Article 2 · ECB/2020/20

Contents

Article 2Amendments 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 4Additional valuation haircuts applied to specific types of marketable assetsIn 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 2Valuation haircut levels (in %) applied to eligible marketable assets in haircut categories I to IV| Haircut categoriesCredit quality | Residual maturity (years) | Category I | Category II | Category III | Category IVfixed coupon | zero coupon | floating coupon | fixed coupon | zero coupon | floating coupon | fixed coupon | zero coupon | floating coupon | fixed coupon | zero coupon | floating couponSteps 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 | 11,6Step 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 | 24,4Table 2aValuation haircut levels (in %) applied to eligible marketable assets in haircut category V| | Category VCredit quality | Weighted Average Life | Valuation haircutSteps 1 and 2 | [0,1) | 3,2[1,3) | 3,6[3,5) | 4,0[5,7) | 7,2[7,10) | 10,4[10, ∞) | 16,0Table 3Valuation haircut levels (in %) applied to eligible credit claimsCredit quality | Residual maturity (years) | Fixed interest payment | Floating interest paymentSteps 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 | 14,8Step 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

Decision (EU) 2020/506 (ECB/2020/20)

Article 2Amendments to Guideline (EU) 2016/65 (ECB/2015/35)#

Defined terms · 1

Key facts

History · 1 version

Article 2Amendments to Guideline (EU) 2016/65 (ECB/2015/35)#

Connections