which are rated at least credit quality step 1 having an underlying asset pool of residential loans, auto loans and leases, personal loans or commercial loans, leases and credit facilities, as HQLA Level 2B assets are configured as part of this rule. | Article 7 Paragraph 2 to 7, Article 12 Paragraph 1 (a), Article 13 |
| 73 | EBA LCR Mitigants - Reclassification - Level 2B - Sukuk Issued | This rule reclassifies Sukuk received as mitigants, issued by central governments, regional governments, state governments, local authorities, and PSEs as HQLA Level 2B assets, per the criteria specified by EBA. | The classification of non-interest bearing assets received as mitigants, which are at least credit quality step 5 rated and issued by central banks, central governments, regional governments, state governments, local authorities and PSEs, not domiciled in EEA, as HQLA Level 2B assets are configured as part of this rule. | Article 7 Paragraph 2 to 7, Article 12 Paragraph 1 (f) |
| 74 | EBA LCR Mitigants - Reclassification - Level 2B - Sukuk Guaranteed | This rule reclassifies Sukuk received as mitigants, guaranteed by central governments, regional governments, state governments, local authorities, and PSEs as HQLA Level 2B assets, per the criteria specified by EBA. | The classification of non-interest bearing assets received as mitigants, which are at least credit quality step 5 rated and guaranteed by central banks, central governments, regional governments, state governments, local authorities, and PSEs, as HQLA Level 2B assets are configured as part of this rule. | Article 7 Paragraph 2 to 7, Article 12 Paragraph 1(f) |
| 75 | EBA LCR Subs Coll - Reclassification - Level 1 - Market Asset Issuer | This rule reclassifies securities that can be contractually substituted for existing collateral received, issued by central banks, sovereigns, and central governments as HQLA Level 1 assets, per the criteria specified by EBA. | The classification of marketable securities, issued by sovereigns, central banks, central governments, and local authorities domiciled in EEA that can potentially be substituted for existing collateral, as HQLA Level 1 asset is configured as part of this rule. Additionally, marketable securities, issued by central banks and the European Central Bank that are zero risk-weighted and are not domiciled in EEA and can potentially be substituted for existing collateral, as HQLA Level 1 assets is configured. | Article 7 Paragraph 2 to 7, Article 10 Paragraph 1 (b) (i),(ii), (c) , Article 17 Paragraph 2 |
| 76 | EBA LCR Subs Coll - Reclassification - Level 1 - Market Asset Guarantor | This rule reclassifies securities that can be contractually substituted for existing collateral received, guaranteed by central banks, sovereigns, and central governments as HQLA Level 1 assets, per the criteria specified by EBA. | The classification of marketable securities, guaranteed by sovereigns, central banks, central governments, and local authorities domiciled in EEA that can be potentially substituted for existing collateral, as HQLA Level 1 asset is configured as part of this rule. Additionally, marketable securities, guaranteed by zero risk-weighted central banks that are not domiciled in EEA, and the European Central Bank that can be potentially substituted for existing collateral, as HQLA Level 1 assets are configured. | Article 7 Paragraph 2 to 7, Article 10 Paragraph 1 (b)(i),(ii),(c) , Article 17 Paragraph 2 |
| 77 | EBA LCR Subs Coll - Reclassification - Level 1 - Issued By Cent.,Reg. govt, Local Auth. and PSE | This rule reclassifies marketable securities that can be contractually substituted for existing collateral received, issued by credit quality step 1 risk-rated central banks, regional governments, local authorities, PSEs, and zero risk weight multilateral development banks and international organizations as HQLA Level 1 assets, per the criteria specified by EBA. | The classification of marketable securities, issued by zero risks weighted multilateral development banks, international organizations, PSEs, state governments, and regional governments, domiciled in EEA and can be potentially substituted for existing collateral, as HQLA Level 1 assets, is configured as part of this rule. Additionally, the classification of marketable securities, issued by sovereigns, central governments, local authorities that are zero risks weighted and not domiciled in EEA and can be potentially substituted for existing collateral, as HQLA Level 1 assets is configured as part of this rule. | Article 7 Paragraph 2 to 7, Article 10 Paragraph 1 (c) (ii) to (v), (g), Article 17 Paragraph 2 |
| 78 | EBA LCR Subs Coll - Reclassification - Level 1 - non-zero RW Assets Issued by Cent.,Reg. govt | This rule reclassifies securities that can be contractually substituted for existing collateral received, issued by credit quality step 1 risk-rated or non-zero risk weight central banks, regional governments, local authorities, and PSEs, as HQLA Level 1 asset, per the criteria, specified by EBA. | The classification of marketable securities, guaranteed by sovereigns, central governments and central banks that are non-zero risk-weighted and not domiciled in EEA and can be potentially substituted for existing collateral, as HQLA Level 1 assets is configured as part of this rule. | Article 7 Paragraph 2 to 7, Article 10 Paragraph 1 (d), Article 17 Paragraph 2 |
| 79 | EBA LCR Subs Coll - Reclassification - Level 1 - Assets Guar. By Cent.,Reg. Govt,Loc Auth. and PSE | This rule reclassifies marketable securities that can be contractually substituted for existing collateral received, guaranteed by credit quality step 1 risk-rated central banks, regional governments, local authorities, PSEs, and zero risk weight multilateral development banks and international organizations as HQLA Level 1 assets, per the criteria specified by EBA. | The classification of marketable securities, guaranteed by zero risk-weighted multilateral development banks, international organizations, PSEs, state governments, and regional governments that can be potentially substituted for existing collaterals, as HQLA Level 1 assets is configured as part of this rule. Additionally, the classification of marketable securities guaranteed by sovereigns, central governments, local authorities that are zero risk-weighted and not domiciled in EEA that can be potentially substituted for existing collateral, as HQLA Level 1 assets is configured. | Article 7 Paragraph 2 to 7, Article 10 Paragraph 1 (c) (ii) to (v), (g), Article 17 Paragraph 2 |
