At the end of January 2026, the European Central Bank (ECB) published a series of amendments to its monetary policy guidelines for the implementation of monetary policy. The amendments primarily affect the General Documentation, the Temporary Framework, the Valuation Haircuts Framework, and the Collateral Management Guideline. Most of the changes will come into effect on March 30, 2026, and will therefore also affect the treatment of asset-backed securities (ABS) as eligible collateral in the Eurosystem. From an ABS perspective, the changes can be divided into three key areas.
Introduction of an explicit rule on residual value risk
The definition of “leasing receivables” previously contained in the General Documentation is deleted. Instead, the eligibility criteria explicitly stipulate that the issuer of an ABS must not be exposed to residual value risk (RV risk).
The new definition of RV risk covers in particular situations in which:
- Payments are systematically dependent on the sale or refinancing of an asset without the debtor being liable for any shortfall in proceeds.
- the debtor has the option of transferring the asset instead of making payment (“full settlement”) without being liable for any difference,
- this applies regardless of any guarantees or repurchase obligations of third parties.
In our view, the new definition serves to clarify the ECB’s previous application practice and should not result in securitisations recognised as collateral by the ECB losing their status – this is also the opinion of persons familiar with the matter from the Eurosystem.
Integration of elements of the Temporary Framework into the permanent regime
The Governing Council of the ECB has decided to incorporate selected crisis-related easing measures into the permanent collateral framework. For ABS, this means in particular:
- The permanent eligibility of marketable collateral denominated in US dollars, British pounds, or Japanese yen (with additional valuation haircuts of 16% and 26% respectively continuing to apply).
- The possibility of using ABS with a second-best credit rating of CQS3 (BBB+ to BBB-) as eligible collateral, provided that additional requirements are met (including close link restrictions, no NPLs, no structured or leveraged loans, servicing continuity arrangements). Increased haircuts apply to these securities.
This consolidates some of the flexibilities introduced during the pandemic without changing the basic structure of the collateral framework.
Alignment of loan-level reporting requirements with the EU Securitisation Regulation
Since October 2024, ABSs have been required to report their loan-level data via a securitisation register registered with ESMA in accordance with Article 7 of the EU Securitisation Regulation in order to be eligible for the ECB. The ECB no longer uses its own templates; the current changes merely simplify the editorial layout.
It remains relevant in practice that even “private” securitisations that are not subject to prospectus requirements must continue to opt voluntarily into ESMA reporting for ECB eligibility purposes. Against the backdrop of the ongoing reform discussions on the EU Securitisation Regulation – in particular on streamlining and revising transparency requirements – the ECB is likely to closely monitor the European legislative process.
In addition, the update contains further non-ABS-specific adjustments (including the introduction of a “climate factor” in the rating system) that affect the collateral framework as a whole.
Conclusion
In our view, the published changes are mainly clarifications and systematic adjustments to the existing framework. As things stand at present, no material tightening of requirements is to be expected for securitisations. At the same time, it is clear that the ECB is closely monitoring the ongoing legislative process in Brussels on securitisations, particularly with regard to transparency and reporting requirements, and is aligning its requirements closely with this.