The Bank of England published today a consultative paper entitled "Extending the Discount Window Facility (DWF) eligible collateral and information transparency for asset-backed securitisations". The second part of the paper seeks views on the Bank’s initiative to require greater transparency in relation to asset-backed securities and covered bonds as part of the eligibility criteria for instruments accepted in its operations, including the extended-collateral long-term repo operations, the Special Liquidity Scheme and the DWF.
More specifically, the document focuses on a number of proposed initiatives to improve transparency of ABS information includi
- Provision of loan-level data and inclusion of certain stratification tables in investor reports;
- Availability of cash-flow models;
- Availability of legal documentation and summary of structural features; and Provision of monthly investor reports (including disclosure of mark-to-market of swaps and account balances and permitted investments).
The deadline for comments is 30 April 2010.
