The effect and risks of ECB collateral framework changes
Résumé
During the crisis, the ECB modified its collateral framework to
face increased liquidity needs of commercial banks. This has
taken two forms: the minimum required rating for different
classes of assets has been reduced and the haircut associated to
these assets has evolved conditional on the default risks of these
assets. The benefits in terms of cushioning a liquidity crisis and
enhancing monetary policy transmission have most probably
exceeded the costs in terms of riskier central bank balance sheet
and potential capital losses.
This document was provided by Policy Department A at the
request of the Economic and Monetary Affairs Committee.
Domaines
Economies et finances
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