New risk control framework for eligible assets

2 July 2003

In the context of the regular assessment of the risk control framework applicable to eligible assets used in Eurosystem credit operations (i.e. intraday liquidity and monetary policy operations), the Governing Council of the ECB has approved the following changes to the risk control framework:

  1. Tier one assets are to be classified in four liquidity categories and each category assigned a specific haircut schedule.
  2. The maturity buckets of the haircut schedules are to be chosen in such a way as to achieve an even distribution of outstanding volumes across buckets.
  3. The application of initial margins in reverse transactions is to be discontinued and trigger levels used in margin calls reduced.
  4. In order to guarantee coherence between the new valuation haircut schedules for tier one eligible assets and those for tier two eligible assets, the latter are also to be modified to take into account both the discontinuation of initial margins and the new maturity buckets.

The document entitled "Amendments to the risk control framework for tier one and tier two eligible assets" outlines the details of the amendments to the risk control framework [Publications].

The Governing Council has decided to inform counterparties of these changes to the risk control framework for tier one and tier two assets. These changes will take effect upon implementation by the national central banks, which is envisaged for the first quarter of 2004.

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