(1) Assets which are readily marketable are included in the Maturity Ladder in the sight-eight days time band, generally at a discount to their recorded value calculated in accordance with (4).
(2) An asset is regarded as readily marketable if:
(a) prices are regularly quoted for the asset;
(b) the asset is regularly traded;
(c) the asset may readily be sold, including by repurchase agreement, either on an exchange, or in a deep and liquid market for payment in cash; and
(d) settlement is according to a prescribed timetable rather than a negotiated timetable.
(3) The Regulator may allow, on a case by case basis, an Authorised Person to include a longer term asset which is relatively easy to liquidate in the sighteight days time band.
(4) The discount factor to be applied to types of marketable assets must be determined by reference to the following table and Rules A10.2.6 to A10.2.9:
|Marketable Asset||Discount factor|
|Level 1 HQLA||0%|
|Level 2A HQLA||15%|
|Level 2B HQLA – eligible asset –backed securities||25%|
|Level 2B HQLA – other HQLA||50%|
|Non-HQLA eligible trading assets that are Investment Grade||60%|
(5) The Regulator may vary the discount factors to reflect the conditions of a particular market or institution.