Parte 7 – Margem de avaliação (« haircut »)

DGSs or designated authorities should always apply a haircut to the value of the low-risk assets provided as collateral, unless collateral is provided in cash in the same currency as the payment commitment. This implies that the value of the underlying asset is calculated as the market value of the asset less a certain percentage (haircut).

DGSs or designated authorities should ensure that the haircut reflects the credit, market and liquidity risk arising from the exposure value of each asset. For that purpose, different haircuts should be determined having regard to the type of issuer and the credit quality thereof, as well as to the maturity of the assets and the currency of denomination.

The application of haircuts should also be based on a quantification of expected losses and the expected time delay before the sale of the assets.

While a variety of haircutting schedules and methodologies are possible, the haircut schedule for assets eligible for use as collateral by the ECB or national central banks of the European Union offers a sound solution.

DGSs or designated authorities should ensure that the value of the low-risk assets is marked-to-market on a regular, and possibly daily, basis.

Furthermore, the haircut-adjusted market value of the low-risk assets provided as collateral should be maintained over time. This implies that if the value of the underlying assets marked-to-market on a regular basis falls below a certain threshold and no longer complies with the coverage ratio resulting from the application of the haircut, the credit institution should be required to supply additional low-risk assets or replace the relevant part of the payment commitment with cash.

In any event, DGSs or designated authorities are not precluded from imposing on member institutions additional reporting and notification requirements.