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Deriving the haircut category

As stipulated in Article 2 of the “Haircut Guideline” (ECB/2015/35), the eligible marketable assets shall be allocated to one of the five haircut categories, based on the type of issuer and/or the type of asset. The assignment of a haircut category is regularly reviewed from a risk perspective. The table below complements Table 1 in the Haircut Guideline. Additional information on the risk control framework can be found in the “General Documentation Guideline” (ECB/2014/60).

Haircut categories per asset type and issuer group (valid as of 29 June 2023)

    IG1 IG2 IG3/IG11 IG4 IG5

IG6 (*)

IG7 (∆)

IG8 (FF)

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
AT10 EEA legislative covered bonds N/A N/A N/A

II

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

II

AT13 Non-EEA G10 legislative covered bonds N/A N/A N/A

II

N/A N/A N/A II

II

(*) Bonds issued by the European Union are assigned to haircut category I.

(∆) With the exception of agency non-credit institutions that do not meet the quantitative criteria set out in Annex XIIa to Guideline (EU) 2015/510 (ECB/2014/60). Bonds issued by such entities are assigned to haircut category III.

(FF) With the exception of agency credit institutions that do not meet the quantitative criteria set out in Annex XIIa to Guideline (EU) 2015/510 (ECB/2014/60). Bonds issued by such entities are assigned to haircut category IV.

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