| 80 | EBA LCR Subs Coll - Reclassification - Level 1 - non-zero RW Assets Guar. by Cent.,Reg. govt | This rule reclassifies securities that can be contractually substituted for existing collateral received, guaranteed by credit quality step 1 risk-rated, or non-zero risk weight central banks, regional governments, local authorities, and PSEs, as HQLA Level 1 assets, per the criteria specified by EBA. | The classification of marketable securities, issued by sovereigns, central governments and central banks that are non-zero risk-weighted and are not domiciled in EEA, and can potentially be substituted for existing collateral, as HQLA Level 1 assets is configured as part of this rule. | Article 7 Paragraph 2 to 7, Article 10 Paragraph 1 (d), Article 17 Paragraph 2 |
| 81 | EBA LCR Subs Coll - Reclassification - Level 1 - Assets Issued By Credit Inst. And Guar. By Cent.Gov | This rule reclassifies marketable securities issued by credit institutions that can be contractually substituted for existing collateral received, guaranteed by credit quality step 1 risk-rated central, regional governments, local authorities, PSE securities, and zero risk weight multilateral development banks and international organizations as HQLA Level 1 asset, per the criteria specified by EBA. | The classification of securities issued by zero risk-weighted credit institutions and guaranteed by sovereigns, central governments, regional governments, and local authorities which are domiciled in EEA and can be potentially substituted for existing collateral, as HQLA Level 1 assets is configured as part of this rule. | Article 35, Article 7 Paragraph 2 , Article 17 Paragraph 2 |
| 82 | EBA LCR Subs Coll - Reclassification - Level 1 - Govt. Backed Promotional Lending Credit Institution | This rule reclassifies marketable securities issued by EEA domiciled government-backed credit institutions or promotional lenders, that can be contractually substituted for existing collateral received, as HQLA Level 1 asset, per the criteria specified by EBA. | The classification of securities issued by a promotional lender or government incorporated credit institution domiciled in EEA and can be potentially substituted for existing collateral, as HQLA Level 1 assets are configured as part of this rule. | Article 7 Paragraph 2 to 7,Article 10 Paragraph 1(e) (i) |
| 83 | EBA LCR Subs Coll - Reclassification - Level 1 - Senior Bonds Issued By Impaired Asset Mgmt Agencies | This rule reclassifies bonds that can be contractually substituted for existing collateral received, issued by credit quality step 1 risk-rated or zero risk-weighted asset restructuring companies, as HQLA Level 1 assets, per the criteria specified by EBA. | The classification of senior bonds, issued by a credit quality step 1 risk-rated or zero risks weighted government-backed impaired assets management company domiciled in EEA and can be potentially substituted for existing collaterals, as HQLA Level 1 assets is configured as part of this rule. | Article 36, Article 7 Paragraph 2 |
| 84 | EBA LCR Subs Coll- Reclassification - Level 2A - Assets Issued by Reg. Govt., Local Auth. and Pse | This rule reclassifies marketable securities that can be contractually substituted for the existing collateral received, assigned a 20% risk weight, issued by EEA domiciled central governments regional governments, local authorities, and PSE securities, as HQLA Level 2A assets, per the criteria specified by EBA. | The classification of marketable securities assigned a risk weight of 20% or lower and issued by regional governments, state governments, PSEs and local authorities, domiciled in EEA and can be potentially substituted for existing collaterals, as HQLA Level 2A assets are configured as part of this rule. | Article 7 Paragraph 2 to 7, Article 11 Paragraph 1 (a), Article 17 Paragraph 2 |
| 85 | EBA LCR Subs Coll- Reclassification - Level 2A - Assets Guar. By Reg. Govts., Local Auth. And Pse | This rule reclassifies marketable securities that can be contractually substituted for existing collateral received, assigned a 20% risk weight, guaranteed by EEA domiciled central governments regional governments, local authorities, and PSE securities, as HQLA Level 2A assets, per the criteria specified by EBA. | The classification of marketable securities assigned a risk weight of 20% or lower and guaranteed by regional governments, state governments, PSEs and local authorities, domiciled in EEA that can be potentially substituted for existing collateral, as HQLA Level 2A assets is configured as part of this rule. | Article 7 Paragraph 2 to 7, Article 11 Paragraph 1 (a), Article 17 Paragraph 2 |
| 86 | EBA LCR Subs Coll - Reclassification - Level 2A - Assets Issued By Loc.Govt.Inst. in a Third Country | This rule reclassifies securities that can be contractually substituted for the existing collateral received, issued by up to 20% risk-weighted third-country central governments, regional governments, local authorities, and Public sector enterprises, as HQLA Level 2A assets, per the criteria specified by EBA. | The classification of marketable securities assigned a risk weight of 20% or lower and issued by sovereigns, central governments, regional governments, state governments, PSEs and local authorities not domiciled in EEA that can be potentially substituted for existing collateral, as HQLA Level 2A assets are configured as part of this rule. | Article 7 Paragraph 2 to 7, Article 11 Paragraph 1 (b), Article 17 Paragraph 2 |
| 87 | EBA LCR Subs Coll- Reclassification - Level 2A - Assets Guar. By Loc. Govt. Inst. in a Third Country | This rule reclassifies securities that can be contractually substituted for existing collateral received, assigned a 20% risk weight, guaranteed by third-country domiciled central governments, regional governments, local authorities, and Public sector enterprises, as HQLA Level 2A assets, per the criteria specified by EBA. | The classification of marketable securities, assigned a risk weight of 20% or lower and guaranteed by sovereigns, central governments, regional governments, state governments, PSEs and local authorities which are not domiciled in EEA that can potentially be substituted for existing collateral, as HQLA Level 2A assets are configured as part of this rule. | Article 7 Paragraph 2 to 7, Article 11 Paragraph 1 (b), Article 17 Paragraph 2 |
