Technical specifications for the temporary expansion of the collateral framework

17 October 2008

With reference to the measures announced by the European Central Bank (ECB) on 15 October 2008 [1], i.e. the expansion of the list of assets eligible as collateral in Eurosystem credit operations, the Eurosystem provides a first batch of further technical specifications on the enlarged eligibility criteria which will remain in force until the end of 2009.

As of 22 October 2008, the credit threshold for marketable and non-marketable assets is lowered from “A-“ to “BBB-“, with the exception of asset-backed securities (ABS), for which the credit quality threshold of “A-“ remains into force. This implies that the Eurosystem accepts instruments that have a rating that is included in the credit quality step 3 of the Eurosystem harmonised rating scale [2]. The Eurosystem considers a probability of default (PD) over a one-year horizon of 0.40% as equivalent to the “BBB-“ credit assessment. A haircut add-on of 5% will be applied to all assets rated below “A-“.

In addition, as of 22 October 2008, the Eurosystem will accept the following additional marketable assets as collateral in its credit operations:

  • Debt instruments issued by credit institutions, including certificates of deposits, which are traded on certain non-regulated markets as specified by the ECB [3] and which fulfil all other eligibility criteria. These instruments will be subject to a 5% haircut add-on.
  • Subordinated marketable debt instruments, which are protected by an acceptable guarantee as specified in section 6.3.2 of the General Documentation and which fulfil all other eligibility criteria. These instruments will be subject to a haircut add-on of 10% and to a further 5% valuation markdown in case of theoretical valuation.

Subject to positive eligibility assessment, debt instruments issued by credit institutions which are traded on non-regulated markets, subordinated marketable debt instruments as well as the marketable assets meeting the new credit threshold will be included in the list of eligible marketable assets published and updated on a daily basis on the ECB’s website. It is the intention of the Eurosystem to include the new eligible assets mentioned above in the list of marketable assets for the first time during the regular update of the list on 21 of October 2008 at 6.30 p.m. CET.

The Eurosystem will at a later stage, but as soon as possible, address in more detail technical specifications for marketable debt instruments issued in the euro area and denominated in certain foreign currencies, namely the US dollar, the British pound or the Japanese yen, as well as euro-denominated syndicated credit claims governed by UK law.

Counterparties are invited to contact their respective national central banks on further operational implementation aspects.

[1] See

[2] See

[3] See

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