4.3.1.2 Identifying and Treating 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
     • 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.
   • Price has not decreased or haircut has not increased by more than 10% over 30 days during a relevant period of significant liquidity stress specified by the bank.
2. Corporate debt securities and covered bonds (including commercial papers), 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 (for covered bonds).
   • Price has not decreased or haircut has not increased by more than 10% over 30 days during a relevant period of significant liquidity stress which is specified by the bank.
   • Has either a long-term credit score of 1, or if the long-term rating is not available, then a short-term credit score of 1.

Note:

The credit score is a computed value based on the Credit ratings of the Instrument or Issuer or Guarantor of the securities. This classification process is documented in the Credit Quality Grade section.

Assets classified as HQLA Level 2A are assigned a 15% haircut under the regulatory scenario prescribed by HKMA.