PRU A10.2.7

(1) Level 2A HQLA must be valued at market value and subject to a 15% haircut.
(2) Level 2A HQLA consists of:
(a) marketable Securities representing claims on or guaranteed by sovereigns, central banks, PSEs or MDBs that satisfy all of the following conditions:
(i) they are assigned a 20% or lower risk-weight according to Chapter 4 and App4 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 (i.e. maximum decline of price or increase in haircut over a 30-day period during a relevant period of significant liquidity stress not exceeding 10%); and
(iv) they are not an obligation of a Financial Institution or any of its associated entities;
(b) corporate debt Securities (including commercial paper) and covered bonds that satisfy all of the following conditions:
(i) in the case of corporate debt Securities: they must not be issued by a Financial Institution or any of its associated entities and must include only plain vanilla assets (i.e. not include complex Structured Products or subordinated debt) whose valuation is readily available based on standard methods and does not depend on private knowledge;
(ii) in the case of covered bonds: they must not be issued by the Authorised Person itself or any of its associated entities;
(iii) the assets must have a Credit Quality Grade of 1, or if the assets do not have a credit assessment by a recognised ECAI, they must be internally rated as having a probability of default (PD) corresponding to a Credit Quality Grade of 1;
(iv) they must be traded in large, deep and active repo or cash markets characterised by a low level of concentration; and
(v) they must have a proven record as a reliable source of liquidity in the markets (repo or sale) even during stressed market conditions (i.e. maximum decline of price or increase in haircut over a 30-day period during a relevant period of significant liquidity stress not exceeding 10%); and
(c) any other types of assets approved by the Regulator under Rule A10.2.9 as being eligible to be Level 2A HQLA.