# Commission Delegated Regulation (EU) 2016/2251 of 4 October 2016 supplementing Regulation (EU) No 648/2012 of the European Parliament and of the Council on OTC derivatives, central counterparties and trade repositories with regard to regulatory technical standards for risk-mitigation techniques for OTC derivative contracts not cleared by a central counterparty (Text with EEA relevance), Division 2: Counterparties shall apply at least the haircuts provided in the following Tables 1 and 2 to the market value of the collateral:

Extent: E+W+S+N.I.

Table 1
Haircuts for long term credit quality assessments
Credit quality step with which the credit assessment of the debt security is associated
Residual maturity
Haircuts for debt securities issued by entities described in Article 4 (1) (c) to (e) and (h) to (k), in (%)
Haircuts for debt securities issued by entities described in Article 4 (1) (f), (g), (l) to (n) in (%)
Haircuts for securitisation positions meeting the criteria in Article 4 (1) (o) in (%)
1
≤ 1 year
0,5
1
2
> 1 ≤ 5 years
2
4
8
> 5 years
4
8
16
2-3
≤ 1 year
1
2
4
> 1 ≤ 5 years
3
6
12
> 5 years
6
12
24
4 or below
≤ 1 year
15
N/A
N/A
> 1 ≤ 5 years
15
N/A
N/A
> 5 years
15
N/A
N/A
Table 2
Haircuts for short term credit quality assessments
Credit quality step with which the credit assessment of a short term debt security is associated
Haircuts for debt securities issued by entities described in Article 4(1) (c) and (j) in (%)
Haircuts for debt securities issued by entities described in Article 4(1) (m) in (%)
Haircuts for securitisation positions and meeting the criteria in Article 4(1) (o) in (%)
1
0,5
1
2
2-3 or below
1
2
4

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Source: https://www.legislation.gov.uk/eur/2016/2251/annex/II/division/n2 (the official version)
Page: https://openlegislation.uk/eu-regulation-2016-2251/annex-II/division-n2
Contains public sector information licensed under the Open Government Licence v3.0. Source: legislation.gov.uk, The National Archives.