Decision of the European Central Bank of 26 September 2013 on additional measures relating to Eurosystem refinancing operations and eligibility of collateral (ECB/2013/35) (2013/645/EU) (repealed)

Article 6 Additional high credit standards for marketable assets

1. The ECAI credit assessment of marketable assets other than asset-backed securities, mentioned in Section 6.3.2(a) ECAI credit assessment, of Annex I to Guideline ECB/2011/14, shall be subject to the following criteria:

(i)

At least one credit assessment from an accepted ECAI(1) for either the issue or, in the absence of an issue rating from the same ECAI, the programme/issuance series under which the asset is issued, must comply with the Eurosystem’s credit quality threshold(2). The ECB publishes the credit quality threshold for all accepted ECAIs, as established under Section 6.3.1 of Annex I to Guideline ECB/2011/14(3). If multiple ECAI credit assessments are available for the same issue or, if applicable, for programme/issuance series, then the first-best rule (i.e. the best available ECAI credit assessment for the issue or, if applicable, for the programme/issuance series) is applied. If the first-best credit assessment for the issue or, if applicable, for the programme/issuance series does not comply with the Eurosystem’s credit quality threshold, the asset is not eligible, even if a guarantee acceptable under Section 6.3.2(c) of Annex I to Guideline ECB/2011/14 exists. In the absence of an ECAI credit assessment for the issue or, if applicable, the programme/issuance series, the best available ECAI credit assessment for the issuer or the guarantor (if the guarantee is acceptable under Section 6.3.2(c) of Annex I to Guideline ECB/2011/14) must comply with the Eurosystem’s credit quality threshold for the asset to be eligible.

(ii)

For ECAI issue and programme/issuance series ratings, no distinction by original maturity of the asset is made for the purposes of establishing high credit standards for marketable assets. Any ECAI rating assigned to the issue or programme/issuance series that meets the Eurosystem credit quality threshold is acceptable. As regards the ECAI issuer/guarantor rating, the acceptable ECAI credit assessment depends on the original maturity of the asset. A distinction is made between short-term assets (meaning those assets with an original maturity of up to 390 days) and long-term assets (meaning those assets with an original maturity of more than 390 days). For short-term assets, ECAI short-term and long-term issuer ratings and long-term guarantor ratings are acceptable, on a first-best rule basis. For long-term assets, only ECAI long-term issuer or long-term guarantor ratings are acceptable.

2. The credit quality threshold applicable to asset-backed securities subject to the loan-level data reporting requirements, as specified in the Eurosystem credit assessment framework in Section 6.3.2(b) ECAI credit assessment of asset-backed securities- of Annex I to Guideline ECB/2011/14, shall correspond to Credit Quality Step (CQS) 2 of the Eurosystem’s harmonised rating scale (‘single A’(4)) both at issuance and over the lifetime of the asset-backed security. The other requirements under Section 6.3.2(b) ECAI credit assessment of asset-backed securities- of Annex I to Guideline ECB/2011/14 shall remain unaltered.

3. Asset-backed securities that do not comply with the loan-level data reporting requirements shall remain subject to the credit assessment requirements foreseen in Section 6.3.2(b)-ECAI credit assessment of asset-backed securities- of Annex I to Guideline ECB/2011/14.

4. In the absence of an ECAI credit assessment for the issue (or, if applicable, the programme/issuance series) rating, the high credit standards for marketable assets, other than asset-backed securities, can be established on the basis of guarantees provided by financially sound guarantors as referred to in Section 6.3.2(c) of Annex I to Guideline ECB/2011/14. The financial soundness of the guarantor is assessed on the basis of long-term ECAI guarantor ratings meeting the Eurosystem’s credit quality threshold. The guarantee shall meet the requirements set out in points (i) to (iv) of Section 6.3.2(c) of Annex I to Guideline ECB/2011/14.

(1)

The accepted ECAIs, ICASs and third-party RTs and their providers are listed on the ECB’s website at www.ecb.europa.eu

(2)

An ECAI assessment for a programme/issuance series is only relevant if it applies to the particular asset and no different issue rating from the same ECAI exists.

(3)

This information is published on the ECB’s website at www.ecb.europa.eu

(4)

A ‘single A’ rating is a rating of at least ‘A3’ from Moody’s, ‘A-’ from Fitch or Standard & Poor’s, or ‘AL’ from DBRS.