ECB reviews its risk control framework for collateral assets
To maintain adequate risk protection, the European Central Bank (ECB) regularly adjusts its collateral eligibility rules and risk control measures applied when accepting collateral in Eurosystem monetary policy operations.
The Governing Council of the ECB has decided on a number of measures to improve the overall consistency of the framework. The Governing Council decided in particular, with effect from 1 January 2017, to:
1. Update the haircuts for marketable and non-marketable assets;
2. Introduce graduated haircuts for eligible asset-backed securities (ABS) based on their Weighted Average Life (WAL) as calculated from expected cash flows
Moreover, the Governing Council decided to:
3. Introduce graduated haircuts depending on remaining maturity also for floating-rate assets, which are currently assigned a flat haircut irrespective of their maturities
4. Adjust the risk control measures for retained covered bonds with extendible maturities (e.g. soft bullet and conditional pass-through covered bonds) to take into account the additional risk which results from the use of such securities by the issuer itself and to ensure a level playing field between securities with comparable risks
As regards the first two measures, the new haircut schedules are defined in the new Guidelines ECB/2016/32 and ECB/2016/33 (amending Guideline ECB/2015/35 and Guideline ECB/2014/31, relating to the general and the temporary collateral framework, respectively). These guidelines have become available on the ECB’s website. As regards the last two measures, they will become applicable at a date to be announced in the second half of 2017.
For media queries, please contact William Lelieveldt, tel.: +49 69 1344 7316.
Latest News from
Antitrust: Commission confirms inspection in the car sector in Germany23/10/2017 16:10:00
The EC can confirm that as of 16 October 2017 its officials carried out an unannounced inspection at the premises of a car manufacturer in Germany.
New action plan to foster development of advanced therapies23/10/2017 14:10:00
The EC's Directorate-General for Health and Food Safety and the EMA recently published a joint action plan to foster the development of advanced therapy medicinal products (ATMPs).
Unparalleled access to clinical data - one year on23/10/2017 12:47:00
Over 3,000 clinical documents published, 3,600 registered users and positive stakeholder feedback.
EU budget post 202021/10/2017 11:10:00
Stronger own resources should not mean a "tax for Europe" but a more transparent and efficient budget, regions and cities say