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Prof. Dr. Gerhard Merk, Dipl.rer.pol., Dipl.rer.oec.

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Eligibility for central bank credit

Credit quality class required when pledging collateral to the central bank. – At the ECB, securitized securities that meet the eligibility requirements are also included in principle. However, in the case of asset-backed securities, – only the highest-ranking senior tranche or any sub-tranches thereof are eligible, – the securities must be collateralized by receivables assumed by the special purpose entity as part of a true sale securitization, – collateralization by receivables in the form of derivatives remains excluded, and – the special purpose entity must be domiciled in the European Economic Area. – With the introduction of the Eurosystem’s Single List of collateral at the beginning of 2007, the commercial paper lost its status as eligible collateral. – See eligibility, creditworthiness analysis, central bank, tier two collateral, credit assessment framework, repo transactions, collateral, marketable, backing. – Cf. Deutsche Bundesbank Monthly Report of September 2004, pp. 59 ff. (detailed presentation), ECB Monthly Report of October 2007, pp. 93 ff. (comparison of collateral arrangements at the ECB with U.S. and Japan; many overviews), ECB Monthly Report of February 2008, p. 102 (central bank eligibility of asset-backed securities), ECB Annual Report 2008, pp. 117 f., pp. 121 f. (expansion of the list of eligible collateral during the financial crisis), Deutsche Bundesbank Annual Report 2011, pp. 46 f. (eligible collateral in general and the lowering of standards; composition of collateral submitted to the Deutsche Bundesbank).

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University Professor Dr. Gerhard Merk, Dipl.rer.pol., Dipl.rer.oec.
Professor Dr. Eckehard Krah, Dipl.rer.pol.
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