| Non-HQLA Assets that do not meet the asset-specific tests detailed in section 20 of Regulation WW |
E-1 |
U.S. equities - Russell 1000 |
| Non-HQLA Assets that do not meet the asset-specific tests detailed in section 20 of Regulation WW |
E-2 |
Non-U.S. Equities listed on a foreign index designated to by the local supervisor as qualifying for the LCR, and denominated in USD or the currency of outflows that the foreign entity is supporting |
| Non-HQLA Assets that do not meet the asset-specific tests detailed in section 20 of Regulation WW |
G-1 |
Senior to preferred debt issued by a U.S. Government Sponsored Entity (GSE) |
| Non-HQLA Assets that do not meet the asset-specific tests detailed in section 20 of Regulation WW |
G-2 |
Vanilla debt (including pass-through MBS) guaranteed by a U.S. GSE |
| Non-HQLA Assets that do not meet the asset-specific tests detailed in section 20 of Regulation WW |
G-3 |
Structured debt (excluding pass-through MBS) guaranteed by a U.S. GSE |
| Non-HQLA Assets that do not meet the asset-specific tests detailed in section 20 of Regulation WW |
IG-1 |
Investment grade corporate debt |
| Non-HQLA Assets that do not meet the asset-specific tests detailed in section 20 of Regulation WW |
IG-2 |
Investment grade municipal obligations |
| Non-HQLA Assets that do not meet the asset-specific tests detailed in section 20 of Regulation WW |
S-1 |
Debt issued by non-U.S. Sovereigns (excluding central banks) with a 0% RW |
| Non-HQLA Assets that do not meet the asset-specific tests detailed in section 20 of Regulation WW |
S-2 |
Debt issued by multilateral development banks or other supranationals with a 0% RW |
| Non-HQLA Assets that do not meet the asset-specific tests detailed in section 20 of Regulation WW |
S-3 |
Debt with a non-U.S. Sovereign (excluding central banks) or multilateral development bank or other supranational guarantee, where guaranteeing entity has a 0% RW |
| Non-HQLA Assets that do not meet the asset-specific tests detailed in section 20 of Regulation WW |
S-4 |
Debt issued or guaranteed by a non-U.S. Sovereign (excluding central banks) that does not have a 0% RW, but supports outflows that are in the same jurisdiction of the sovereign and are denominated in the home currency of the sovereign |
| Non-HQLA Assets that do not meet the asset-specific tests detailed in section 20 of Regulation WW |
S-5 |
Debt issued by non-U.S. Sovereigns (excluding central banks) with a 20% RW, not otherwise included |
| Non-HQLA Assets that do not meet the asset-specific tests detailed in section 20 of Regulation WW |
S-6 |
Debt issued by multilateral development banks or other supranationals with a 20% RW, not otherwise included |
| Non-HQLA Assets that do not meet the asset-specific tests detailed in section 20 of Regulation WW |
S-7 |
Debt with a non-U.S. Sovereign or multilateral development bank or other supranational guarantee, where guaranteeing entity has a 20% RW, not otherwise included |