ECB takes further measures to increase collateral availibility for counterparties

[Politics.be]

On 20 June 2012 the Governing Council of the European Central Bank (ECB) decided on additional measures to improve the access of the banking sector to Eurosystem operations in order to further support the provision of credit to households and non-financial corporations. The Governing Council has reduced the rating threshold and amended the eligibility requirements for certain asset-backed securities (ABSs). It has thus broadened the scope of the measures to increase collateral availability which were introduced on 8 December 2011 and which remain applicable. In addition to the ABSs that are already eligible for use as collateral in Eurosystem operations, the Eurosystem will consider the following ABSs as eligible:


1. Auto loan, leasing and consumer finance ABSs and ABSs backed by commercial mortgages (CMBSs)
which have a second-best rating of at least “single A”1 in the Eurosystem’s harmonised credit scale,
at issuance and at all times subsequently. These ABSs will be subject to a valuation haircut of 16%.
2. Residential mortgage-backed securities (RMBSs), securities backed by loans to small and mediumsized
enterprises (SMEs), auto loan, leasing and consumer finance ABSs and CMBSs which have a
second-best rating of at least “triple B”2 in the Eurosystem’s harmonised credit scale, at issuance
and at all times subsequently. RMBSs, securities backed by loans to SMEs, and auto loan, leasing and
consumer finance ABSs would be subject to a valuation haircut of 26%, while CMBSs would be
subject to a valuation haircut of 32%.
The risk control framework with higher haircuts applicable to the newly eligible ABS aims at ensuring
risk equalisation across asset classes and maintaining the risk profile of the Eurosystem.
1 A “single-A” rating is a rating of at least A3 from Moody’s, A- from Fitch or Standard & Poor’s, or AL from DBRS.
2 A “triple-B” rating is a rating of at least Baa3 from Moody’s, BBB- from Fitch or Standard & Poor’s, or BBB from DBRS.
European Central Bank
Directorate Communications – Press and Information Division
Kaiserstrasse 29, D-60311 Frankfurt am Main
Tel.: 0049 69 1344 7455, Fax: 0049 69 1344 7404
Internet: http://www.ecb.europa.eu
Reproduction is permitted provided that the source is acknowledged.
2
The newly eligible ABSs must also satisfy additional requirements which will be specified in the legal act
to be adopted Thursday, 28 June 2012. The measures will take effect as soon as the relevant legal act enters into force.

Bron: politics.be