- Y Diweddaraf sydd Ar Gael (Diwygiedig)
- Gwreiddiol (Fel y’i mabwysiadwyd gan yr UE)
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This legislation may since have been updated - see the latest available (revised) version
a Individual asset-backed securities, covered bank bonds (jumbo covered bank bonds, traditional covered bank bonds and other covered bank bonds) and uncovered bank bonds that are theoretically valued in accordance with Section 6.5 of Annex I to Guideline ECB/2011/14 are subject to an additional valuation haircut. This haircut is directly applied at the level of the theoretical valuation of the individual debt instrument in the form of a valuation markdown of 5 %. Furthermore, an additional valuation markdown is applied to own-use covered bonds. This valuation markdown is 8 % for own-use covered bonds in CQS1&2 and 12 % for own-use covered bonds in CQS3. | ||||||||||
b Ratings are as specified in the Eurosystem’s harmonised rating scale, published on the ECB’s website at www.ecb.europa.eu | ||||||||||
Haircut categories | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|
Credit quality | Residual maturity(years) | Category I | Category IIa | Category IIIa | Category IVa | Category Va | ||||
fixed coupon | zero coupon | fixed coupon | zero coupon | fixed coupon | zero coupon | fixed coupon | zero coupon | |||
Steps 1 and 2 (AAA to A-)b | 0-1 | 0,5 | 0,5 | 1,0 | 1,0 | 1,0 | 1,0 | 6,5 | 6,5 | 10,0 |
1-3 | 1,0 | 2,0 | 1,5 | 2,5 | 2,0 | 3,0 | 8,5 | 9,0 | ||
3-5 | 1,5 | 2,5 | 2,5 | 3,5 | 3,0 | 4,5 | 11,0 | 11,5 | ||
5-7 | 2,0 | 3,0 | 3,5 | 4,5 | 4,5 | 6,0 | 12,5 | 13,5 | ||
7-10 | 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 quality | Residual maturity(years) | Category I | Category IIa | Category IIIa | Category IVa | Category Va | ||||
fixed coupon | zero coupon | fixed coupon | zero coupon | fixed coupon | zero coupon | fixed coupon | zero coupon | |||
Step 3 (BBB+ to BBB-)b | 0-1 | 6,0 | 6,0 | 7,0 | 7,0 | 8,0 | 8,0 | 13,0 | 13,0 | Not eligible |
1-3 | 7,0 | 8,0 | 10,0 | 14,5 | 15,0 | 16,5 | 24,5 | 26,5 | ||
3-5 | 9,0 | 10,0 | 15,5 | 20,5 | 22,5 | 25,0 | 32,5 | 36,5 | ||
5-7 | 10,0 | 11,5 | 16,0 | 22,0 | 26,0 | 30,0 | 36,0 | 40,0 | ||
7-10 | 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 |
Y Diweddaraf sydd Ar Gael (diwygiedig):Y fersiwn ddiweddaraf sydd ar gael o’r ddeddfwriaeth yn cynnwys newidiadau a wnaed gan ddeddfwriaeth ddilynol ac wedi eu gweithredu gan ein tîm golygyddol. Gellir gweld y newidiadau nad ydym wedi eu gweithredu i’r testun eto yn yr ardal ‘Newidiadau i Ddeddfwriaeth’.
Gwreiddiol (Fel y’i mabwysiadwyd gan yr UE): Mae'r wreiddiol version of the legislation as it stood when it was first adopted in the EU. No changes have been applied to the text.
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