欧洲中央银行指南(EU) 2016/2299，修订关于实施欧元体系货币政策框架申请抵押贷款评估值的指南(EU) 2016/65(ECB/2016/32)
技术法规类型：欧盟Eurlex法规 来源：tbtmap
EURLEX ID：32016O0032
OJ编号：OJ L 344, 17.12.2016, p. 117–122 (BG, ES, CS, DA, DE, ET, EL, EN, FR, HR, IT, LV, LT, HU, MT, NL, PL, PT, RO, SK, SL, FI, SV)
中文标题：欧洲中央银行指南(EU) 2016/2299，修订关于实施欧元体系货币政策框架申请抵押贷款评估值的指南(EU) 2016/65(ECB/2016/32)
原文标题：Guideline (EU) 2016/2299 of the European Central Bank of 2 November 2016 amending Guideline (EU) 2016/65 on the valuation haircuts applied in the implementation of the Eurosystem monetary policy framework (ECB/2016/32)
生效日期：2016-12-17
废止日期：9999-12-31
法规全文：查看欧盟官方文件
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17.12.2016 |
EN |
Official Journal of the European Union |
L 344/117 |
GUIDELINE (EU) 2016/2299 OF THE EUROPEAN CENTRAL BANK
of 2 November 2016
amending Guideline (EU) 2016/65 on the valuation haircuts applied in the implementation of the Eurosystem monetary policy framework (ECB/2016/32)
THE GOVERNING COUNCIL OF THE EUROPEAN CENTRAL BANK,
Having regard to the Treaty on the Functioning of the European Union, and in particular the first indent of Article 127(2) thereof,
Having regard to the Statute of the European System of Central Banks and of the European Central Bank, and in particular the first indent of Article 3.1, Articles 9.2, 12.1, 14.3, 18.2 and the first paragraph of Article 20 thereof,
Whereas:
|
(1) |
All eligible assets for Eurosystem credit operations are subject to specific risk control measures in order to protect the Eurosystem against financial losses in circumstances where its collateral has to be realised due to an event of default of a counterparty. As a result of the regular review of the Eurosystem risk control framework, several adjustments must be made in order to ensure adequate protection. |
|
(2) |
Therefore, Guideline (EU) 2016/65 of the European Central Bank (ECB/2015/35) (1) should be amended accordingly, |
HAS ADOPTED THIS GUIDELINE:
Article 1
Amendments
Guideline (EU) 2016/65 (ECB/2015/35) is amended as follows:
|
1. |
Article 1 is replaced by the following: ‘Article 1 Valuation haircuts applied to eligible marketable assets 1. In accordance with Title VI of Part Four of Guideline (EU) 2015/510 (ECB/2014/60), marketable assets shall be subject to valuation haircuts, as defined in point 97 of Article 2 of Guideline (EU) 2015/510 (ECB/2014/60), at the levels set forth in Tables 2 and 2a in the Annex to this Guideline. 2. The valuation haircut for a specific asset depends on the following factors:
|
|
2. |
in Article 2, points (b) and (c) are replaced by the following:
|
|
3. |
Article 3 is replaced by the following: ‘Article 3 Valuation haircuts for marketable assets 1. The valuation haircuts for marketable assets allocated to haircut categories I to IV shall be determined based on:
2. For marketable assets allocated to haircut categories I to IV, the applicable valuation haircut shall depend on the residual maturity and coupon structure as follows.
