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 a sovereign.
   • Assigned risk-weight greater than 20% but equal to or less than 50% under the standardized Approach of Basel II.
   • 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. Common Equity Shares which satisfy the following conditions:
   • Not an obligation of a financial institution or any of its affiliated entities.
   • Included in NSE CNX Nifty index and/or S&P BSE Sensex index.
   • Price has not decreased or haircut has not increased by more than 40% over a 30 day period during a relevant period of significant liquidity stress.
3. 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 between A+ and BBB- or an equivalent short term rating by an eligible credit rating agency.
   • Traded in large, deep and active repo or cash markets characterized by a low level of concentration.
   • 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.
   Assets classified as HQLA Level2B are assigned a 50% haircut under the regulatory scenario prescribed by RBI.