Deriving the haircut category
The haircut category of an asset is determined by the combination of asset type and issuer group. The actual haircut category assignments are regularly reviewed from a risk perspective. The below specified values are valid as of 1 January 2017, as specified in the "General framework".
Haircut categories per asset type and issuer group
| IG1 | IG2 | IG3/IG11 | IG4 | IG5 | IG6 | IG7 | IG8 | IG9 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| Central Bank | Central Government | Corporate and other issuers | Credit Institution (excluding agencies) | Regional/Local government | Supranational Issuer | Agency - non credit institution | Agency - credit institution | Financial corporations other than credit institutions | ||
| AT01 | Bond | I | I | III | IV | II | II | II | II | IV |
| AT02 | MTN | I | I | III | IV | II | II | II | II | IV |
| AT03 | T-bill / CP/ CD | I | I | III | IV | II | II | II | II | IV |
| AT09 | Jumbo Pfandbriefe-style | N/A | N/A | N/A | II | N/A | N/A | N/A | II | N/A |
| AT10 | EEA legislative covered bonds | N/A | N/A | N/A | III | N/A | N/A | N/A | II | N/A |
| AT11 | Other securitised assets / ABS / MBS | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | V |
| AT12 | Multi-cédulas | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | III |
| AT13 | Non-EEA G10 legislative covered bonds | N/A | N/A | N/A | III | N/A | N/A | N/A | II | III |