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ECB Collateral Requirements

ECB Collateral Requirements

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Published by zerohedge
ECB Collateral Requirements
ECB Collateral Requirements

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Published by: zerohedge on Jul 18, 2013
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08/15/2013

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 ANNEX
Table 1: ECB introduces a new haircut schedule for marketable assets
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Levels of valuation haircuts applied to eligible marketable assets
Haircut categories
Credit Residual 
Category I Category II* Category III* Category IV* Category V*
quality maturity (years)
fixedcouponzerocouponfixedcouponzerocouponfixedcouponzerocouponfixedcouponzerocouponSteps 1 and2 (AAA toA-)0-1 0.5 0.5 1.0 1.0 1.0 1.0 6.5 6.510.0
 
1-3 1.0 2.0 1.5 2.5 2.0 3.0 8.5 9.03-5 1.5 2.5 2.5 3.5 3.0 4.5 11.0 11.55-7 2.0 3.0 3.5 4.5 4.5 6.0 12.5 13.57-10 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 Residual 
Category I Category II* Category III* Category IV* Category V*
quality maturity (years)
fixedcouponzerocouponfixedcouponzerocouponfixedcouponzerocouponfixedcouponzerocouponStep 3(BBB+ toBBB-)0-1 6.0 6.0 7.0 7.0 8.0 8.0 13.0 13.022.01-3 7.0 8.0 10.0 14.5 15.0 16.5 24.5 26.53-5 9.0 10.0 15.5 20.5 22.5 25.0 32.5 36.55-7 10.0 11.5 16.0 22.0 26.0 30.0 36.0 40.07-10 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
* Individual asset-backed securities, covered bank bonds (jumbo covered bank bonds, traditional coveredbank bonds and other covered bank bonds) and uncovered bank bonds that are theoretically valued inaccordance with Section 6.5 are subject to an additional valuation haircut. This haircut is directly applied atthe level of the theoretical valuation of the individual debt instrument in the form of a valuation markdownof 5 %. Furthermore, a valuation markdown is applied to retained covered bonds. This valuation markdownis 8% for retained covered bonds in CQS 1&2 and 12% for retained covered bonds in CQS 3.
1
Note that the haircuts applicable to Credit Quality Step (CQS) 3 ABS are only relevant for securities accepted under theEurosystem temporary collateral framework (Guideline of the ECB of 20 March 2013 on additional temporary measuresrelating to Eurosystem refinancing operations and eligibility of collateral and amending Guideline ECB/2007/9 (recast)(ECB/2013/4)). Furthermore, the haircut applied to marketable debt instruments included in haircut categories I to IV withvariable rate coupons is that applied to the zero-to-one-year maturity bucket of fixed coupon instruments in the haircutcategory and credit quality category to which the instrument is assigned.

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