GUIDELINE (EU) 2016/65 OF THE EUROPEAN CENTRAL BANK
of 18 November 2015
on the valuation haircuts applied in the implementation of the Eurosystem monetary policy framework (ECB/2015/35)
Article 1
Valuation haircuts applied to eligible marketable assets
Article 2
Determination of haircut categories for marketable assets
Article 3
Valuation haircuts for marketable assets
Article 4
Additional valuation haircuts applied to specific types of marketable assets
Article 5
Valuation haircuts applied to eligible non-marketable assets
Article 6
Taking effect and implementation
Article 7
Addressees
ANNEX
Category I |
Category II |
Category III |
Category IV |
Category V |
debt instruments issued by central governments ECB debt certificates debt certificates issued by NCBs prior to the date of adoption of the euro in their respective Member State |
debt instruments issued by local and regional governments debt instruments issued by entities classified as agencies by the Eurosystem debt instruments issued by multilateral development banks and international organisations jumbo covered bonds |
traditional covered bonds and other covered bonds debt instruments issued by non-financial corporations |
unsecured debt instruments issued by credit institutions unsecured debt instruments issued by financial corporations other than credit institutions |
asset-backed securities |
|
Haircut categories |
|||||||||
Credit quality |
Residual maturity (years)(1) |
Category I |
Category II |
Category III |
Category IV |
Category V |
||||
fixed coupon |
zero coupon |
fixed coupon |
zero coupon |
fixed coupon |
zero coupon |
fixed coupon |
zero coupon |
|
||
Steps 1 and 2 |
[0-1) |
0,5 |
0,5 |
1,0 |
1,0 |
1,0 |
1,0 |
6,5 |
6,5 |
10,0 |
[1-3) |
1,0 |
2,0 |
1,5 |
2,5 |
2,0 |
3,0 |
8,5 |
9,0 |
||
[3-5) |
1,5 |
2,5 |
2,5 |
3,5 |
3,0 |
4,5 |
11,0 |
11,5 |
||
[5-7) |
2,0 |
3,0 |
3,5 |
4,5 |
4,5 |
6,0 |
12,5 |
13,5 |
||
[7-10) |
3,0 |
4,0 |
4,5 |
6,5 |
6,0 |
8,0 |
14,0 |
15,5 |
||
[10, ∞) |
5,0 |
7,0 |
8,0 |
10,5 |
9,0 |
13,0 |
17,0 |
22,5 |
||
|
Haircut categories |
|||||||||
Credit quality |
Residual maturity (years)(1) |
Category I |
Category II |
Category III |
Category IV |
Category V |
||||
fixed coupon |
zero coupon |
fixed coupon |
zero coupon |
fixed coupon |
zero coupon |
fixed coupon |
zero coupon |
|
||
Step 3 |
[0-1) |
6,0 |
6,0 |
7,0 |
7,0 |
8,0 |
8,0 |
13,0 |
13,0 |
not eligible |
[1-3) |
7,0 |
8,0 |
10,0 |
14,5 |
15,0 |
16,5 |
24,5 |
26,5 |
||
[3-5) |
9,0 |
10,0 |
15,5 |
20,5 |
22,5 |
25,0 |
32,5 |
36,5 |
||
[5-7) |
10,0 |
11,5 |
16,0 |
22,0 |
26,0 |
30,0 |
36,0 |
40,0 |
||
[7-10) |
11,5 |
13,0 |
18,5 |
27,5 |
27,0 |
32,5 |
37,0 |
42,5 |
||
[10, ∞) |
13,0 |
16,0 |
22,5 |
33,0 |
27,5 |
35,0 |
37,5 |
44,0 |
|
Valuation methodology |
||
Credit quality |
Residual maturity (years)(2) |
Fixed interest payment and a valuation based on a theoretical price assigned by the NCB |
Fixed interest payment and a valuation according to the outstanding amount assigned by the NCB |
steps 1 and 2 |
[0-1) |
10,0 |
12,0 |
[1-3) |
12,0 |
16,0 |
|
[3-5) |
14,0 |
21,0 |
|
[5-7) |
17,0 |
27,0 |
|
[7-10) |
22,0 |
35,0 |
|
[10, ∞) |
30,0 |
45,0 |
|
|
Valuation methodology |
||
Credit quality |
Residual maturity (years)(2) |
Fixed interest payment and a valuation based on a theoretical price assigned by the NCB |
Fixed interest payment and a valuation according to the outstanding amount assigned by the NCB |
step 3 |
[0-1) |
17,0 |
19,0 |
[1-3) |
29,0 |
34,0 |
|
[3-5) |
37,0 |
46,0 |
|
[5-7) |
39,0 |
52,0 |
|
[7-10) |
40,0 |
58,0 |
|
[10, ∞) |
42,0 |
65,0 |