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Deriving the haircut category

The haircut category of an asset is determined by the combination of asset type and issuer group. The actual haircut category assignments are regularly reviewed from a risk perspective. The below specified values are valid as of 1 January 2017, as specified in the General framework.

    IG1 IG2 IG3/IG11 IG4 IG5 IG6 IG7 IG8 IG9
    Central Bank Central Government Corporate and other issuers Credit Institution (excluding agencies) Regional/Local government Supranational Issuer Agency - non credit institution Agency - credit institution Financial corporations other than credit institutions
AT01 Bond I I III IV II II II II IV
AT02 MTN I I III IV II II II II IV
AT03 T-bill / CP/ CD I I III IV II II II II IV
AT09 Jumbo Pfandbriefe-style N/A N/A N/A II N/A N/A N/A II N/A
AT10 Traditional covered bonds N/A N/A N/A III N/A N/A N/A II N/A
AT11 Other securitised assets / ABS / MBS N/A N/A N/A N/A N/A N/A N/A N/A V
AT12 Multi-cédulas N/A N/A N/A N/A N/A N/A N/A N/A III
AT13 Structured covered bonds N/A N/A N/A III N/A N/A N/A II III
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