Regulatory Alerts2020-05-29
Decision No. 2020-04 of May 27, 2020 amending Decision No. 2020-02 on additional temporary measures concerning Banque de France refinancing operations and collateral eligibility
The Governor of the Banque de France issued Decision No. 2020-04 to amend Decision No. 2020-02, introducing specific collateral eligibility criteria and haircuts for loans guaranteed by the French State under the March 23, 2020 finance rectifying law. The decision establishes distinct haircuts based on the loan's disbursement date, the borrower's credit rating (FIBEN or internal IRB models), and whether an additional amortization period has been activated. It also updates haircuts for corporate loans with default probabilities between 0.40% and 1.5%, including a specific additional 16% haircut for loans denominated in US dollars.
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