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.