03 November 2016

ECB amends Guidelines relating to the Eurosystem’s monetary policy implementation

These guidelines provide amendments to the General Documentation Guideline on the implementation of the Eurosystem’s monetary policy, the Guideline on Valuation Haircuts and the Guideline on Additional Temporary Measures relating to Eurosystem refinancing operations and eligibility of collateral.

The new European Central Bank’s(ECB) Guidelines introduce changes to the monetary policy implementation framework, including:

• First, the Eurosystem is introducing some changes to the collateral eligibility criteria and risk control measures with respect to senior unsecured debt instruments issued by credit institutions or investment firms.
• Second, the Eurosystem is amending the rules on acceptable coupon structures to make certain assets with negative cash flows eligible. According to the new requirements, negative cash flows are allowed for coupon payments of marketable assets and for non‑marketable debt instruments backed by eligible credit claims (DECCs) so as to reflect the current context of low/negative market rates
• Third, in the context of asset-backed securities (ABS) loan-level data, the Eurosystem is further clarifying the criteria for a loan-level data repository to become “designated by the Eurosystem” and the application process for designation. Only ABS for which loan-level data submissions have been made to “designated” repositories may be considered for compliance with the Eurosystem’s ABS loan-level requirements.
• Fourth, as a further specification to the collateral eligibility criteria relating to credit claims, as of 1 January 2018 the Eurosystem is explicitly requiring that only those credit claims be mobilised as collateral for Eurosystem credit operations in which the set-off risk has been excluded or significantly mitigated.
• Fifth, the Eurosystem is updating the haircut schedules for assets used as collateral in monetary policy operations, as detailed in a dedicated press release. These adjustments aim to improve the general consistency of the framework while having an overall minimal effect on the amount of collateral available.
• Sixth, the Eurosystem is introducing minimum disclosure requirements for covered bond ratings issued by credit rating agencies accepted in the Eurosystem credit assessment framework (ECAF). According to these requirements, as of 1 July 2017, credit rating agencies will be required to publish new issue reports and quarterly surveillance reports for rated covered bond programmes in order to meet the high credit standards of the ECAF.
• Seventh, the Eurosystem is clarifying the acceptance criteria for credit rating agencies as External Credit Assessment Institutions in the ECAF.

Press release

New guidelines

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