1. User Guide
  2. Bank for International Settlements Basel III Liquidity Ratio Calculation
  3. Liquidity Coverage Ratio Calculation
  4. Liquidity Ratio Calculation Process Flow
  5. Asset Level Identification
  6. Identification and Treatment of Level 2B RMBS Assets

15.2.2.1.3 Identification and Treatment of Level 2B RMBS Assets

The application identifies the Residential Mortgage Backed Securities (RMBS) which satisfy the conditions listed below as HQLA Level 2B RMBS assets:
  • Issuer type is not the bank itself for which the computations are being carried out or any of its affiliated entities.
  • Issuer type of the underlying assets is not the bank itself for which the computations are being carried out or any of its affiliated entities.
  • 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
  • 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 which is specified by the bank.
  • The underlying asset pool consists of residential mortgages only and does not contain any structured products.
  • The underlying mortgages are “full recourse’’ loans and have a maximum Loan-To-Value ratio (LTV) of 80% on average at issuance.
  • The securitizations are subject to “risk retention” regulations which require issuers to retain an interest in the assets they securitize.