| 88 | EBA LCR Subs Coll- Reclassification - Level 2A - Debt Security Issued By Corporate | This rule reclassifies credit quality step 1 rated marketable securities that can be contractually substituted for existing collateral received, issued by corporates, as HQLA Level 2A assets, per the criteria specified by EBA. | The classification of debt securities, which are rated at least credit quality step 1 that can be potentially substituted for existing collateral and issued by corporates, as HQLA Level 2A assets are configured as part of this rule. | Article 7 Paragraph 2 to 7, Article 11 Paragraph 1 (e), Article 17 Paragraph 2 |
| 89 | EBA LCR - Subs Coll Reclassification - Level 2B - Debt Securities Issued By Corporate | This rule reclassifies securities that can be contractually substituted for existing collateral received, issued by corporates as HQLA Level 2B assets, per the criteria specified by EBA. | The classification of debt securities, which are at least credit quality step 3 rated and issued by corporates that can potentially be substituted for existing collateral, as HQLA Level 2B assets are configured as part of this rule. | Article 7 Paragraph 2 to 7, Article 12 Paragraph 1 (b), Article 17 Paragraph 2 |
| 90 | EBA LCR - Subs Coll- Reclassification - Level 2B - Common Equity Shares | This rule reclassifies marketable common equities that can be contractually substituted for existing collateral received, as HQLA Level 2B assets, per the criteria specified by EBA. | The classification of shares traded at major equity index that can be potentially substituted for existing collateral, as HQLA Level 2B assets are configured as part of this rule. | Article 7 Paragraph 2 to 7, Article 12 Paragraph 1 (c), Article 17 Paragraph 2 |
| 91 | EBA LCR - Subs Coll Reclassification - Level 2B - Sukuk Issued | This rule reclassifies Sukuk that can be contractually substituted for existing collateral received, issued by central banks, regional governments, state governments, local authorities, and PSEs as HQLA Level 2B assets, per the criteria specified by EBA. | The classification of non-interest bearing assets, which are at least credit quality step 5 rated and issued by central banks, central governments, regional governments, state governments, local authorities and PSEs which are not domiciled in EEA that can be potentially substituted for existing collateral, as HQLA Level 2B assets are configured as part of this rule. | Article 7 Paragraph 2 to 7, Article 12 Paragraph 1 (f), Article 17 Paragraph 2 |
| 92 | EBA LCR - Subs Coll Reclassification - Level 2B - Sukuk Guaranted | This rule reclassifies Sukuk, which can be contractually substituted for existing collateral received, guaranteed by central banks, regional governments, state governments, local authorities, and PSEs, as HQLA Level 2B assets, per the criteria specified by EBA. | The classification of non-interest bearing assets, which are at least credit quality step 5 rated and guaranteed by central banks, central governments, regional governments, state governments, local authorities and PSEs which are not domiciled in EEA that can potentially be substituted for existing collateral, as HQLA Level 2B assets are configured as part of this rule. | Article 7 Paragraph 2 to 7, Article 12 Paragraph 1 (f), Article 17 Paragraph 2 |
| 93 | EBA LCR Subs Coll- Reclassification - Level 2B - Securitization | This rule reclassifies asset-backed securities that can be contractually substituted for existing collateral received, in an underlying asset pool of fully guaranteed residential loans or commercial loans, leases and credit facilities, auto loans and leases, personal loans credit facilities or first-lien residential loans as HQLA Level 2B assets, per the criteria specified by EBA. | The classification of asset-backed securities, which are at least credit quality step 1 rated having an underlying asset pool of residential loans, auto loans and leases, personal loans or commercial loans, leases and credit facilities, that can be potentially substituted for existing collateral, as HQLA Level 2B assets are configured as part of this rule. | Article 7 Paragraph 3 to 7, Article 12 Paragraph 1 (a), Article 13, Article 17 Paragraph 2 |
| 94 | LRM EBA -Sub Asset Level Classification - Balance with Bank,Cash, Banknotes,Common equity and CB | This rule classifies the products such as balances with the bank, cash, banknotes, common equities, and covered bonds into different sub-asset levels based on the associated asset levels and the product types. | The further classification of assets such as balances with banks, cash, banknotes, common equities, and covered bonds into different sub-asset levels is configured as part of this rule. | Article 10 |
| 95 | LRM EBA - Sub Asset Level Classification - Debt Sec, Line of Credit Rec, Sukuk, Asset Bckd Sec | This rule classifies the products such as debt securities, lines of credit received, Sukuk, asset-backed securities into different sub-asset levels based on the associated asset levels, and the product types. | The further classification of assets such as debt securities, lines of credit received, Sukuk, asset-backed securities into different sub-asset levels is configured as part of this rule. | Article 12 Paragraph 2 |
| 96 | LRM EBA - Sub Asset Level Classification - Mitigants | This rule classifies the products received as mitigants, into different sub-asset levels based on the associated asset levels and other dimensions. | The further classification of assets received as mitigants into different sub-asset levels is configured as part of this rule. | Article 12 Paragraph 2, Article 10, Article 7 Paragraph 2 |
