Released January 2015
Introduction
BASEL III introduced major changes to the calculation of risk-based capital. It had direct effects on our clients that:
- Owned mortgage servicing rights;
- Owned TruPs;
- Owned non-Agency MBS; and/or
- Sold loans to the FHLBanks under a limited recourse program.
Guidance regarding reporting for mortgage servicing rights and the FHLB credit enhancement obligation can be found in Wilary Winn’s Accounting and Regulatory Guidance for the Mortgage Partnership Finance® Program (April 2020, Version 11), available on the Resources page of our website.
The focus of this paper is the risk weightings for securitizations, including the synthetic securitization arising from the MPF program credit enhancement.