ABS haircut switch could raise €120bn

27 Oct 2011

European banks could gain access to €120bn of liquidity if haircuts on ABS presented for repo at the European Central Bank were relaxed, according to Royal Bank of Scotland.

Speculation is mounting that the ECB could relax its punitive 16% haircut on some ABS, in return for some guarantee of transparency or disclosure.

As the central bank is already committed to introducing loan-level disclosure for ABS, the most likely criterion for a relaxed haircut would be Afme ...

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