The Governing Council of the ECB has decided on a number of measures to improve the overall consistency of the framework. The Governing Council decided in particular, with effect from 1 January 2017, to:
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Update the haircuts for marketable and non-marketable assets;
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Introduce graduated haircuts for eligible asset-backed securities (ABS) based on their Weighted Average Life (WAL) as calculated from expected cash flows
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Introduce graduated haircuts depending on remaining maturity also for floating-rate assets, which are currently assigned a flat haircut irrespective of their maturities
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Adjust the risk control measures for retained covered bonds with extendible maturities (e.g. soft bullet and conditional pass-through covered bonds) to take into account the additional risk which results from the use of such securities by the issuer itself and to ensure a level playing field between securities with comparable risks
As regards the first two measures, the new haircut schedules are defined in the new Guidelines ECB/2016/32 and ECB/2016/33 (amending Guideline ECB/2015/35 and Guideline ECB/2014/31, relating to the general and the temporary collateral framework, respectively). As regards the last two measures, they will become applicable at a date to be announced in the second half of 2017.
Press release
New guidelines
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