Recent collateral requirements from the European Central Bank appear to be creating, among other things, some demand for new second ratings of older mortgage-backed securities and potentially other deals.
DBRS, for example, has been asked to provide new second ratings on at least one class of mortgage-backed securities from 2008 because new ECB collateral requirements are calling for two ratings, an analyst told this publication.
In addition, European originators of and investors in asset-backed securities have formed an independent group of market participants to oversee plans to create an ABS data warehouse that will fulfill plans by the ECB’s governing council to establish loan-level data requirements for collateral.
That group, the Market Group, is currently working on selecting a company to construct the data warehouse.
