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Collateral

General information

Article 18.1 of the Statute of the European System of Central Banks (ESCB) states that all Eurosystem credit operations have to be based on adequate collateral.

The underlying assets provided by the Eurosystem's counterparties must fulfil certain eligibility criteria in order to be classified as eligible assets. These criteria and further information on eligible assets are laid down in part 4 of "Guideline (EU) 2015/510 of the European Central Bank of 19 December 2014 on the implementation of the Eurosystem monetary policy framework (ECB/2014/60)". Eligible assets which serve as collateral for monetary policy operations may also be used as collateral for intraday credit.

The single framework comprises marketable and non-marketable assets. As a rule, no distinction is made between marketable and non-marketable assets with regard to their quality and their eligibility for individual credit operations. Accordingly, both marketable and non-marketable assets may be used on a cross-border basis in the Eurosystem. However, the Eurosystem reserves the right to exclude individual assets for collateral purposes regarding credit operations at any time.

Risk control measures

As a risk control measure, valuation haircuts are currently applied to eligible assets, depending on the type of collateral, residual maturity, credit standing and type of interest. A Eurosystem counterparty may in general not submit any assets  issued or guaranteed by itself or by an entity with which it has close links. Exempted are ABS and collateral where a close link between a counterparty and a public entity exists, or collateral that has a guarantee from a public entity with the right of raising taxes. Also not directly affected by this rule are CRR-compliant covered bonds in case their cover pools do not contain government guaranteed bonds issued by the counterparty itself or closely linked entities. However, such own-used covered bonds are subject to additional haircuts. Furthermore, the assets must meet the high credit standards laid down in the Eurosystem Credit Assessment Framework (ECAF). In the assessment of the credit quality of eligible assets, the Eurosystem will take into account information from one of the following sources: external credit assessment institutions, NCBs' in-house credit assessment systems, counterparties' internal ratings-based systems or third-party providers' rating tools. Those sources must meet certain criteria to be included in the ECAF. In principal, the credit quality threshold for eligible assets corresponds to a "BBB-" rating (investment grade). The Eurosystem considers a probability of default of 0.4% over a one-year horizon as equivalent to this threshold.

Overview of collateral

A list of marketable assets fulfilling the eligibility criteria is available on the ECB's website. The list is updated daily and is published the day before from 18.00 (CET). By contrast, the Eurosystem does not publish a list of non-marketable assets or the eligible debtors or guarantors thereof who fulfil the eligibility criteria.

General legal provisions concerning the processing of eligible assets may be found in the General Terms and Conditions of the Deutsche Bundesbank.