Amendments to Guideline (EU) 2016/65 (ECB/2015/35)
Guideline (EU) 2016/65 (ECB/2015/35) is amended as follows:
(1)
Article 4 is replaced by the following:
‘Article 4
Additional valuation haircuts applied to specific types of marketable assets
In addition to the valuation haircuts laid down in Article 3 of this Guideline, the following additional valuation haircuts shall apply for specific types of marketable assets:
(a)
asset-backed securities, covered bonds and unsecured debt instruments issued by credit institutions that are theoretically valued in accordance with the rules contained in Article 134 of Guideline (EU) 2015/510 (ECB/2014/60) shall be subject to an additional valuation haircut in the form of a valuation markdown of 4%;
(b)
own-use covered bonds shall be subject to an additional valuation haircut of (i) 6,4% applied to the value of the debt instruments allocated to credit quality steps 1 and 2, and (ii) 9,6% applied to the value of the debt instruments allocated to credit quality step 3;
(c)
for the purposes of paragraph (b), “own-use” shall mean the submission or use by a counterparty of covered bonds that are issued or guaranteed by the counterparty itself or by any other entity with which that counterparty has close links as determined in accordance with Article 138 of Guideline (EU) 2015/510 (ECB/2014/60);
(d)
if the additional valuation haircut referred to in paragraph (b) cannot be applied with respect to a collateral management system of an NCB, triparty agent, or TARGET2-Securities for auto-collateralisation, the additional valuation haircut shall be applied in such systems or platform to the entire issuance value of the covered bonds that can be own used.’;
(2)
in Article 5, paragraph 5 is replaced by the following:
‘5.
Non-marketable retail mortgage-backed debt instruments shall be subject to a valuation haircut of 25,2%.’;
(3)
in the Annex, Tables 2, 2a and 3 are replaced by the following:
‘Table 2
Valuation haircut levels (in %) applied to eligible marketable assets in haircut categories I to IV
Haircut categories
Credit quality
Residual maturity (years) ( *1 )
Category I
Category II
Category III
Category IV
fixed coupon
zero coupon
floating coupon
fixed coupon
zero coupon
floating coupon
fixed coupon
zero coupon
floating coupon
fixed coupon
zero coupon
floating coupon
Steps 1 and 2
[0,1)
0,4
0,4
0,4
0,8
0,8
0,8
0,8
0,8
0,8
6,0
6,0
6,0
[1,3)
0,8
1,6
0,4
1,2
2,0
0,8
1,6
2,4
0,8
8,0
8,4
6,0
[3,5)
1,2
2,0
0,4
2,0
2,8
0,8
2,4
3,6
0,8
10,4
10,8
6,0
[5,7)
1,6
2,4
0,8
2,8
3,6
1,2
3,6
4,8
1,6
11,6
12,4
8,0
[7,10)
2,4
3,2
1,2
3,6
5,2
2,0
4,8
6,4
2,4
13,2
14,4
10,4
[10, ∞)
4,0
5,6
1,6
6,4
8,4
2,8
7,2
10,4
3,6
16,0
20,4
11,6
Step 3
[0,1)
4,8
4,8
4,8
5,6
5,6
5,6
6,4
6,4
6,4
10,4
10,4
10,4
[1,3)
5,6
6,4
4,8
7,6
10,8
5,6
9,6
12,0
6,4
18,0
20,0
10,4
[3,5)
7,2
8,0
4,8
10,8
14,8
5,6
13,2
17,6
6,4
22,4
26,0
10,4
[5,7)
8,0
9,2
5,6
11,2
16,0
7,6
14,8
20,8
9,6
24,4
28,0
18,0
[7,10)
9,2
10,4
7,2
12,8
19,6
10,8
15,2
22,4
13,2
24,8
29,6
22,4
[10, ∞)
10,4
12,8
8,0
15,2
23,6
11,2
15,6
24,0
14,8
25,2
30,4
24,4
Table 2a
Valuation haircut levels (in %) applied to eligible marketable assets in haircut category V
Category V
Credit quality
Weighted Average Life ( *2 )
Valuation haircut
Steps 1 and 2
[0,1)
3,2
[1,3)
3,6
[3,5)
4,0
[5,7)
7,2
[7,10)
10,4
[10, ∞)
16,0
Table 3
Valuation haircut levels (in %) applied to eligible credit claims
Credit quality
Residual maturity (years) ( *3 )
Fixed interest payment
Floating interest payment
Steps 1 and 2
[0,1)
6,4
6,4
[1,3)
9,6
6,4
[3,5)
12,8
6,4
[5,7)
14,8
9,6
[7,10)
19,2
12,8
[10, ∞)
28
14,8
Step 3
[0,1)
12
12
[1,3)
22,4
12
[3,5)
29,2
12
[5,7)
34,4
22,4
[7,10)
36
29,2
[10, ∞)
38,4
34,4