| 97 | LRM - EBA - Bank Own Assets - Meets HQLA Operational Requirements and HQLA Eligibility Flag Update | This rule identifies whether the bank's assets, both unencumbered assets as well as those placed as collaterals, meet the operational requirements as prescribed in EBA DA regulations, except for being unencumbered for placed collaterals. For unencumbered assets, it updates the Meets HQLA Operational Requirements flag. In case of placed collateral, it updates the Meets HQLA Operational Requirements on Unwind flag and the Hqla Eligibility Flag HQLA that fulfill the HQLA operational requirements and therefore can be included in the stock of HQLA. | The identification of whether an asset owned by the bank meets the operational requirements set forth by EBA DA for its inclusion in the stock of HQLA is configured as part of this rule. | Article 8 |
| 98 | LRM - EBA - Re-hypothecated Mitigants - Meets HQLA Operational Requirements and HQLA Eligi Flag updt | This rule identifies whether the rehypothecated mitigants meet the operational requirements as prescribed in EBA DA regulations, to be considered for inclusion in the stock of HQLA. It updates the Meets HQLA Operational Requirements flag and Hqla Eligibility flag for such mitigants. | The identification of whether collateral received from a counterparty, that is further placed as collateral, meets the operational requirements set forth by EBA DA on unwinding is configured as part of this rule. | Article 8, Article 7 Paragraph 2 |
| 99 | LRM - EBA - Mitigants - Meets HQLA Operational Requirements and HQLA Eligibility Flag Update | This rule identifies whether the mitigants meet the operational requirements as prescribed in EBA DA regulations, to be considered for inclusion in the stock of HQLA. It updates the Meets HQLA Operational Requirements flag and Hqla Eligibility flag for such mitigants. | The identification of whether the collateral received from the counterparty meets the operational requirements set forth by EBA is configured as part of this rule. | Article 8, Article 7 Paragraph 2 |
| 100 | LRM - Downgrade Impact Amount for Other Liabilities | This rule calculates the downgrade impact amount for all liability products other than derivatives and securitizations, as the difference between the EOP balance and the collateral received. | The computation of the loss due to a rating downgrade, concerning liabilities other than derivatives and securitizations, is configured as part of this rule. | Article 30 Paragraph 2 |
| 101 | LRM - EBA - Instruments - Hedge Termination Cost Adjusted Value | This computation rule identifies all high quality liquid assets that have a hedge associated with them and computes the value of the unencumbered portion of such assets to be included in the stock as less of the hedge termination cost. | The computation of the market value of a high-quality liquid asset adjusted for the outflow that would arise on the early termination of the hedge is configured as part of this rule. The hedge termination cost adjusted value of the asset is included in the stock of HQLA. | Article 8 Paragraph 3 |
| 102 | LRM - EBA - Mitigants - Value to be Included in the Stock of Liquid Assets | This rule computes the unencumbered portion of there-hypothecate mitigants, classified as high-quality liquid assets, which can be included in the stock of HQLA. | The identification and computation of the value of the non-rehypothecated portion of HQLA collateral received under re-hypothecation rights are configured as part of this rule. | Article 7 Paragraph 2 |
| 103 | LRM - Reserves and Balances With Bank - Value to be Included in the Stock of Liquid Assets | This rule computes the value of central bank reserves to be included in the stock of Level 1 assets by deducting the minimum reserves and pass-through reserves, if any, from the reserve balance. Additionally, it computes the value of term deposits placed at the central bank (balances with banks) that are classified as Level 1 assets to be included in the stock of HQLA less of any applicable withdrawal penalty. | The computation of the value of reserves and balances with the banks as HQLA is configured as part of this rule. | Article 10 Paragraph 1 |
| 104 | LRM - EBA - Instruments - Value to be included in Stock - Placed Collateral | This rule computes the unused portion of placed collaterals, classified as high-quality liquid assets, which is eligible to be included in the stock as it is currently unencumbered. | The computation of the unused portion of high-quality liquid assets that are pre-positioned, or pledged but have not been used to generate liquidity is configured as part of this rule. The assets are encumbered in the order of lowest to the highest quality to compute the unused portion of the placed collateral. | Article 7 Paragraph 2 |
| 105 | EBA DA - HQLA Haircut - Instruments | This rule assigns haircut percentages to be applied on all HQLA instruments excluding balances with banks. | The computation of haircut percentage for all high quality liquid asset instruments excluding balances with the banks is configured as part of this rule. | Article 10, Article 11, Article 12 |
| 106 | EBA DA - HQLA Haircut - Balances with banks | This rule assigns haircut percentages to be applied to all HQLA balances with banks. | The computation of haircut percentage for the balances with banks which are high-quality liquid asset instruments is configured as part of this rule. | Article 10 |
| 107 | EBA DA - HQLA Haircut - Mitigants | This rule assigns haircut percentages to be applied to all HQLA mitigants. | The computation of haircut percentage for all high quality liquid asset instruments received as mitigants are configured as part of this rule. | Article 10, Article 11, Article 12 |
| 108 | LRM - EBA - CIU - Value to be Included in the Stock and Hair Cut Assignment | This rule computes the unencumbered portion of the CIUs, classified as high-quality liquid assets, which can be included in the stock of HQLA and assigns the haircut percentages to the same. | The computation of the value of collective investment units as HQLA is configured as part of this rule. | Article 15 |
| 109 | LRM - EBA - CIU Mitigants - Value to be Included in the Stock and Hair Cut Assignment | This rule computes the unencumbered portion of the CIUs received as mitigants and classified as high-quality liquid assets, which can be included in the stock of HQLA and assigns the haircut percentages to the same. | The computation of the value of the non-rehypothecated portion of the collective investment units collaterals received under re-hypothecation rights as HQLA is configured as part of this rule. | Article 15, Article 7 Paragraph 2 |
