14.2.2.1.2 Identifying and Treating 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
     • Central Bank
     • Public Sector Entity
     • Multi-lateral Development Bank
   • They are assigned a 20% risk-weight under the standardized Approach of Basel II.
   • 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.
   • Not an obligation of a financial institution or any of its affiliated entities.
2. Corporate debt securities (including commercial paper) and covered bonds 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 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.