European Commission accepts ABS as a Level 2B asset

Recognising the good liquidity performance of certain securitisations and to ensure consistency across financial sectors, the Commission has made some securitisation instruments eligible as level 2b assets for credit institutions’ liquidity buffers. To qualify for these purposes, ABS instruments will have to meet certain high quality requirements identical to those that will apply under the Solvency II delegated act. They will be subject, however, to certain additional requirements specific to liquidity, such as a minimum issue size (EUR 100 million) or a maximum weighted average life (no more than 5 years). A minimum issue size improves market liquidity and shorter maturities means they convert more quickly into cash.

The full document from the European Commission is available here.

Related Posts

Previous Post
Eurex: analysis of single pool margining for a fully hedged EUR IRS portfolio with EURIBOR and EUR fixed income futures
Next Post
Major Banks Agree to Sign ISDA Resolution Stay Protocol

Related Posts

Fill out this field
Fill out this field
Please enter a valid email address.

Menu
X

Reset password

Create an account