| 110 | EBA LCR - Stock Adjustment Reclassification - Level 1 Covered Bond - Addition | This rule identifies all secured funding, asset exchange, and collateralized derivatives transactions involving HQLA that mature within the LCR horizon which are required to be unwound and therefore reclassifies them to the appropriate adjustment rule. In case of secured funding transactions, where the collateral posted is a Level 1 covered bonds asset, the type of adjustment to the stock of HQLA due to such an unwind is updated as the addition of the market value of collateral posted. In case of asset exchange transactions and collateralized derivatives transaction, where the collateral posted is a Level 1 covered bond asset and the collateral received is a Level 1 asset or Level 2A asset or Level 2B asset or other assets, the type of adjustment to the stock of HQLA due to such an unwind is updated as the addition of the market value of collateral posted. | The identification of secured lending, collateralized derivatives, and asset exchange transactions required to be unwound, and the amount to be added to the stock of Level 1 covered bond assets due to such an unwind, is configured as part of this rule. | Annex I Paragraph 3 (a), (b) |
| 111 | EBA LCR - Stock Adjustment Reclassification - Level 1 Covered Bond - Deduction | This rule identifies all secured lending, asset exchange, and collateralized derivatives transactions involving HQLA that mature within the LCR horizon which are required to be unwound and therefore reclassifies them to the appropriate adjustment rule. In case of secured lending transactions, where the collateral received is a Level 1 covered bond assets, the type of adjustment to the stock of HQLA due to such an unwind is updated as the deduction of the market value of collateral received. In case of asset exchange transactions and collateralized derivatives transaction, where the collateral received is a Level 1 covered bond asset and the collateral posted is a Level 1 asset or Level 2A asset or Level 2B asset or other assets, the type of adjustment to the stock of HQLA due to such an unwind is updated as the deduction of the market value of collateral received. | The identification of secured funding, collateralized derivatives, and asset exchange transactions required to be unwound, and the amount to be deducted from the stock of Level 1 covered bond assets due to such an unwind, is configured as part of this rule. | Annex I Paragraph 3 (a), (b) |
| 112 | EBA LCR - Stock Adjustment Reclassification - Level 1 Secured Transactions and Swaps - Addition | This rule identifies all secured funding, secured lending, and asset exchange transactions involving HQLA that mature within the LCR horizon which are required to be unwound and therefore reclassifies them to the appropriate adjustment rule. In case of secured funding transactions, where the collateral posted is a level1 coin, banknotes, and exposures to central banks asset or Level 1 other assets excluding covered bonds asset, the type of adjustment to the stock of HQLA due to such an unwind is updated as the addition of the market value of collateral posted. In case of secured lending transactions, where the collateral received is a Level 1 asset or Level 2A asset or Level 2B asset, the type of adjustment to the stock of HQLA due to such an unwind is updated as the addition of the amount paid. In case asset exchange, where the collateral posted is a Level 1 coin, banknotes and exposures to central banks asset or Level 1 other assets excluding covered bonds asset and the collateral received is a Level 1 asset or Level 2A asset or Level 2B asset or other assets, the type of adjustment to the stock of HQLA due to such an unwind is updated as the addition of the market value of collateral posted. | The identification of secured funding secured lending, and asset exchange transactions required to be unwound, and the amount to be added to the stock of Level 1 assets excluding Level 1 covered bonds due to such an unwind, is configured as part of this rule. | Annex I Paragraph 3 (a), (b) |
| 113 | EBA LCR - Stock Adjustment Reclassification - Level 1 Secured Transactions and Swaps - Deduction | This rule identifies all secured funding, secured lending, and asset exchange transactions involving HQLA that mature within the LCR horizon which are required to be unwound and therefore reclassifies them to the appropriate adjustment rule. In case of secured funding transactions, where the collateral posted is a Level 1 asset or Level 2A asset or Level 2B asset, the type of adjustment to the stock of HQLA due to such an unwind is updated as the deduction of the amount received. In case of secured lending, where the collateral received is a Level 1 Coins, banknotes and exposures to central banks or Level 1 other assets excluding covered bonds, the type of adjustment to the stock of HQLA due to such an unwind is updated as the deduction of the market value of collateral received. In case of the asset exchange transaction, where the collateral posted is a Level 1 asset or Level 2A asset or Level 2B asset and the collateral received is a Level 1 coin, banknotes and exposures to central banks asset or Level 1 other assets excluding covered bonds asset, the type of adjustment to the stock of HQLA due to such an unwind is updated as the deduction of the market value of collateral received. | The identification of secured funding secured lending, and asset exchange transactions required to be unwound, and the amount to be deducted from the stock of Level 1 assets excluding Level 1 covered bonds due to such an unwind, is configured as part of this rule. | Annex I Paragraph 3 (a), (b) |
| 114 | EBA LCR - Stock Adjustment Reclassification - Level 1 Unwinded Derivatives - Addition | This rule identifies all collateralized derivatives transactions involving HQLA that mature within the LCR horizon which are required to be unwound and therefore reclassifies them to the appropriate adjustment rule. Collateralized derivatives transaction, where the collateral posted is a Level 1 asset or Level 2A asset or Level 2B asset or other assets and which are considered to be eligible HQLA on unwinding and in a position to be bought or sold and the collateral received is a Level 1 asset or Level 2A asset or Level 2B asset or other assets, the type of adjustment to the stock of HQLA due to such an unwind is updated as the addition of the market value of collateral posted or as the addition of the amount paid. | The identification of collateralized derivatives transactions required to be unwound is configured as part of this rule. Additionally, the amount to be added to the stock of Level 1 assets, excluding Level 1 covered bonds due to such an unwind, where the rehypothecated collateral received meets the HQLA criteria after unwinding the position, is also configured. | Annex I Paragraph 3 (a), (b) |
