1. User Guide
  2. Bank for International Settlements Basel III Liquidity Ratio Calculation
  3. Liquidity Coverage Ratio Calculation
  4. Liquidity Ratio Calculation Process Flow
  5. Asset Level Identification
  6. Identification and Treatment of Level 2A Assets

15.2.2.1.2 Identification and Treatment of Level 2A Assets

The application identifies the following assets as HQLA Level 2A assets.
  1. 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
    • They are assigned a 20% risk-weight under the standardized Approach of Basel II.
    • Price has not decreased, or haircut has not increased by more than 10% over a 30-day period during a relevant period of significant liquidity stress which is specified by the bank.
    • Not an obligation of a financial institution or any of its affiliated entities.
  2. Corporate debt securities (including commercial paper) and covered bonds which satisfy the following conditions:
    • Issuer type is not a financial institution or its affiliated entities.
    • Issuer type is not the bank itself for which the computations are being carried out or any of its affiliated entities (in case of covered bonds)
    • Either has
      1. A long-term credit rating by a recognized External Credit Assessment Institution (ECAI) equal to or greater than AA- or,
      2. If long-term rating is not available, then a short-term credit rating by a recognized ECAI which is equal to or greater than AA- or,
      3. If it does not have assessment by a recognized ECAI, the probability of default as per the internal rating corresponding to a rating which is equal to or greater than AA-
    • Price has not decreased or haircut has not increased by more than 10% over a 30-day period during a relevant period of significant liquidity stress which is specified by the bank.