What do you do? buydrugonline.org Even downgrades where collateral remains ECB-eligible canstill be hugely damaging to bank balance sheets. Asecuritisation which is downgraded from A- to BBB attracts a22% haircut instead of a 10% haircut, which could drain a largevolume of liquidity from the system. The ECB had EUR347.5bn ofABS collateral pledged at the end of the second quarter of 2013.