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Document 02015O0035-20230629
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)
Consolidated text: 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)
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)
- Date of document:
- 29/06/2023
- Date of effect:
- 29/06/2023
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02015O0035 — EN — 29.06.2023 — 008.001
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GUIDELINE (EU) 2016/65 OF THE EUROPEAN CENTRAL BANK of 18 November 2015 (OJ L 014 21.1.2016, p. 30) |
Amended by:
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Official Journal |
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No |
page |
date |
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GUIDELINE (EU) 2016/2299 OF THE EUROPEAN CENTRAL BANK of 2 November 2016 |
L 344 |
117 |
17.12.2016 |
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GUIDELINE (EU) 2018/571 OF THE EUROPEAN CENTRAL BANK of 7 February 2018 |
L 95 |
45 |
13.4.2018 |
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GUIDELINE (EU) 2019/1033 OF THE EUROPEAN CENTRAL BANK of 10 May 2019 |
L 167 |
75 |
24.6.2019 |
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DECISION (EU) 2020/506 OF THE EUROPEAN CENTRAL BANK of 7 April 2020 |
L 109I |
1 |
7.4.2020 |
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GUIDELINE (EU) 2020/1692 OF THE EUROPEAN CENTRAL BANK of 25 September 2020 |
L 379 |
94 |
13.11.2020 |
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GUIDELINE (EU) 2022/988 OF THE EUROPEAN CENTRAL BANK of 2 May 2022 |
L 167 |
131 |
24.6.2022 |
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GUIDELINE (EU) 2023/832 OF THE EUROPEAN CENTRAL BANK of 16 December 2022 |
L 104 |
40 |
19.4.2023 |
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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
The valuation haircut for a specific asset depends on the following factors:
the haircut category to which the asset is allocated, as defined in Article 2;
the residual maturity or the weighted average life of the asset, as defined in Article 3;
the coupon structure of the asset; and
the credit quality step to which the asset is allocated.
Article 2
Determination of haircut categories for marketable assets
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, as reflected in Table 1 in the Annex to this Guideline:
debt instruments issued by central governments, debt instruments issued by the European Union, ECB debt certificates and debt certificates issued by NCBs prior to the date of adoption of the euro in their respective Member State whose currency is the euro are included in haircut category I;
debt instruments issued by:
local and regional governments;
entities which are credit institutions or non-credit institutions classified by the Eurosystem as agencies and which meet the quantitative criteria set out in Annex XIIa to Guideline (EU) 2015/510 (ECB/2014/60);
multilateral development banks and international organisations other than the European Union; as well as legislative covered bonds and multi cédulas; are included in haircut category II;
debt instruments issued by:
non-financial corporations;
corporations in the government sector; and
agencies which are non-credit institutions that do not meet the quantitative criteria set out in Annex XIIa to Guideline (EU) 2015/510 (ECB/2014/60), are included in haircut category III;
unsecured debt instruments issued by: (i) credit institutions; (ii) agencies which are credit institutions that do not meet the quantitative criteria set out in Annex XIIa to Guideline (EU) 2015/510 (ECB/2014/60); and (iii) financial corporations other than credit institutions, are included in haircut category category IV;
asset-backed securities are included in haircut category V, regardless of the classification of the issuer.
Article 3
Valuation haircuts for marketable assets
The valuation haircuts for marketable assets allocated to haircut categories I to IV shall be determined based on:
the allocation of the specific asset to credit quality step 1, 2 or 3;
the residual maturity of the asset as detailed in paragraph 2;
the coupon structure of the asset as detailed in paragraph 2.
The determination of the residual maturity for own-use covered bonds shall depend on whether the own-use covered bonds have a soft bullet structure or a conditional pass-through structure, as follows:
in the case of own-use covered bonds with a soft bullet structure, the residual maturity shall be defined as the maximum length to which the maturity may be extended as reflected in the terms and conditions for the specific covered bond;
in the case of own-use covered bonds with a conditional pass-through structure, the residual maturity shall correspond to the [10,15) year category.
For the purposes of this paragraph 2a, ‘own-use’ shall mean the submission or use by a counterparty of covered bonds that are issued or guaranteed by the counterparty itself or by any other entity with which that counterparty has close links as determined in accordance with Article 138 of Guideline (EU) 2015/510 (ECB/2014/60).
