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

20 January 2009

The Governing Council of the European Central Bank (ECB) decided today to complement the technical refinements of risk control measures – which are to take effect on 1 February 2009 – it had announced on 4 September 2008 with the following additional adjustments [1]:

  1. 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.
  2. 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, [2] 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.

As do the earlier measures, the current adjustments aim at fully preserving the key features of the Eurosystem’s framework for credit operations, such as the wide-ranging eligibility of collateral and the broad access of Eurosystem counterparties to central bank liquidity, while maintaining an adequate level of risk protection for the Eurosystem. The Eurosystem’s collateral framework has proved to be robust and efficient over the years, also during the recent episode of financial market turbulence. In particular, the acceptance of a wide range of collateral contributes to the resilience of euro area financial markets.

In addition, the changes under (1) above, which reflect the actual use of eligible ABSs by counterparties and recent developments in ABS markets, aim at contributing to the restoration of a proper functioning of the ABS market.

  1. [1] Moreover, the ECB had announced a number of measures on 15 October 2008 to further expand the collateral framework until the end of 2009. These measures are not affected by the adjustments announced in today's press release.

  2. [2] ECB, “The implementation of monetary policy in the euro area: General documentation on Eurosystem monetary policy instruments and procedures”, 12 November 2008 (


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