Mixed Views on Impact of Basel Changes for Non-Agency MBS
January 18, 2013
Recent changes announced by the Basel Committee for pending capital standards will increase demand from private capital for non-agency MBS, according to industry participants, but some say the benefit may be muted. Last week, the Basel Committee adjusted the liquidity coverage ratio for Basel III capital requirements by expanding the definition for high quality liquid assets to include Level 2B assets. Among the assets newly eligible are certain residential MBS rated AA or higher, subject to a 25.0 percent haircut. The Basel Committee made...