Document ID: chunk:federal_register_of_legislation:F2023L00417:body:0:p26
Version: federal_register_of_legislation:F2023L00417
Segment Type: other
Provision Reference: 
Character Range: 74494–77148

Credit Assessment Institution (ECAI) rating of at least a credit rating grade 1 in item 2.3.

           Report covered bonds, not issued by the ADI itself or any of its associated entities, with an ECAI rating of at least a credit rating grade 1 in item 2.4.
Item 2.5   Item 2.5 is a derived item for the adjusted amount of HQLA2A stock calculated as the sum of items 2, 2.5.1 and 2.5.2. This amount is used for the purposes of calculating the cap on HQLA2 and HQLA2B.

           Item 2.5.1 is a derived item on the adjustment to the amount of HQLA2A due to secured lending/borrowing transactions involving HQLA2A and is calculated by the formula:

           Report the adjustment to the amount of HQLA2A as a result of collateral swaps in item 2.5.2.

Item 3     Item 3 is a derived item calculated as the sum of HQLA2B reported in items 3.1 to 3.3.

           Report residential mortgage-backed securities (RMBS) with an ECAI rating of at least a credit rating grade 1 in item 3.1.

           Report non-financial corporate securities with an ECAI rating of at least a credit rating grade 3 in item 3.2.

           Report all non-financial common equity shares in item 3.3.
Item 3.4   Item 3.4 is a derived item for the adjusted amount of RMBS HQLA2B stock calculated as the sum of items 3.1, 3.4.1 and 3.4.2. This amount is used for the purposes of calculating the cap on HQLA2B.

           Item 3.4.1 is a derived item on the adjustment to the amount of RMBS HQLA2B due to secured lending/borrowing transactions involving RMBS HQLA2B and is calculated by the formula:

           Report the adjustment to the amount of RMBS HQLA2B as a result of collateral swaps in item 3.4.2.
Item 3.5   Item 3.5 is a derived item for the adjusted amount of non-RMBS HQLA2B stock calculated as the sum of items 3.2, 3.3, 3.5.1 and 3.5.2. This amount is used for the purposes of calculating the cap on HQLA2B.

           Item 3.5.1 is a derived item on the adjustment to the amount of non-RMBS HQLA2B due to secured lending/borrowing transactions involving non-RMBS HQLA2B and is calculated by the formula:

           Report the adjustment to the amount of non-RMBS HQLA2B as a result of collateral swaps in item 3.5.2.
Item 3.6   Item 3.6 is a derived item for the adjusted amount of HQLA2B stock calculated as the sum of items 3.4 and 3.5. This amount is used for the purposes of calculating the cap on HQLA2B.

Item 4     Item 4 is a derived total calculated as the sum of items 1, 2, 3 and 4.3, less items 4.1 and 4.2.

           The formula for item 4.1 is:

           The formula for item 4.2 is:

           For an ADI that has approval