Am späten Abend des 8. Januar 2013 hat das Baseler Committee seine bis dahin gute Botschaft bezüglich ABS in der LCR präzisiert. Demnach würden wahrscheinlich nur UK RMBS in den Vorzug kommen, in die Level 2 Assets bei der LCR aufgenommen zu werden.
So heißt es hier:
(a) Residential mortgage backed securities (RMBS) that satisfy all of the following conditions may be included in Level 2B, subject to a 25% haircut:
- not issued by, and the underlying assets have not been originated by the bank itself or any of its affiliated entities;
- have a long-term credit rating from a recognised ECAI of AA or higher, or in the absence of a long term rating, a short-term rating equivalent in quality to the long-term rating;
- traded in large, deep and active repo or cash markets characterised by a low level of concentration;
- have a proven record as a reliable source of liquidity in the markets (repo or sale) even during stressed market conditions, ie a maximum decline of price not exceeding 20% or increase in haircut over a 30-day period not exceeding 20 percentage points during a relevant period of significant liquidity stress;
- the underlying asset pool is restricted to residential mortgages and cannot contain structured products;
- the underlying mortgages are “full recourse’’ loans (ie in the case of foreclosure the mortgage owner remains liable for any shortfall in sales proceeds from the property) and have a maximum loan-to-value ratio (LTV) of 80% on average at issuance; and
- the securitisations are subject to “risk retention” regulations which require issuers to retain an interest in the assets they securitise.
Durch die LTV-Festlegung blieben sogar holländische RMBS außen vor, ebenso SME und Auto-ABS.
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