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Amendments to “The implementation of monetary policy in the euro area: General documentation on Eurosystem monetary policy instruments and procedures” relating to asset-backed securities

13 January 2006

The European Central Bank (ECB) is today publishing amendments to the document entitled “The implementation of monetary policy in the euro area: General documentation on Eurosystem monetary policy instruments and procedures” (referred to as the “General Documentation”) in order to clarify the criteria on which the eligibility of asset-backed securities for use in Eurosystem credit operations is assessed. In the past, the Eurosystem has not applied specific eligibility criteria to asset-backed securities, which belong to the category of debt instruments. Instead, it has interpreted the general tier one eligibility criterion stipulating that debt instruments must have “a fixed, unconditional principal amount” as excluding those asset-backed securities in which the credit risk has been transferred to a special purpose vehicle using credit derivatives. The amendments have therefore been introduced to increase the overall transparency of the collateral framework by specifying the precise criteria that have to be fulfilled by asset-backed securities in addition to the criteria applicable to debt instruments in general. As a result of the introduction of the new criteria, it has also been decided that the “fixed, unconditional principal amount” requirement will no longer apply to asset-backed securities. This is because the principal amount of all asset-backed securities is usually dependent on the performance of the underlying assets.

The new criteria relate to the following five aspects:

  1. The structure of the transaction. The cash-flow generating assets must be legally acquired in accordance with the laws of a Member State from the originator or an intermediary by the securitisation special purpose vehicle in a manner which the Eurosystem considers to be a “true sale” that is enforceable against any third party. They must be beyond the reach of the originator and its creditors, including in the event of the originator’s insolvency.
  2. The composition of the pool of assets. The cash-flow generating assets must not consist of credit-linked notes or similar claims resulting from the transfer of credit risk by means of credit derivatives.
  3. The seniority of the tranches. Debt instruments affording rights to the principal and/or the interest that are subordinated to the rights of holders of other debt instruments of the same issuer (or, within a structured issue, subordinated to other tranches of the same issue) are excluded from tier one. A tranche (or sub-tranche) is considered to be non-subordinated vis-à-vis other tranches (or sub-tranches) of the same issue and is “senior” if – in accordance with the priority of payment applicable after the delivery of an enforcement notice, as set out in the offering circular – that tranche (or sub-tranche) receives payment (principal and interest) in priority to other tranches or other sub-tranches or is last in incurring losses in relation to underlying assets.
  4. The issuer’s country of residence. Asset-backed securities issued by entities established in the G10 countries that are not part of the European Economic Area (EEA) – currently the United States, Canada, Japan and Switzerland – are not eligible. This criterion is introduced to avoid the additional legal complexities that would arise if the Eurosystem needed to assess whether its rights were sufficiently protected under the laws of such countries.
  5. The eligibility assessment. The Eurosystem reserves the right to request from any relevant third party (such as the issuer, the originator or the arranger) any clarification and/or legal confirmation that it considers necessary to assess the eligibility of asset-backed securities.

Note, however, that the above criteria as well as the exception from the “fixed, unconditional principal amount” requirement do not apply to covered bank bonds issued in accordance with Art 22(4) of the UCITS Directive (85/611/EEC as amended).

The General Documentation including the above amendments is an annex to Guideline ECB/2005/17 amending Guideline ECB/2000/7 on monetary policy instruments and procedures of the Eurosystem. The amending Guideline has been adopted by the Governing Council of the ECB and the amendments will apply from 1 May 2006.

Asset-backed securities which are eligible pursuant to Guideline ECB/2005/2 but do not fulfil the above criteria will remain eligible for a transitional period until 15 October 2006.

The Governing Council has also decided that units of French fonds communs de créances (FCCs) in the tier one list will remain eligible for a transitional period until 30 December 2008.


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