4.3.1.2 Identifying and Treating Level 2A Assets

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

1. Assets which satisfy the following conditions:
   • Issuer type or guarantor type is one of the following:
     • Regional Government
     • Local Authority
     • Public Sector Entity
   • The party, that is issuer or guarantor, belongs to a Member State
   • The exposure is assigned a risk weight of less than or equal to 20%.
2. Assets which satisfy the following conditions:
   • Issuer type or guarantor type is one of the following:
     • Central Bank
     • Central Government
     • Regional Government
     • Local Authority
     • Public Sector Entity
   • The party, that is issuer or guarantor, belongs to a third country.
   • The exposure is assigned a risk weight of less than or equal to 20%.
3. Covered bonds which satisfy the following criteria:
   • Are subject to special supervision which protects bondholders and whose proceeds are invested in a manner that enables the issuer to pay claims on the bonds when they arise.
   • Have an issue size of at least EUR 250 million.
   • Are assigned a minimum of credit quality step 2 credit assessment or a risk weight of <=20%.
   • Not more than 15% of the outstanding issue of covered bond is collateralized by assets issued by institutions assigned a credit quality step 1.
   • The institution and issuer meet the transparency requirements which accord preferential treatment to covered bonds.
   • The underlying asset pool is more than 7% of the outstanding amount of the covered bond when the issue size is greater than or equal to 500 EUR million.
   • The underlying asset pool is more than 2% of the outstanding amount of the covered bond when the issue size is greater than or equal to 250 and less than 500 EUR million provided the bonds are assigned a minimum credit quality step 1 credit assessment or risk weight of less than or equal to 10%.
4. Covered bonds issued by credit institutions in third countries which satisfy the following criteria:
   • Are subject to special supervision, in the third country, which protects bondholders and whose proceeds are invested in a manner that enables the issuer to pay claims on the bonds when they arise.
   • Have an issue size of at least EUR 250 million.
   • Are assigned a minimum of credit quality step 1 credit assessment or a risk weight of less than or equal to 10%.
   • Not more than 15% of the outstanding issue of covered bond is collateralized by assets issued by institutions assigned a credit quality step 1.
   • The institution and issuer meet the transparency requirements which accord preferential treatment to covered bonds.
   • The underlying asset pool is more than 7% of the outstanding amount of the covered bond when the issue size is greater than or equal to 500 EUR million and 2% of the outstanding amount when the issue size is greater than or equal to 250 and less than 500 EUR million.
   • Backed by a pool of assets of one or more of the following types mentioned:
     • Debt securities issued or guaranteed by third country’s central government or central bank or multilateral development bank or international organization that are assigned a minimum of credit quality step 1.
     • Debt securities issued or guaranteed by third country’s public sector entity or regional government or local authority bank that are assigned a minimum of credit quality step 1, and the exposure is assigned a minimum of credit quality step 2.
     • Residential loans having a maximum loan-to-value (LTV) ratio of 80% and assigned a risk weight <= 35%.
     • Loans secured by commercial immovable property having a maximum LTV ratio of 60%.
     • Maritime loans having a maximum LTV ratio of 60%.
5. Corporate debt securities which satisfy the following conditions:
   • Are assigned a rating of credit quality step 1 or risk weight less than or equal to 20%.
   • The issue size is greater than or equal to EUR 250 million.
   • The time to maturity when the security was issued was less than or equal to 10 years.
6. Sight deposits of the credit institution, which belongs to an institutional protection scheme or a cooperative network, maintained with the central institution of the network, where the central credit institution is legally required to invest the deposit amount in liquid assets of a specified level. The amount included in the stock of Level 2A assets is that portion of the deposit which is invested in Level 2A assets.

   The application assigns and applies a 15% haircut to all assets classified as level 2A except CIU’s.

7. Investments in Collective Investment Units (CIUs) which satisfy the following criteria:
   • The following information relating to the CIU is published:
     • The categories of assets in which the CIU is authorized to invest.
     • If investment limits apply, the relative limits and the methodologies to calculate them.
     • The business of the CIU on an annual basis.
   • The underlying assets of the CIU are liquid assets which are classified as Level 2A assets. This is classified by the application.
   • Should not be self-issued.
   • The issuer is subject to special supervision and it ensures sufficient cooperation with the competent authority.

   Note:

   The maximum value of the investment in CIUs by a particular entity included in the stock of HQLA is EUR 500 million across all CIUs held by the entity.