How ECB repo changes will affect new securitisations
As part of the ECB’s newly tightened eligibility criteria for repo’ed securitisations, issuers must provide additional loan-level data and, controversially, disclose cashflow models. Doug Long from Principia Partners looks at the likely impact of the new measures.
Special measures introduced via the European Central Bank’s repo facility and the Bank of England’s Discount Window Facility were responsible for the vast majority of new issuance in asset-backed and residential mortgage-backed securities in 2010. As of April 2010, banks had secured €730 billion in ECB loans by pledging ABS as collateral, according to central bank data.
These programmes still have a multi-faceted role to play in the continued recovery and return of a functioning European
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