ECB Text: Further Measures To Lift Collateral Availability
FRANKFURT (MNI) – The European Central Bank on Friday announced
further measures to increase collateral availability for counterparties.
Following is the text of the ECB’s press release:
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 medium-sized 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.
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.