1. Liquidity Risk Regulatory Calculations for Monetary Authority of Singapore User Guide
  2. Liquidity Coverage Ratio Calculation
  3. Process Flow
  4. Identification of Asset Levels
  5. Identification and Treatment of Level 2B(II) RMBS Assets

4.2.1.4 Identification and Treatment of Level 2B(II) RMBS Assets

The application identifies the Residential Mortgage Backed Securities (RMBS) satisfying the conditions listed below as HQLA Level 2B(II) RMBS Assets:

  • Issuer type is not the bank 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.
  • Assigned a rating equal to or greater than AA.
  • Price has not decreased or haircut has not increased by 20% over a 30-day period during a relevant period of significant liquidity stress 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 less than or equal to 80%.
  • The securitizations are subject to “risk retention” regulations which require issuers to retain an interest in the assets they securitize.