Guideline (EU) 2019/1033 of the European Central Bank of 10 May 2019 amending Guideline (EU) 2016/65 on the valuation haircuts applied in the implementation of the Eurosystem monetary policy framework (ECB/2019/12)

‘1 Individual credit claims shall be subject to specific valuation haircuts determined according to the residual maturity, the credit quality step and the interest rate structure as laid down in Table 3 in the Annex to this Guideline.’;

‘2 The following provisions shall apply with respect to the interest rate structure of credit claims: (a) “zero coupon” credit claims shall be treated as fixed rate credit claims; (b) floating rate credit claims with a resetting period longer than one year shall be treated as fixed rate credit claims; (c) floating rate credit claims with a ceiling shall be treated as fixed rate credit claims; (d) floating rate credit claims with a resetting period of one year or less and with a floor, but without a ceiling, shall be treated as floating rate credit claims; (e) the valuation haircut applied to a credit claim with more than one type of interest payment shall depend only on the interest payments during the remaining life of the credit claim. If there is more than one type of interest payment during the remaining life of the credit claim, the remaining interest payments shall be treated as fixed-rate payments, with the relevant maturity for the haircut being the residual maturity of the credit claim.’;

1 This Guideline shall take effect on the day of its notification to the national central banks of the Member States whose currency is the euro.

2 The national central banks of the Member States whose currency is the euro shall take the necessary measures to comply with this Guideline and apply them from 5 August 2019. They shall notify the European Central Bank of the texts and means relating to those measures by 21 June 2019 at the latest.

This Guideline is addressed to the national central banks of the Member States whose currency is the euro.