5.2.1.3 Identification and Treatment of Level 2B Assets

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

1. Marketable securities which satisfy the following conditions:
   • Issuer type or guarantor type is one of the following:
     • Governments
     • Central banks
     • Local government organizations
     • State agencies
     • State enterprises or,
     • Multilateral Development Banks (MDBs)Assigned risk-weight of 50% 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 20% over a 30 day period during a relevant period of significant liquidity stress
2. Debt securities issued in foreign currencies by governments, central banks, local government organizations, state agencies, state enterprises, or Multilateral Development Banks (MDBs) that are assigned a 20% risk-weight under the Standardized 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, where the banks do not have stressed net cash outflows in that specific foreign currency are allowed to be counted as HQLA Level 2B with unlimited amount, if the securities are denominated in US dollar, Pound sterling, Euro, Yen, and Chinese Yuan Renminbi.
3. Bills of Exchange or Promissory Notes issued by Specialized financial institutions (SFI)
4. Corporate debt securities, which satisfy the following conditions:
   • Not an obligation of a financial institution or any of its affiliated entities
   • Assigned a rating equal to or between A to A+ by an eligible credit rating agency

Assets classified as HQLA Level 2B are assigned a 50% haircut under the regulatory scenario prescribed by BOT.