Information on changes to the Eurosystem risk control framework for eligible collateral that enter into force on 29 June 2023

Information on changes to the Eurosystem risk control framework for eligible collateral that enter into force on 29 June 2023 We are writing to draw your attention to the following changes to the rules governing the Eurosystem risk control framework for eligible collateral. Published by the ECB Governing Council on 20 December 20221, these changes enter into force on 29 June 2023. The changes were implemented by means of the following guidelines: • Guideline (EU) 2023/832 amending Guideline (EU) 2016/65 on the valuation haircuts applied in the implementation of the Eurosystem monetary policy framework (ECB/2022/49) • Guideline (EU) 2023/833 amending Guideline ECB/2014/31 on additional temporary measures relating to Eurosystem refinancing operations and eligibility of collateral (ECB/2022/50) • Guideline (EU) 2023/831 amending Guideline (EU) 2015/510 on the implementation of the Eurosystem monetary policy framework (ECB/2022/48) This information is intended to enable you to adjust your collateral holdings smoothly. Below you will find a list of the main changes implemented by means of the above guidelines: 1. The temporary valuation haircut reduction adopted on 17 April 2020 will be fully phased out with effect from 29 June 2023 together with a general recalibration of the valuation haircuts. 2. All legislative covered bonds and multi-cédulas will be re-assigned from haircut category III to haircut category II – i.e. to the same category as...