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.