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Evangelos Tabakis

19 June 2013
Credit claims (or bank loans) represent a large share of the collateral accepted by the Eurosystem in its credit operations in recent years. Hence the techniques and procedures used in the use of credit claims as collateral have become significant elements of the monetary policy implementation mechanism in the euro area. The procedures involved in credit claim collateralisation, however, are generally more complex than those for marketable assets traded in regulated markets or in other markets accepted by the Eurosystem. While several types of credit claims are eligible as Eurosystem collateral, each type of credit claim has different characteristics which require specific considerations in the eligibility assessment. This paper provides an overview of the issues involved in the use of credit claims as collateral and relates these to some measures taken by both the public and the private sector aimed at facilitating their use in the euro area. The paper also elaborates on the syndicated loan market in the euro area as this market is sizeable, while it appears that the use of such loans as collateral remains limited.
JEL Code
E58 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Central Banks and Their Policies
G30 : Financial Economics→Corporate Finance and Governance→General
1 February 2002
The last consultative papers of the Basel Committee on Banking Supervision set the path for a future where a wealth of credit assessment sources may be available. New external credit assessment institutions and internal ratings-based assessments will be added to ratings of major international rating agencies and to benchmark assessment methods used by supervisors or central banks. In its first part, this paper contributes to the development of a toolbox to analyse and compare credit assessments by examining the ratings of three leading rating agencies on a set of credit institutions. The analysis decomposes the historical default rate corresponding to a rating into two components drawing on a 'core' of published information and an 'analyst contribution'. In the second part of the paper, correlation and variance analysis of the analyst contributions lead to a combination of the available ratings, building on both the common core and the analyst part
JEL Code
C21 : Mathematical and Quantitative Methods→Single Equation Models, Single Variables→Cross-Sectional Models, Spatial Models, Treatment Effect Models, Quantile Regressions
C51 : Mathematical and Quantitative Methods→Econometric Modeling→Model Construction and Estimation
G15 : Financial Economics→General Financial Markets→International Financial Markets
G21 : Financial Economics→Financial Institutions and Services→Banks, Depository Institutions, Micro Finance Institutions, Mortgages
G28 : Financial Economics→Financial Institutions and Services→Government Policy and Regulation