IBANK 8.4.12 Level 2B HQLA

Level 2B HQLA consists of:

(a) sukuk and other Shari'a-compliant marketable securities that are backed by Shari'a-compliant residential mortgages, and meet all of the following conditions:
(i) they were not issued by, and the underlying assets were not originated by, the firm itself or a related party of the firm;
(ii) the underlying asset pool does not contain structured products;
(iii) they are rated no lower than AA (long-term) or A-1 (shortterm) by Standard & Poor's (or the equivalent by another ECRA);
(iv) the securitisations are subject to rules that require issuers to retain an interest in assets that they securitise;
(v) they are traded in large, deep and active repo or cash markets with a low level of concentration;
(vi) they have a proven record as a reliable source of liquidity in the markets (repo or sale) even under stressed market conditions (that is, they showed no more than 20% decline in price (or 20 percentage points increase in haircut) over a 30-calendar-day period of significant liquidity stress);
(b) sukuk and other Shari'a-compliant marketable securities that do not fall within paragraph (a), and meet all of the following conditions:
(i) they were not issued by a financial institution nor a related party of a financial institution;
(ii) they are rated no lower than BBB- (long-term) or A-3 (short-term) by Standard & Poor's (or the equivalent by another ECRA);
(iii) they are traded in large, deep and active repo or cash markets with a low level of concentration;
(iv) they have a proven record as a reliable source of liquidity in the markets (repo or sale) even under stressed market conditions (that is, they showed no more than 20% decline in price (or 20 percentage points increase in haircut) over a 30-calendar-day period of significant liquidity stress);
(c) Shari'a-compliant equity shares that meet all of the following conditions:
(i) they were not issued by a financial institution nor a related party of a financial institution;
(ii) they are exchange-traded and centrally cleared;
(iii) they are a constituent of the QE Index or of an index that the Regulatory Authority accepts as a major stock index for the recognised exchange on which the shares are listed;
(iv) they are denominated in the currency of the firm's home jurisdiction or the currency of the jurisdiction where the firm's liquidity risk is taken;
(v) they are traded in large, deep and active repo or cash markets with a low level of concentration;
(vi) they have a proven record as a reliable source of liquidity in the markets (repo or sale) even under stressed market conditions (that is, they showed no more than 40% decline in price (or 40 percentage points increase in haircut) over a 30-calendar-day period of significant liquidity stress);
(d) sukuk and other Shari'a-compliant marketable securities that are issued by a sovereign or a central bank, are rated BBB+ to BBB- by an ECRA, and are not level 1 HQLA.
Inserted by QFCRA RM/2018-2 (as from 1st May 2018).