Decision No. 2022-02 of 30 June 2022 Amending Decision No. 2016-02 of 25 January 2016 on Valuation Haircuts Applied in the Implementation of the Eurosystem Monetary Policy

1 Decision No. 2022-02 of 30 June 2022 amending Decision No. 2016-02 of 25 January 2016 on valuation haircuts applied in the implementation of the Eurosystem monetary policy

THE GOVERNOR OF THE BANK OF FRANCE

Having regard to:

• the Treaty on the Functioning of the European Union, and in particular Articles 127(1) and 127(2), first indent,
• the Statute of the European System of Central Banks and of the European Central Bank (ECB), and in particular Articles 3.1, first indent, 12.1, 14.3 and 18.2,
• ECB Guideline (EU) 2015/510 of 19 December 2014 on the implementation of the Eurosystem monetary policy framework (ECB/2014/60), as amended,
• ECB Guideline (EU) 2016/65 of 18 November 2015 on haircuts applied in the implementation of the Eurosystem monetary policy (ECB/2015/35), as amended,
• ECB Guideline (EU) 2022/988 of 2 May 2022 amending ECB Guideline (EU) 2016/65 of 18 November 2015 on haircuts applied in the implementation of the Eurosystem monetary policy (ECB/2022/18)
• the Monetary Agreement between the European Union and the Principality of Monaco of 26 December 2001, as amended on 29 November 2011,
• the Monetary and Financial Code, and in particular Article L. 142-8,
• the Governor of the Bank of France Decision No. 2015-01 of 22 April 2015 on the implementation of the Bank of France's monetary and intraday credit policy, as amended,
• the Governor of the Bank of France Decision No. 2016-02 of 25 January 2016 on valuation haircuts applied in the implementation of the Eurosystem monetary policy, as amended.

DECIDES

Article 1 Modifications

2 Decision No. 2016-02 of 25 January 2016 on valuation haircuts applied in the implementation of the Eurosystem monetary policy (hereinafter "the Decision") is amended as follows:

1. a) In Article 4, points a) and b) are replaced by the following text: "a) asset-backed securities, covered bonds and unsecured debt instruments issued by credit institutions, the value of which is calculated theoretically in accordance with the rules of Article 134 of the Governor of the Bank of France Decision No. 2015-01 of 22 April 2015, are subject to an additional haircut in the form of a 4.5% valuation discount; b) covered bonds used for own account are subject to an additional haircut i) of 7.2% applied to the value of debt instruments assigned to credit quality tranches 1 and 2 and ii) of 10.8% applied to the value of debt instruments assigned to credit quality tranche 3;";

2. In Article 5, paragraph 5 is replaced by the following text: "5. A haircut of 28.4% applies to non-negotiable debt instruments backed by retail mortgage claims (retail mortgage-backed debt instrument — RMBD).";

3. The Annex is amended in accordance with the Annex to this Decision.

Article 2 Entry into force and implementation

1. This Decision shall be published in the Official Publication Register of the Bank of France.
2. It shall enter into force on 8 July 2022.
3. This Decision shall apply in the overseas departments and regions, in Saint-Barthélemy, in Saint-Martin, in Saint-Pierre-and-Miquelon, as well as in the Principality of Monaco.

Done in Paris, 30 June 2022

The Governor of the Bank of France François VILLEROY de GALHAU

3 ANNEX

The Annex is amended as follows: Tables 2, 2 bis and 3 are replaced by the following tables:

Table 2 Haircut rates (in %) applied to eligible negotiable assets of haircut categories I to IV

Credit Quality	Residual Maturity (in years) (*)	Category I	Category II	Category III	Category IV
		Fixed Coupon	Zero Coupon	Variable Coupon	Fixed Coupon
Tranches 1 and 2	[0,1)	0.5	0.9	6.8
	[1,3)	0.9	1.8	0.5	1.4
	[3,5)	1.4	2.3	0.5	2.3
	[5,7)	1.8	2.7	0.9	3.2
	[7,10)	2.7	3.6	1.4	4.1
	[10,∞)	4.5	6.3	1.8	7.2
Tranche 3	[0,1)	5.4	6.3	7.2	11.7
	[1,3)	6.3	7.2	5.4	8.6

4 | | [3,5) | 8.1 | 9.0 | 5.4 | 12.2 | 16.7 | 6.3 | 14.9 | 19.8 | 7.2 | 25.2 | 29.3 | 11.7 | | | [5,7) | 9.0 | 10.4 | 6.3 | 12.6 | 18.0 | 8.6 | 16.7 | 23.4 | 10.8 | 27.5 | 31.5 | 20.3 | | | [7,10) | 10.4 | 11.7 | 8.1 | 14.4 | 22.1 | 12.2 | 17.1 | 25.2 | 14.9 | 27.9 | 33.3 | 25.2 | | | [10,∞) | 11.7 | 14.4 | 9.0 | 17.1 | 26.6 | 12.6 | 17.6 | 27.0 | 16.7 | 28.4 | 34.2 | 27.5 |

(*) i.e. [0,1) residual maturity less than one year, [1,3) residual maturity equal to or greater than one year but less than three years, etc.

Table 2 bis Haircut rates (in %) applied to eligible negotiable assets of haircut category V

Category V	Credit Quality	Weighted Average Life (*)	Haircut
	Tranches 1 and 2	[0,1)	3.6
		[1,3)	4.1
		[3,5)	4.5
		[5,7)	8.1
		[7,10)	11.7
		[10,∞)	18

(*) i.e. [0,1) weighted average life less than one year, [1,3) weighted average life equal to or greater than one year but less than three years, etc.

5 Table 3 Haircut rates (in %) applied to eligible private claims

Credit Quality	Residual Maturity (in years) (*)	Fixed Interest Payments	Variable Interest Payments
Tranches 1 and 2	[0,1)	7.2	7.2
	[1,3)	10.8	7.2
	[3,5)	14.4	7.2
	[5,7)	16.7	10.8
	[7,10)	21.6	14.4
	[10,∞)	31.5	16.7
Tranche 3	[0,1)	13.5	13.5
	[1,3)	25.2	13.5
	[3,5)	32.9	13.5
	[5,7)	38.7	25.2
	[7,10)	40.5	32.9
	[10,∞)	43.2	38.7

(*) i.e. [0,1) residual maturity less than one year, [1,3) residual maturity equal to or greater than one year but less than three years, etc. ".