1. User Guide
  2. Liquidity Coverage Ratio Calculation
  3. Process Flow
  4. Identification of Asset Levels
  5. Identification and Treatment of Level 2A Assets

5.2.1.2 Identification and Treatment of Level 2A Assets

The application identifies the following assets as HQLA Level 2A assets:

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

  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
    • 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.
  2. Debt securities issued in foreign currencies by governments, central banks, local government organizations, state agencies, state enterprises, Bank for International Settlements (BIS), International Monetary Fund (IMF), European Central Bank (ECB), European Community (EC) or Multilateral Development Banks (MDBs) that are assigned a 0% risk-weight under the Standardised Approach, but excluding debt securities issued by commercial banks, companies in the financial business group of commercial banks including head offices and other branches, parent company, affiliates and subsidiaries located in both domestic and overseas, finance companies, and where the banks do not have stressed net cash outflows in that specific foreign currency are allowed to be counted as HQLA Level 2A with unlimited amount, if the securities are denominated in US dollar, Pound sterling, Euro, Yen, and Chinese Yuan Renminbi.
  3. Debt securities issued by state enterprises or Specialized Financial Institutions (SFI) whose principals and interests are not guaranteed by the Ministry of Finance, and assigned a rating of equal to or greater than A. If a rating has not been assigned, the securities must have the status "no problem" according to the State Enterprises Policy Committee (SEPO) guidelines.
  4. 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 (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 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 AA- or,
      • If it does not have an 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.
  5. Promissory Note issued by the Ministry of Finance

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