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.