1.In addition to asset-backed securities (ABS) eligible under Chapter 6 of the General Documentation, ABS whose underlying assets include either only residential mortgages or only loans to small and medium-sized enterprises (SMEs) shall be eligible as collateral for Eurosystem monetary policy operations even if those ABS do not fulfil the credit assessment requirements under Section 6.3.2 of the General Documentation but otherwise comply with all eligibility criteria applicable to ABS pursuant to the General Documentation, provided that they have a second-best rating of at least the Eurosystem’s minimum threshold of credit quality step 2 of the Eurosystem’s harmonised rating scale, as referred to in Section 6.3.1 of the General Documentation, at issuance and at any time subsequently. They shall also satisfy all the following requirements:
(a)the cash-flow generating assets backing the ABS shall belong to the same asset class, i.e. the asset pool shall consist of either only residential mortgages or only loans to SMEs, and there shall be no mix of assets of different asset classes;
(b)the cash-flow generating assets backing the ABS shall not contain loans which are:
at the time of the issuance of the ABS, non-performing; or
at any time, structured, syndicated or leveraged;
(c)the counterparty submitting an ABS as collateral, or any third party with which it has close links, shall not act as an interest rate hedge provider in relation to the ABS;
(d)the ABS transaction documents shall contain servicing continuity provisions.
2.For the purposes of paragraph 1 the terms ‘small enterprise’ and ‘medium-sized enterprise’ shall have the meaning given to them in Commission Recommendation 2003/361/EC of 6 May 2003 concerning the definition of micro, small and medium-sized enterprises(1).