Article 4
Additional valuation haircuts applied to specific types of marketable assets
In addition to the valuation haircuts laid down in Article 3 of this Guideline, the following additional valuation haircuts shall apply for specific types of marketable assets:
all marketable assets allocated to haircut categories II, III, IV and V that are theoretically valued in accordance with the rules contained in Article 134 of Guideline (EU) 2015/510 (ECB/2014/60) shall be subject to an additional valuation haircut in the form of a valuation markdown. The valuation markdown, also for own-use covered bonds, shall depend on the expected residual maturity or, in the case of haircut category V, the weighted average life of the asset, at the levels set out in Table 4 in the Annex to this Guideline. For the purpose of computing the valuation markdown for own-use covered bonds, the expected residual maturity, shall be the originally scheduled maturity date unless and until a maturity extension has been triggered;
own-use covered bonds shall be subject to an additional valuation haircut of: (i) 8 % applied to the value of the debt instruments allocated to credit quality steps 1 and 2; and (ii) 12 % applied to the value of the debt instruments allocated to credit quality step 3. For the purposes of this paragraph, ‘own-use’ shall have the same meaning as ‘own-use’ as defined in Article 3(2a);
if the additional valuation haircut referred to in paragraph (b) cannot be applied with respect to a collateral management system of an NCB, triparty agent, or TARGET for auto-collateralisation, the additional valuation haircut shall be applied in such systems or platform to the entire issuance value of the covered bonds that can be own used.
Article 5
Valuation haircuts applied to eligible non-marketable assets
The following provisions shall apply with respect to the interest rate structure of credit claims:
‘zero coupon’ credit claims shall be treated as fixed rate credit claims;
floating rate credit claims with a resetting period longer than one year shall be treated as fixed rate credit claims;
floating rate credit claims with a ceiling shall be treated as fixed rate credit claims;
floating rate credit claims with a resetting period of one year or less and with a floor, but without a ceiling, shall be treated as floating rate credit claims;
the valuation haircut applied to a credit claim with more than one type of interest payment shall depend only on the interest payments during the remaining life of the credit claim. If there is more than one type of interest payment during the remaining life of the credit claim, the remaining interest payments shall be treated as fixed-rate payments, with the relevant maturity for the haircut being the residual maturity of the credit claim.
▼M3 —————
Article 6
Taking effect and implementation
Article 7
Addressees
This Guideline is addressed to the national central banks of the Member States whose currency is the euro.
ANNEX
Table 1
Haircut categories for eligible marketable assets based on the type of issuer and/or type of asset
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Category I |
Category II |
Category III |
Category IV |
Category V |
|
Debt instruments issued by central governments Debt instruments issued by the European Union ECB debt certificates Debt certificates issued by national central banks (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 (credit institutions or non-credit institutions) classified by the Eurosystem as agencies and which meet the quantitative criteria set out in Annex XIIa to Guideline (EU) 2015/510 (ECB/2014/60) Debt instruments issued by multilateral development banks and international organisations other than the European Union Legislative covered bonds Multi cédulas |
Debt instruments issued by non-financial corporations, corporations in the government sector and agencies which are non-credit institutions that do not meet the quantitative criteria set out in Annex XIIa to Guideline (EU) 2015/510 (ECB/2014/60) |
Unsecured debt instruments issued by credit institutions and agencies which are credit institutions that do not meet the quantitative criteria set out in Annex XIIa to Guideline (EU) 2015/510 (ECB/2014/60) Unsecured debt instruments issued by financial corporations other than credit institutions |
Asset-backed securities |
Table 2
Valuation haircut levels applied to eligible marketable assets in haircut categories I to IV
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(in %) |
