(1) Level 1 HQLA must be valued at market value.
(2) Level 1 HQLA consists of:
(a) banknotes and coin;
(b) central bank reserves, to the extent that such reserves are capable of being drawn down immediately in times of stress;
(c) marketable Securities representing claims on or claims guaranteed by sovereigns, central banks, Public Sector Entities (PSEs), the Bank for International Settlements, the International Monetary Fund, the European Central Bank and European Commission or Multilateral Development Banks (MDBs), and that satisfy all of the following conditions:
(i) they are assigned a zero % risk-weight according to Chapter 4
of this Rulebook;
(ii) they are traded in large, deep and active repo or cash markets characterised by a low level of concentration;
(iii) they have a proven record as a reliable source of liquidity in the markets (repo or sale) even during stressed market conditions; and
(iv) they are not an obligation of a Financial Institution or any of its associated entities;
(d) in the case of sovereigns that are not eligible for a risk-weight of zero, sovereign, or central bank debt Securities issued in domestic currencies by the sovereign or central bank in the country in which the Liquidity Risk is being taken or in the Authorised Person's home jurisdiction, where those Securities satisfy all of the conditions in paragraph (c) (ii)(iii) and (iv);
(e) in the case of sovereigns that are not eligible for a risk-weight of zero, domestic sovereign or central bank debt Securities issued in foreign currencies, up to the amount of the Authorised Person's stressed net cash outflows in that specific foreign currency stemming from the Authorised Person's operations in the jurisdiction where the Authorised Person's Liquidity Risk is being taken, where those Securities satisfy all of the conditions in paragraph (c) (ii)(iii) and (iv); and
(f) any other types of assets approved by the Regulator under Rule A10.2.9
as being eligible to be Level 1 HQLA.