1. User Guide
  2. Liquidity Coverage Ratio Calculation
  3. Process Flow
  4. Identification of Asset Levels
  5. Identification and Treatment of Level 2B RMBS Assets

6.2.1.3 Identification and Treatment of Level 2B RMBS Assets

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

  • Residential mortgage-backed securities (RMBS) issued by Cagamas MBS Berhad that either have long term rating of AAA by a recognized ECAI or equivalent short term rating.
  • Are already included in a level 1 asset.

    Assets classified as HQLA level 2B RMBS asset and not level 2B Non-RMBS are assigned a 15% haircut under the regulatory scenario prescribed by BNM.