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

Guideline (EU) 2016/65 (ECB/2015/35) is amended as follows:

1. (1)

   Article 4 is replaced by the following:

   ‘Additional valuation haircuts applied to specific types of marketable assets

   Article 4

   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:

   1. (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%;

   2. (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;

   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);

   4. (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. (2)

   in Article 5, paragraph 5 is replaced by the following:

   1. 5.

      ‘Non-marketable retail mortgage-backed debt instruments shall be subject to a valuation haircut of 25,2%.’;

3. (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

   i.e. [0,1) residual maturity less than one year, [1,3) residual maturity equal to or greater than one year and less than three years, etc.
   		Haircut categories
   Credit quality	Residual maturity (years)f1	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

   i.e. [0,1) WAL less than one year, [1,3) WAL equal to or greater than one year and less than three years, etc.
   		Category V
   Credit quality	Weighted Average Lifef2	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

   i.e. [0,1) residual maturity less than one year, [1,3) residual maturity equal to or greater than one year and less than three years, etc.
   Credit quality	Residual maturity (years)f3	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

   ’.