| 115 | EBA LCR - Stock Adjustment Reclassification - Level 1 Unwinded Derivatives - Deduction | This rule identifies all collateralized derivatives transactions involving HQLA that mature within the LCR horizon which are required to be unwound and therefore reclassifies them to the appropriate adjustment rule. Collateralized derivatives transaction, where the collateral posted is a Level 1 asset or Level 2A asset or Level 2B asset or other assets and which are considered to be eligible HQLA on unwinding and in a position to be bought or sold and the collateral received is a Level 1 asset or Level 2A asset or Level 2B asset or other assets, the type of adjustment to the stock of HQLA due to such an unwind is updated as the deduction of the market value of collateral received or as the deduction of the amount received. | The identification of collateralized derivatives transactions required to be unwound is configured as part of this rule. Additionally, the amount to be deducted from the stock of Level 1 assets excluding Level 1 covered bonds due to such an unwind, where the rehypothecated collateral received meets the HQLA criteria after unwinding the position, is also configured. | Annex I Paragraph 3 (a), (b) |
| 116 | EBA LCR - Stock Adjustment Reclassification - Level 1 Derivatives - Addition | This rule identifies all collateralized derivatives transactions involving HQLA that mature within the LCR horizon which are required to be unwound and therefore reclassifies them to the appropriate adjustment rule. Collateralized derivatives transaction, where the collateral posted is a Level 1 asset or Level 2A asset or Level 2B asset or other assets and which are in a position to be bought or sold and the collateral received is a Level 1 asset or Level 2A asset or Level 2B asset or other assets, the type of adjustment to the stock of HQLA due to such an unwind is updated as the addition of the market value of collateral posted or as the addition of the amount paid. | The identification of collateralized derivatives transactions required to be unwound is configured as part of this rule. Additionally, the amount to be added to the stock of Level 1 assets excluding Level 1 covered bonds due to such an unwind, where the rehypothecated collateral received does not meet the HQLA criteria after unwinding the position, is also configured. | Annex I Paragraph 3 (a), (b) |
| 117 | EBA LCR - Stock Adjustment Reclassification - Level 1 Derivatives - Deduction | This rule identifies all collateralized derivatives transactions involving HQLA that mature within the LCR horizon which are required to be unwound and therefore reclassifies them to the appropriate adjustment rule. Collateralized derivatives transaction, where the collateral posted is a Level 1 asset or Level 2A asset or Level 2B asset or other assets and which are in a position to be bought or sold and the collateral received is a Level 1 asset or Level 2A asset or Level 2B asset or other assets, the type of adjustment to the stock of HQLA due to such an unwind is updated as the deduction of the market value of collateral received or as the deduction of the amount received. | The identification of collateralized derivatives transactions required to be unwound is configured as part of this rule. The amount to be deducted from the stock of Level 1 assets excluding Level 1 covered bonds due to such an unwind, where the rehypothecated collateral received does not meet HQLA criteria after unwinding the position, is also configured as part of this rule. | Annex I Paragraph 3 (a), (b) |
| 118 | EBA DA LCR - Stock Adjustment Reclassification - Level 2A - Addition | This rule identifies all secured funding, asset exchange, and collateralized derivatives transactions involving HQLA that mature within the LCR horizon which are required to be unwound and therefore reclassifies them to the appropriate adjustment rule. In case of secured funding transactions, where 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 the addition of the market value of collateral posted. In case of asset exchange transactions and collateralized derivatives transaction, where the collateral posted is a Level 2A asset and the collateral received is a Level 1 asset or Level 2A asset or Level 2B asset or other assets, the type of adjustment to the stock of HQLA due to such an unwind is updated as the addition of the market value of collateral posted. | The identification of secured funding, collateralized derivatives 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. | Annex I (3) (c) |
| 119 | EBA DA LCR - Stock Adjustment Reclassification - Level 2A - Deduction | This rule identifies all secured lending, asset exchange, and collateralized derivatives transactions involving HQLA that mature within the LCR horizon which are required to be unwound and therefore reclassifies them to the appropriate adjustment rule. In case of secured lending transactions, where 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 the deduction of the market value of collateral received. In case of asset exchange transactions and collateralized derivatives transaction, where the collateral received is a Level 2A asset and the collateral posted is a Level 1 asset or Level 2A asset or Level 2B asset or other assets, the type of adjustment to the stock of HQLA due to such an unwind is updated as the deduction of the market value of collateral received. | The identification of secured lending, collateralized derivatives, 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. | Annex I (3) (c) |
