6.2.1.2 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:
   • Sovereign
   • Governments
   • Central banks
   • Local government organizations
   • State agencies, state enterprises
   • Public Sector Entity (PSE)
   • Multi-Lateral Development Bank (MDB
   • Assigned a 20% risk-weight under the standardized Approach of Basel II
   • Not an obligation of a financial institution or any of its affiliated entities
2. 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 specified by the bank.
3. Corporate debt securities (including commercial paper) and covered bonds/sukuk that 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;
     • A long-term credit rating by a recognized External Credit Assessment Institution (ECAI) equal to or greater than AAA or,
     • If long-term rating is not available, then a short-term credit rating by a recognized ECAI which is equal to or greater than P1 or,
     • 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 AAA
     • 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.
4. Marketable debt securities, including commercial papers, issued by Cagamas Berhad with a rating of AAA/P1 by a recognized ECAI or internally rated as having a PD corresponding to a credit rating of AAA.
5. Either has a long term rating of AAA and short term rating of P1.
6. Banker's Acceptance and Islamic Bill of Exchange. Banker's Acceptance and Islamic Bill of Exchange which satisfy the following conditions:
   • Issuer type is not the bank itself for which the computations are being carried.
   • Either has
     • A long-term credit rating by a recognized External Credit Assessment Institution (ECAI) equal to or greater than AA or,
     • If long-term rating is not available, then a short-term credit rating by a recognized ECAI which is equal to or greater than P2 or MARC2.

       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.

7. Negotiable Instruments of Deposit (NIDs) or Islamic Negotiable Instruments which satisfy the following conditions:
   • Issuer type is not the bank itself for which the computations are being carried.
   • Either has
     • A long-term credit rating by a recognized External Credit Assessment Institution (ECAI) equal to or greater than AA or,
     • If long-term rating is not available, then a short-term credit rating by a recognized ECAI which is equal to or greater than P2 or MARC2,

   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.