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Sources:
ECB "Deriving the haircut category" & Guideline (EU) 2016/65 of the European Central Bank

Valuation Haircut Calculator

Marketable assets Credit claims Theoretically valued marketable assets
Category Information:
  • Category I - Debt instruments issued by central governments, the European Union, ECB debt certificates, and debt certificates issued by national central banks (NCBs) prior to the adoption of the euro in their respective Member State.
  • Category II - Debt instruments issued by local and regional governments, agencies meeting quantitative criteria, multilateral development banks, and international organizations other than the European Union, as well as legislative covered bonds and multi-cédulas.
  • Category III - Debt instruments issued by non-financial corporations, corporations in the government sector, and non-credit institution agencies that do not meet the quantitative criteria.
  • Category IV - Unsecured debt instruments issued by credit institutions and agencies that are credit institutions not meeting the quantitative criteria, as well as unsecured debt instruments issued by financial corporations other than credit institutions.
  • Category V - Asset-backed securities (ABS).
Credit Quality Step:
  • Step 1 - AAA/AA-
  • Step 2 - A+/A-
  • Step 3 - BBB+/BBB-