| 120 | EBA DA LCR - Stock Adjustment Reclassification - Level 2B - Addition | This rule identifies all asset exchange and collateralized derivatives transactions involving HQLA that mature within the LCR horizon which are required to be unwound and therefore reclassifies them to the appropriate adjustment rule. Asset exchange transactions and collateralized derivatives transaction, where the collateral posted is Level 2B securitizations backed by residential and auto loans or Level 2B securitizations backed by commercial and personal loans, or Level 2B corporate bonds, or Level 2B shares, or Level 2B non-interest bearing assets, or Level 2B covered bonds, and the collateral received is a Level 1 asset, or Level 2A asset, or Level 2B asset, or other assets, or Level 2B securitizations backed by residential and auto loans, or Level 2B securitizations backed by commercial and personal loans, or Level 2B corporate bonds, or Level 2B shares, or Level 2B non-interest bearing assets, or Level 2B covered bonds, the type of adjustment to the stock of HQLA due to such an unwind is updated as the addition of the market value of collateral posted. | The identification of secured funding, collateralized derivatives transaction and asset exchange transactions required to be unwound, and the amount to be added to the stock of Level 2B assets due to such an unwind, is configured as part of this rule. | Annex I (3) (d) |
| 121 | EBA DA LCR - Stock Adjustment Reclassification - Level 2B - Deduction | This rule identifies all asset exchange and collateralized derivatives transactions involving HQLA that mature within the LCR horizon which are required to be unwound and therefore reclassifies them to the appropriate adjustment rule. Asset exchange transactions and collateralized derivatives transaction, where the collateral received are Level 2B securitization backed by residential and auto loans or Level 2B securitizations backed by commercial and personal loans, or Level 2B corporate bonds, or Level 2B shares, or Level 2B non-interest bearing assets, or Level 2B covered bonds, and the collateral posted is a Level 1 asset, or Level 2A asset, or Level 2B asset, or other assets, or Level 2B securitizations backed by residential and auto loans, or Level 2B securitizations backed by commercial and personal loans, or Level 2B corporate bonds, or Level 2B shares, or Level 2B non-interest bearing assets, or Level 2B covered bonds, the type of adjustment to the stock of HQLA due to such an unwind is updated as the deduction of the market value of collateral received. | The identification of secured lending, collateralized derivatives and asset exchange transactions required to be unwound, and the amount to be deducted from the stock of Level 2B assets due to such an unwind, is configured as part of this rule. | Annex I (3) (d) |
| 122 | LRM - EBA - Covered Bond - Underlying Exposure HQLA Eligibility Criteria A | This rule identifies whether the underlying exposures of the covered bonds meet eligibility criterion A, where criterion A refers to the underlying assets which are debt securities, issued or guaranteed by EEA domiciled PSEs, regional governments, or local authorities. | The classification of underlying exposures of the covered bonds, where the underlying assets are debt securities, issued or guaranteed by central governments, central banks, PSEs, regional governments, or local authorities domiciled in EEA, as Criteria A, is configured as part of this rule. | Article 12 Paragraph 1 (e) |
| 123 | LRM - EBA - Covered Bond - Underlying Exposure HQLA Eligibility Criteria B1 C E F |
This rule identifies whether the underlying exposures of the covered bonds meet eligibility criterion B1, C, E, and F, where the criterion - B1 refers to the underlying assets which are debt securities, issued or guaranteed by non-EEA domiciled central governments, central banks, MDBs, or international organizations. - C refers to underlying assets which are residential mortgage-backed securities having LTV less than or equal to 80%. - E refers to underlying assets which are commercial immovable properties having LTV less than or equal to 60%. - F refers to underlying assets which are maritime loans having LTV less than or equal to 60%. |
The classification of underlying exposures of the covered bonds where underlying assets are debt securities, issued or guaranteed by credit quality step 1 rated central governments, central banks, MDBs, or international organizations, not domiciled in EEA, as Criteria B1 is configured as part of this rule. Additionally, the classification of residential property received as underlying exposures having loan-to-value ratio less than or equal to 80%, as Criteria C, the classification of commercial immovable property received as underlying exposures having loan-to-value ratio less than or equal to 60%, as Criteria E, and the classification of maritime loans received as underlying exposures having loan-to-value ratio less than or equal to 60%, as Criteria F, is configured. | Article 11 Paragraph 1 (d), Article 12 Paragraph 1 (e) |
| 124 | LRM - EBA - Covered Bond - Underlying Exposure HQLA Eligibility Criteria B2 | This rule identifies whether the underlying exposures of the covered bonds meet eligibility criterion B2, where criterion B2 refers to the underlying assets which are debt securities, issued or guaranteed by non EEA domiciled PSEs, regional governments, or local authorities. | The classification of underlying exposures of the covered bonds where underlying assets are debt securities assigned a rating of less than credit quality step 2, issued or guaranteed by credit quality step 1 rated PSEs, regional governments, or local authorities not domiciled in EEA, as Criteria B2 is configured as part of this rule. The underlying exposures fulfilling criteria B2 must be less than or equal to 20% of the total outstanding issue size of the covered bond. | Article 11 Paragraph 1 (d), |
| 125 | LRM - EBA - Covered Bond - Underlying Exposure HQLA Eligibility Criteria D | This rule identifies whether the underlying exposures of the covered bonds meet eligibility criterion D, where criterion D refers to the underlying assets which are residential loans, guaranteed by eligible credit protection. | The classification of underlying exposures of the covered bonds, where the underlying exposures are residential mortgages having loan-to-value ratio <= 80%, and which are fully guaranteed by eligible credit protection, as Criteria D is configured as part of this rule. | Article 12 Paragraph 1 (e) |