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Haircut categories |
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Credit quality |
Residual maturity (years) () |
Category I |
Category II |
Category III |
Category IV |
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|
fixed or floating coupon |
zero coupon |
fixed or floating coupon |
zero coupon |
fixed or floating coupon |
zero coupon |
fixed or floating coupon |
zero coupon |
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|
Steps 1 and 2 |
[0 ,1 ) |
0,5 |
0,5 |
1,0 |
1,0 |
1,0 |
1,0 |
7,5 |
7,5 |
|
[1 ,3 ) |
1,0 |
2,0 |
1,5 |
2,5 |
2,0 |
3,0 |
10,0 |
11,5 |
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|
[3 ,5 ) |
1,5 |
2,5 |
2,5 |
3,5 |
3,0 |
4,5 |
12,0 |
13,0 |
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|
[5 ,7 ) |
2,0 |
3,0 |
3,5 |
4,5 |
4,5 |
6,0 |
14,0 |
15,0 |
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|
[7 ,10 ) |
3,0 |
4,0 |
4,5 |
6,5 |
6,0 |
8,0 |
16,0 |
17,5 |
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|
[10 ,15 ) |
4,0 |
5,0 |
6,5 |
8,5 |
7,5 |
10,0 |
18,0 |
22,5 |
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[15 ,30 ) |
5,0 |
6,0 |
8,0 |
11,5 |
9,0 |
13,0 |
21,0 |
25,0 |
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|
[30 , ∞) |
6,0 |
9,0 |
10,0 |
13,0 |
11,0 |
16,0 |
24,0 |
31,5 |
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Haircut categories |
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|
Credit quality |
Residual maturity (years) |
Category I |
Category II |
Category III |
Category IV |
||||
|
fixed or floating coupon |
zero coupon |
fixed or floating coupon |
zero coupon |
fixed or floating coupon |
zero coupon |
fixed or floating coupon |
zero coupon |
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|
Step 3 |
[0 ,1 ) |
5,0 |
5,0 |
5,5 |
5,5 |
6,5 |
6,5 |
11,5 |
11,5 |
|
[1 ,3 ) |
6,0 |
7,0 |
7,5 |
10,5 |
9,5 |
12,0 |
18,5 |
20,0 |
|
|
[3 ,5 ) |
8,5 |
10,0 |
11,0 |
16,0 |
13,0 |
18,0 |
23,0 |
27,0 |
|
|
[5 ,7 ) |
10,0 |
11,5 |
12,5 |
17,0 |
15,0 |
21,5 |
25,5 |
29,5 |
|
|
[7 ,10 ) |
11,5 |
13,0 |
14,0 |
21,0 |
17,0 |
23,5 |
26,5 |
31,5 |
|
|
[10 ,15 ) |
12,5 |
14,0 |
17,0 |
25,5 |
19,5 |
28,0 |
28,5 |
35,0 |
|
|
[15 ,30 ) |
13,5 |
15,0 |
20,0 |
28,5 |
22,0 |
31,0 |
31,5 |
39,0 |
|
|
[30 , ∞) |
14,0 |
17,0 |
22,0 |
32,5 |
25,0 |
35,5 |
34,5 |
43,0 |
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|
(1)
i.e. [0,1) residual maturity less than one year, [1,3) residual maturity equal to or greater than one year and less than three years, etc. |
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Table 2a
Valuation haircut levels applied to eligible marketable assets in haircut category V
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(in %) |
||
|
|
|
Category V |
|
Credit quality |
Weighted Average Life () |
Valuation haircut |
|
Steps 1 and 2 |
[0 ,1 ) |
4,0 |
|
[1 ,3 ) |
5,0 |
|
|
[3 ,5 ) |
7,0 |
|
|
[5 ,7 ) |
9,0 |
|
|
[7 ,10 ) |
12,0 |
|
|
[10 ,15 ) |
18,0 |
|
|
[15 ,30 ) |
20,0 |
|
|
[30 , ∞) |
22,0 |
|
|
(1)
i.e. [0,1) WAL less than one year, [1,3) WAL equal to or greater than one year and less than three years, etc. |
||
Table 3
Valuation haircut levels applied to eligible credit claims
|
(in %) |
|||
|
Credit quality |
Residual maturity (years) () |
Fixed interest payment |
Floating interest payment |
|
Steps 1 and 2 |
[0 ,1 ) |
8,0 |
8,0 |
|
[1 ,3 ) |
11,5 |
8,0 |
|
|
[3 ,5 ) |
15,0 |
8,0 |
|
|
[5 ,7 ) |
20,0 |
11,5 |
|
|
[7 ,10 ) |
26,0 |
15,0 |
|
|
[10 ,15 ) |
33,0 |
20,0 |
|
|
[15 ,30 ) |
38,0 |
26,0 |
|
|
[30 , ∞) |
40,0 |
33,0 |
|
|
Step 3 |
[0 ,1 ) |
16,0 |
16,0 |
|
[1 ,3 ) |
25,0 |
16,0 |
|
|
[3 ,5 ) |
35,0 |
16,0 |
|
|
[5 ,7 ) |
42,0 |
25,0 |
|
|
[7 ,10 ) |
46,0 |
35,0 |
|
|
[10 ,15 ) |
48,0 |
42,0 |
|
|
[15 ,30 ) |
50,0 |
46,0 |
|
|
[30 , ∞) |
52,0 |
48,0 |
|
|
(1)
i.e. [0,1) residual maturity less than one year, [1,3) residual maturity equal to or greater than one year and less than three years, etc.; |
|||
Table 4
Valuation markdown levels applied to marketable assets in haircut categories II to V that are theoretically valued
|
(in %) |
|
|
Residual maturity/Weighted Average Life (WAL) (years) () |
Valuation markdown |
|
[0 ,1 ) |
1,5 |
|
[1 ,3 ) |
2,5 |
|
[3 ,5 ) |
3,0 |
|
[5 ,7 ) |
3,5 |
|
[7 ,10 ) |
4,5 |
|
[10 ,15 ) |
6,0 |
|
[15 ,30 ) |
8,0 |
|
[30 , ∞) |
13,0 |
|
(1)
i.e. [0,1) Residual maturity/WAL less than one year, [1,3) residual maturity/WAL equal to or greater than one year and less than three years, etc. |
|
