The European Central Bank (ECB) has completed a comprehensive review of its risk control framework for collateralised credit operations, ensuring that the system remains robust, consistent and aligned with the risk profiles of various asset classes. The previous review took place in 2022, with changes implemented in June 2023. The newly completed assessment introduces several targeted improvements designed to maintain adequate risk protection while preserving the availability of collateral for counterparties across the Eurosystem.
The update focuses primarily on refining the haircut methodology applied to both marketable and non-marketable assets. Particular attention has been given to own-used covered bonds, retained asset-backed securities (ABS) and individual credit claims, where the ECB identified the need for enhanced consistency and risk equivalence.
As part of the review, the ECB’s Governing Council has agreed on a series of measures, including:
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Revising haircuts for non-own-used marketable assets, covering haircut categories I to V. The adjustment aims to better align haircuts with updated risk estimates across different maturities and credit quality steps (CQS).
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Introducing dedicated haircuts for retained ABS (Category V), based on an improved definition of “retained ABS”. An ABS will qualify as retained if the mobilising counterparty and the originator are either identical or closely linked.
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Refining the haircut treatment of own-used covered bonds, replacing the current add-on surcharge with a standalone haircut schedule tailored to this type of collateral.
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Updating the haircut methodology for individual credit claims, with increased granularity. The revised system will take into account factors such as amortisation type, residual maturity, CQS and interest-rate structure. Counterparties will also be required to specify the amortisation type for each mobilised claim, in addition to the existing information obligations.
To allow sufficient time for technical implementation within the Eurosystem and preparation by counterparties, the updated haircut schedule is planned to enter into force no earlier than November 2026. Prior to this, the ECB will amend the relevant legal framework. These amendments will be published in all official EU languages in the Official Journal of the European Union and made available on the ECB’s website.
