15.2.2.1.1 Identification and Treatment of Level 1 Assets

Level 1 assets are the assets which qualify to be fully included as part of the stock of high quality liquid assets computing LCR:

1. Cash which includes coins and bank notes. The value included in the stock of HQLA is the cash balance.
2. Central bank reserves (including required reserves), to the extent that the central bank policies allow them to be drawn down in times of stress. These include,
   1. Banks’ overnight deposits with the central bank
   2. Term deposits with the central bank that satisfy the following conditions:
      • They are explicitly and contractually repayable on notice from the depositing bank
      • They constitute a loan against which the bank can borrow on a term basis or on an overnight but automatically renewable basis (only where the bank has an existing deposit with the relevant central bank)

      Central bank reserves include the balance held by a bank at the central bank directly or through a correspondent bank less any minimum reserve requirement. The value of eligible term deposits that is included is the amount net of any withdrawal penalty.

3. Marketable securities which satisfy the following conditions:
   • Issuer type or Guarantor Type is one of the following:
     1. Sovereign
     2. Central Bank
     3. Public Sector Entity
     4. Multi-lateral Development Bank
     5. The Bank For International Settlements (BIS)
     6. The International Monetary Fund
     7. The European Central Bank and European Commission
   • They are assigned a 0% risk-weight under the standardized Approach of Basel II
   • Not an obligation of a financial institution or any of its affiliated entities
4. Debt securities issued in domestic currencies in the country in which the liquidity risk is being taken or in the bank’s home country where the issuer type is sovereign or central bank and the risk weight assigned to the sovereign is greater than 0%.
5. Debt securities issued in foreign currencies are eligible up to the amount of the bank’s stressed net cash outflows in that specific foreign currency stemming from the bank’s operations in the jurisdiction where the bank’s liquidity risk is being taken, where the issuer type is domestic sovereign or central bank and the risk weight assigned to the sovereign is greater than 0%.