The Governing Council of the ECB, within the context of its decision to allow national central banks to accept temporarily additional performing credit claims as collateral for Eurosystem monetary policy operations, has approved the following specific national eligibility criteria proposed by the Central Bank of Cyprus and risk control measures:
1. Acceptance of performing additional credit claims with a probability of default over an one-year horizon upto 1,5%.
2. The Central Bank of Cyprus’ counterparties internal rating-based rating systems shall be used for the assessment of the additional credit claims’ credit quality.
3. (a) Additional credit claims for which Central Bank of Cyprus counterparties can claim full repayment in case of default, other than leasing contracts, syndicated loans and credit claims backed by real estate assets, are eligible.
(b) The type of debtor/guarantor shall conform to the related provisions for eligible credit claims stated in the ECB’s publication ''The implementation of monetary policy in the euro area: General documentation on Eurosystem monetary policy instruments and procedures''. Furthermore, individuals, municipalities and other local authorities are eligible debtors.
(c) The debtor and the guarantor must be established in the euro area. Furthermore, the debtor and the guarantor can be established in the European Economic Area in cases where the Central Bank of Cyprus is the home supervisor of the counterparty.
(d) Additional credit claims must have a minimum residual maturity of one month at the time of their submission for use as collateral by the counterparty.
(e) There is no applicable minimum threshold for additional credit claim size.
(f) Additional credit claims can be denominated in euro, US dollar, pound sterling, swiss franc, Japanese yen.
(g) All the other eligibility criteria for credit claims and the operational procedures regarding their mobilisation contained in the ECB’s publication ''The implementation of monetary policy in the euro area: General documentation on Eurosystem monetary policy instruments and procedures'' remain unchanged.
The Central Bank of Cyprus retains the right to apply discretion in the acceptance of additional credit claims on the grounds of prudent risk management considerations.
4. The applicable haircuts are the following:
Haircut schedule for euro-denominated additional credit claims in %:
Maturity Bucket (yrs) CQS 1&2 CQS 3 CQS 4 CQS 5
PD: 0,1% PD: 0,4% PD: 1% PD: 1,5%
0-1 10,0 17,5 42 54
1-3 17,5 34,0 62 70
3-5 24,0 46,0 70 78
5-7 29,0 51,0 78 83
7-10 34,5 55,5 78 84
>10 44,5 64,5 80 85
CQS = Credit Quality Step PD = Probability of Default
Additional markdown for foreign currency denominated additional credit claims:
• A mark-down of 16% for credit claims denominated in USD, GBP, CHF, CAD and AUD.
• A mark-down of 26% for credit claims denominated in JPY.
Additional credit claims will be priced at their outstanding nominal value and consequently haircuts will be applied to the nominal value. There will be no distinction between fixed- and floating-rate additional credit claims in the application of the haircuts.
For further details on the specific national eligibility criteria for additional credit claims, counterparties may contact the Monetary Policy Implementation Section of the Central Bank of Cyprus (tel: 22714318, e.mail: mopis@centralbank.cy).