20 January 2009

ECB adjustment of risk control measures for newly issued asset-backed securities and for uncovered bank bonds

The Governing Council of the ECB decided to complement the technical refinements of risk control measures which are to take effect on 1 February 2009.

With regard to asset-backed securities (ABSs), the Eurosystem will require a rating at the AAA/Aaa level from an accepted external credit assessment institution (ECAI) at issuance as an additional eligibility criterion for all ABSs issued as of 1 March 2009. Over the lifetime of the ABS, the previously existing single A minimum rating threshold would have to be retained. Moreover, for ABSs issued as of 1 March 2009, the underlying pool should not consist, in whole or in part, of tranches of other ABSs. ABSs issued before 1 March 2009 will be exempted from the latter requirement until 1 March 2010.

With regard to uncovered bank bonds, the Eurosystem will introduce limits to their use. As of 1 March 2009, the value assigned to uncovered bank bonds issued by an issuer, or any entity with which this issuer has close links as defined in Chapter 6.2.3 of the General Documentation, must be less – after the application of haircuts – than a share of 10% in the value of the collateral pool of a counterparty, unless the market value of the assets referred to above does not exceed EUR 50 million. This limitation does not apply to uncovered bank bonds that are guaranteed by a public sector entity with the right to levy taxes. Uncovered bank bonds submitted as collateral to the Eurosystem until 20 January 2009 are subject to this limitation as from 1 March 2010.

Press release

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