http://press.princeton.edu/chapters/s7603.pdf

I have uploaded below a file on the haircuts applied to the collateral posted by the banks in the Eurosystem. For example suppose that a bank wants to obtain 100 million euros in a liquidity operation of the ECB. The bank can obtain that liquidity by posting collateral but the amount to post will differ according to the credit quality of the assets used. For example:

- If it uses 10 year BBB- fixed coupon government bonds as collateral (the corresponding haircut is 10.5, see file) the bank will have to post 111.7318 million euros of bonds (so that 111.7318*(1-0.105)=100)

- If it uses 1 year AAA fixed coupon bonds it will have to post only 100.5025 million (so that after the haircut they will amount to 100=100.5025*(1-0.005))

Note that "posting collateral" only means that the bank has to keep the bonds in its balance sheet and cannot use them for different purposes during the duration of the ECB operation unless it replaces them with other collateral instruments to cover the loan provided by the ECB.