Book contents
- Frontmatter
- Contents
- List of Figures
- List of Tables
- List of Exhibits
- List of Examples
- Preface
- Acknowledgments
- 1 Background and Motivation
- 2 Collateral Frameworks: Overview
- 3 Monetary Policy Implementation in the Euro Area over Time
- 4 Evidence on the Production and Usage of Collateral
- 5 Haircuts
- 6 Ratings and Guarantees
- 7 Market and Theoretical Prices
- 8 Collateral “Own Use”
- 9 Non-regulated Markets, Unsecured Bank Debt, and LTRO Uptake
- 10 Market Discipline
- 11 Bailing Out the Euro
- 12 The Endgame of the Euro Crisis
- 13 Restoring Credibility
- 14 The Problem with Collateral
- 15 Concluding Remarks
- Appendix: Haircut and Rating Rules Updates
- References
- Index
Appendix: Haircut and Rating Rules Updates
Published online by Cambridge University Press: 06 January 2017
- Frontmatter
- Contents
- List of Figures
- List of Tables
- List of Exhibits
- List of Examples
- Preface
- Acknowledgments
- 1 Background and Motivation
- 2 Collateral Frameworks: Overview
- 3 Monetary Policy Implementation in the Euro Area over Time
- 4 Evidence on the Production and Usage of Collateral
- 5 Haircuts
- 6 Ratings and Guarantees
- 7 Market and Theoretical Prices
- 8 Collateral “Own Use”
- 9 Non-regulated Markets, Unsecured Bank Debt, and LTRO Uptake
- 10 Market Discipline
- 11 Bailing Out the Euro
- 12 The Endgame of the Euro Crisis
- 13 Restoring Credibility
- 14 The Problem with Collateral
- 15 Concluding Remarks
- Appendix: Haircut and Rating Rules Updates
- References
- Index
Summary
This Appendix updates the haircut and rating rules in Tables 5.4 and 6.1, respectively. It also provides an update on the extraordinary haircuts of paper issued or guaranteed by Cyprus or Greece (Table 5.5).
In the main text, the broad haircut and rating rules described in Chapters 5 and 6 are checked for validity until January 31, 2015. For themost part, however, they are valid until April 30, 2015. New rules came into force on May 1, 2015, with the adoption of a new General framework baseline document, ECB (2014/60), published in the Official Journal on April 2, 2015. The special case of Greece is handled separately (see Section A.5). This appendix summarizes these new rules and subsequent updates until February 29, 2016. This includes a brief description of a new type of non-marketable collateral that was introduced into the collateral framework with ECB (2015/27) and eligible from November 2, 2015.
The Appendix starts by discussing two headline changes that came into force on or after May 1, 2015. It then moves on to providing updated haircut and rating rules tables. This includes a review of the Eurosystem's harmonized rating scale, which plays a more significant role after May 1, 2015, than previously. A discussion of the extraordinary haircuts of paper issued or guaranteed by Cyprus and Greece closes out the Appendix. HEADLINE CHANGES
By way of background, I start by providing two notable changes to the Eurosystem's collateral framework that came into force on or after May 1, 2015. These relate to eligibility, haircuts, and rating rules.
1. As of May 1, 2015 (ECB 2014/60): The rating categories used in the haircut table are modified. In particular, the main classification variable is not long-term ratings anymore, but the credit quality steps in the harmonized rating scale. This means that short-term ratings can substitute for longterm ratings (with some exceptions).
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- Collateral FrameworksThe Open Secret of Central Banks, pp. 281 - 292Publisher: Cambridge University PressPrint publication year: 2016