I now know where to find the haircuts that the ECB imposes on the repos of different kinds of assets.

Francesco Papadia is the one ECB official quoted as making sense elsewhere in this discussion. I found an ECB page: Occasional papers by Francesco Papadia. He has only one - props to Papadia for not decreasing the signal-to-noise ration by publishing more often than he has something interesting to say.

Anyway, the paper Credit risk mitigation in central bank operations and its effects on financial markets: the case of the Eurosystem [PDF] includes the following table on page 9:

The quoted source presumably contains more information about repos and haircuts.

Notably, Pfandbriefe (covered bonds) are considered to have a higher credit risk than sovereign debt, for the purposes of repos, but lower risk that off-balance-sheet Asset Backed Securities. The definin characteristic of Covered Bonds is that they remain on the balance sheet of the issuer. As such, they are a form of securitization not motivated by regulatory arbitrage.

So, in what may be my last act of "advising", I'll advise you to cut the jargon. -- My old PhD advisor, to me, 26/2/11