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VALUATION HAIRCUT

Statistics Directorate    
Definition:
A risk control measure applied to underlying assets used in reverse transactions, in which the central bank calculates the value of underlying assets as their market value reduced by a certain percentage (haircut). The Eurosystem applies valuation haircuts reflecting features of the specific assets, such as their residual maturity.

Source Publication:
European Central Bank, 2003, Annual Report: 2003, ECB, Frankfurt, Glossary.

Statistical Theme: Financial statistics

Created on Wednesday, July 13, 2005