European Central Bank sets new collateral haircut schedule for Eurosystem credit operations with entry into force from November 2026 at earliest

The European Central Bank has completed a review of the Eurosystem risk control framework for collateralised credit operations and the Governing Council has decided to update the valuation haircut schedule for both marketable and non-marketable collateral. The changes are intended to maintain adequate risk protection while improving consistency and risk equivalence across asset classes, while ensuring collateral availability, and are planned to apply from November 2026 at the earliest. Haircuts for non-own-used marketable assets in haircut categories I to V will be recalibrated to updated risk estimates across maturities and credit quality steps. Retained asset-backed securities in category V will receive dedicated haircuts under an updated definition of “retained ABS”, where the mobilising counterparty and the originator are the same or closely linked. For own-used covered bonds, the current add-on approach will be replaced by a separate haircut schedule. Haircuts for individual credit claims will become more granular, reflecting amortisation type, residual maturity, credit quality step and interest-rate type, and counterparties will need to specify the amortisation type for each mobilised credit claim in addition to existing reporting. The ECB will amend its legal framework ahead of implementation, with the updated acts to be made available on the ECB’s website and published in the Official Journal of the European Union in all official EU languages, ahead of the planned November 2026 earliest entry into force to allow for technical implementation and counterparty preparation.