Validity since 11.03.2008

in %

Residual maturity
of assets (in years)
Government securities and NBS bills Covered bond
Assets with
fixed interest
rate coupon
Assets with
zero coupon
Assets with
variable interest
rate coupon
Assets with
fixed interest
rate coupon
Assets with
zero coupon
Assets with
variable interest
rate coupon
0 - 1 1,5 1,5 1,5 3 3 3
1 - 3 2,5 2,5 1,5 4,5 4,5 3
3 - 5 3,5 4 1,5 6 6,5 3
5 - 7 4 4,5 1,5 7 7,5 3
7 - 10 5 5,5 1,5 8 9,5 3
over 10 6,5 9,5 1,5 10,5 16,5 3
  • Residual maturity = (maturity date - actual date)/365
  • Valuation haircuts in the above table for covered bonds are for those, who meet high credit standards,
    which is the rating agencies assessment at a minimum long-term rating of "A" by Moody's, Fitch a S&P.
  • Valuation haircuts for covered bonds are to be increased by 5 % when long-term ratings of Moody's,
    Fitch and S&P are assigned to levels "Baa", "BBB" and "BBB" respectively.