| 126 | Determining Restricted Non-Convertible Currency HQLA to Asset Level 2A | This rule calculates Level 2A asset for Non-convertible currency restriction. | This set of Rules check transferability restrictions when Assets are held in a third country and non-convertible currencies. Assets held in a non-convertible currency shall be deemed readily accessible only insofar as the credit institution uses those assets to meet liquidity outflows in that currency. | Article 8 Paragraph (2) |
| 127 | Determining Restricted Non-Convertible Currency HQLA to Asset Level 2B | This rule calculates Level 2B Asset for Non-convertible currency restriction. | ||
| 128 | Determining Restricted Third Party HQLA to Asset Level 2B | This rule calculates Level 2B Asset for Third-Party Restriction. | ||
| 129 | Determining Restricted Third Party HQLA to Asset Level 2A | This rule calculates Level 2A Asset for Third-Party Restriction. | ||
| 130 | Determining Restricted Third Party HQLA to Asset Level 1 | This rule calculates Level 1 Asset for Third-Party Restriction. | ||
| 131 | Determining Restricted Non-Convertible Currency HQLA to Asset Level 1 | This rule calculates Level 1 Asset for Non-Convertible Currency Restriction. | ||
| 132 | Determining Restricted Currency Mismatch HQLA to Asset Level 2A | This rule Determines Restricted Currency Mismatch HQLA to Asset Level 2A. | These Rules identify and treat the currency mismatch restriction limits when the bank is holding assets not denominated in the currency where the liquidity risk originates. | Article 8 Paragraph (6) |
| 133 | Determining Restricted Currency Mismatch HQLA to Asset Level 1 | This rule Determines Restricted Currency Mismatch HQLA to Asset Level 1. | ||
| 134 | Determining Restricted Currency Mismatch HQLA to Asset Level 2B | This rule Determines Restricted Currency Mismatch HQLA to Asset Level 2B. | ||
| 135 | LRM-Determining Inflow Capped to Outflow for Specialised Institution | This rule identifies the specialized institutions which have been exempted from the cap on inflows. | These Rules address the treatment of inflows for specialized institutions that are not subject to the 75% cap on Inflows. | Article 33 Paragraph (3) |
| 136 | LRM-Determining Inflow Capped to Outflow for other than Specialised Institution | This rule identifies the non-specialized institutions which have been exempted from the cap on inflows. | ||
| 137 | Determining ALA target LCR and buffer over target LCR juris HQLA srtfall and min maintainance of L1A | This rule captures the target LCR coverage percentage of the net cash outflows that a bank requires to hold to meet their liquidity coverage requirement and the buffer allowed to be held over the target LCR. | This set of Rules address the Alternative liquidity approaches requirement as outlined in the EBA Delegated Act. These Rules enable a bank to bridge its HQLA shortfall with alternative approaches such as the use of Domestic Central bank committed facility, additional use of Level 2A assets, and use of foreign currency HQLA. | Article 19 |
| 138 | Calculation of Assets Restricted Due to Currency Operational Restrictions | This rule captures the maximum permissible HQLA amount and available excess HQLA. | ||
| 139 | LRM - Determining ALA Target LCR, Buffer, Jurisdictional HQLA Shortfall and Min Maintenance of L1A | This rule is used to provide the Target LCR, Buffer, Jurisdictional HQLA Shortfall, and Minimum Maintenance of L1A. | ||
| 140 | LRM - Calculation of Assets Restricted Due to Currency Operational Restrictions | This rule is used to compute maximum permissible HQLA and available excess HQLA amounts. | ||
| 141 | LRM - ALA option sequencing and Maximum usage of individual option | This rule is used to provide the order of execution and maximum usage for the option central bank committed facility and additional use of level 2a assets with a higher haircut. | ||
| 142 | LRM - Determining ALA Haircut for the option Central Bank Committed fclty,Addtnl Use of L2A Assets | This rule is used to provide the haircut for the options central bank committed facility and additional use of Level 2A assets with a higher haircut. | ||
| 143 | LRM - Determining Haircut,Threshold,Major and Pegged Currency indicator for the ALA option ALTCCY | This rule is used to provide the order of execution, Haircut, Threshold, major, and pegged currency indicator for the option foreign currency HQLA to cover domestic currency liquidity requirements. | ||
| 144 | LRM- EBA Eligible HQLA for Covered Position | This rule is used to determine if the covering account is eligible for HQLA. | This Rule identifies whether an account covering a short position is eligible HQLA or not. This is needed for determining additional outflow Run-off as per Article 30. | Article 30 Paragraph (5) |
| 145 | EBA LCR - Blocked Amount compution | This rule is for computation of Blocked Amount. | This Rule computes the encumbered deposit amount, after taking into account any blocked amounts. Amounts can be blocked in deposits due to tax, statutory and regulatory reasons. | Article 7 Paragraph (2) |
| 146 | LRM - EBA - CIU - Sub Asset Level Assignment | This rule classifies all the underlying assets of the Collective Investment Undertakings into different sub-asset levels. | This set of rules separately identify CIU assets that share the same asset level as other comparable assets but receive different haircuts. | Article 15 (EU 2015/16) |
| 147 | LRM - EBA - CIU Mitigants - Sub Asset Level Assignment | This rule classifies all the underlying assets of the Collective Investment Undertakings received as Mitigants into different sub-asset levels. | This set of rules separately identify CIU assets that share the same asset level as other comparable assets but receive different haircuts. | Article 15 (EU 2015/16) |
| 148 | LRM - EBA Eligible Counterparty Flag Update |
This rule calculates Eligible Counterparty Flag as per the EBA Delegated Act for one of the following:
The certain regional or local authority of the home state of the credit institution or of the third country in which the credit institution is incorporated. |
This rule identifies ‘Eligible Counterparties’ as defined in the July 2018 EBA DA LCR Regulation. Eligible counterparties receive a different outflow factor, which is capped at 25% as compared to other counterparties. | Article 28 ((EU) 2018/1620) |