IBANK 8.4.14 Make-up of HQLA portfolio

(1) The whole of an Islamic banking business firm's HQLA portfolio may be made up of level 1 HQLA.
(2) In the portfolio the firm may include level 2 HQLA only up to the following limits:
(a) level 2 HQLA (including both level 2A HQLA and level 2B HQLA) — no more than 40% of the total value of the portfolio;
(b) level 2B HQLA — no more than 15% of the total value of the portfolio.
(3) For calculating the total value of the portfolio and the percentages of its value made up of each category of HQLA, the value of an asset is taken to be its market value and is subject to the appropriate haircut set out in rule 8.4.15.
(4) If an asset is involved in a transaction that matures within 30 calendar days and involves the exchange of HQLA:
(a) the transaction may be treated as having been unwound; and
(b) the asset may be included in the portfolio.
(5) Only assets held or owned by the firm on the day of calculation may be included in the calculation, regardless of their residual maturity.
(6) If an asset in the firm's portfolio that was formerly eligible as HQLA becomes ineligible (for example, because of a rating downgrade), the firm may continue to treat the asset as HQLA for a further 30 calendar days after it ceases to be eligible as HQLA, to allow the firm time to adjust its portfolio.
Inserted by QFCRA RM/2018-2 (as from 1st May 2018).