5.2.1.2 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
     • 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.
2. Corporate debt securities, including commercial papers, which satisfy the following conditions:
   • Not an obligation of a financial institution or any of its affiliated entities.
   • Assigned a long term rating of equal to or greater than AA- or an equivalent short term rating by an eligible credit rating agency.
   • Not a complex structured product or subordinated debt.
   • 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.
3. Assets classified as HQLA Level2A are assigned a 15% haircut under the regulatory scenario prescribed by RBI.