The European Central Bank has adopted revised valuation haircuts for collateral used in Eurosystem credit operations, giving legal effect to changes decided following its November 2025 review of the risk control framework. The revisions update haircuts for marketable assets and introduce more risk sensitive treatment for own use covered bonds, retained asset backed securities and credit claims. Own use covered bonds will move from flat haircut add-ons to a dedicated schedule based on maturity, coupon structure and credit quality. Retained asset backed securities, defined by mobilisation by the originator or a closely linked entity, will also receive a dedicated schedule based on weighted average life and credit quality. Credit claim haircuts will additionally distinguish between amortising and non-amortising structures, with higher haircuts for non-amortising claims. The guideline also revises the categorisation of debt issued by financial subsidiaries of non-financial corporate groups and sets additional valuation markdowns of 16% for sterling- and U.S. dollar-denominated assets and 26% for yen-denominated assets. National central banks must implement the changes from Nov. 30, 2026, and notify the ECB of their implementing measures by Oct. 30, 2026.
Source: 2026-09-28European Central Bank
European Central Bank adopts revised Eurosystem collateral haircuts for application from Nov. 30, 2026
The European Central Bank has adopted revised Eurosystem collateral haircuts for application from Nov. 30, 2026. The framework introduces dedicated schedules for own use covered bonds and retained asset backed securities, while imposing higher haircuts on non-amortising credit claims. It also updates general marketable asset haircuts, issuer categorisation and foreign currency valuation markdowns.