3. For marketable assets allocated to haircut category V, regardless of their coupon structure, the valuation haircuts shall be determined based on the weighted average life of the asset as detailed in paragraphs 4 and 5. The valuation haircuts applicable to marketable assets in category V are laid down in Table 2a in the Annex to this Guideline. 4. The weighted average life of the senior tranche of an asset-backed security shall be estimated as the expected weighted average time remaining until repayment has been made for that tranche. For retained mobilised asset-backed securities, the calculation of the weighted average life shall assume that issuer call options will not be exercised. 5. For the purposes of paragraph 4, “retained mobilised asset-backed securities” shall mean asset-backed securities used in a percentage greater than 75 % of the outstanding nominal amount by a counterparty that originated the asset-backed security or by entities closely linked to the originator. Such close links shall be determined in accordance with Article 138 of Guideline (EU) 2015/510 (ECB/2014/60).’; |
|
4. |
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 36,5 %.’; |
|
5. |
in Article 5, paragraph 7 is replaced by the following: ‘7. Each underlying credit claim included in the cover pool of a non-marketable debt instrument backed by eligible credit claims (hereinafter “DECC”) shall be subject to a valuation haircut applied at an individual level following the rules set out in paragraphs 1 to 4 above. The aggregate value of the underlying credit claims included in the cover pool after the application of valuation haircuts shall, at all times, remain equal to or above the value of the principal amount of the DECC that is outstanding. If the aggregate value falls below the threshold referred to in the previous sentence, the DECC shall be deemed ineligible.’. |
|
6. |
The Annex to Guideline (EU) 2016/65 (ECB/2015/35) is replaced by the Annex to this Guideline. |
Article 2
Taking effect and implementation
1. This Guideline shall take effect on the day of its notification to the national central banks of the Member States whose currency is the euro.
2. The national central banks of the Member States whose currency is the euro shall take the necessary measures to comply with this Guideline and apply them from 1 January 2017. They shall notify the ECB of the texts and means relating to those measures by 5 December 2016 at the latest.
Article 3
Addressees
This Guideline is addressed to the national central banks of the Member States whose currency is the euro.
Done at Frankfurt am Main, 2 November 2016.
For the Governing Council of the ECB
The President of the ECB
Mario DRAGHI
(1) Guideline (EU) 2016/65 of the European Central Bank of 18 November 2015 on the valuation haircuts applied in the implementation of the Eurosystem monetary policy framework (ECB/2015/35) (OJ L 14, 21.1.2016, p. 30).
ANNEX
The Annex to Guideline (EU) 2016/65 (ECB/2015/35) is replaced by the following:
‘ANNEX
Table 1
Haircut categories for eligible marketable assets based on the type of issuer and/or type of asset
|
Category I |
Category II |
Category III |
Category IV |
Category V |
|
debt instruments issued by central governments ECB debt certificates debt certificates issued by national central banks (NCBs) prior to the date of adoption of the euro in their re spective Member State |
debt instruments issued by local and regional governments debt instruments issued by entities classified as agencies by the Eurosystem debt instruments issued by multilateral development banks and international organisations UCITS compliant jumbo covered bonds |
UCITS compliant covered bonds other than UCITS compliant jumbo covered bonds other covered bonds debt instruments issued by non-financial corporations and corporations in the government sector |
unsecured debt instruments issued by credit institutions unsecured debt instruments issued by financial corporations other than credit institutions |
asset-backed securities |
Table 2
Valuation haircut levels 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 |
fixed coupon |
zero coupon |
fixed coupon |
zero coupon |
fixed coupon |
zero coupon |
||
|
Steps 1 and 2 |
[0-1) |
0,5 |
0,5 |
1,0 |
1,0 |
1,0 |
1,0 |
7,5 |
7,5 |
|
[1-3) |
1,0 |
2,0 |
1,5 |
2,5 |
2,0 |
3,0 |
10,0 |
10,5 |
|
|
[3-5) |
1,5 |
2,5 |
2,5 |
3,5 |
3,0 |
4,5 |
13,0 |
13,5 |
|
|
[5-7) |
2,0 |
3,0 |
3,5 |
4,5 |
4,5 |
6,0 |
14,5 |
15,5 |
|
|
[7-10) |
3,0 |
4,0 |
4,5 |
6,5 |
6,0 |
8,0 |
16,5 |
18,0 |
|
|
[10,∞) |
5,0 |
7,0 |
8,0 |
10,5 |
9,0 |
13,0 |
20,0 |
25,5 |
|
|
|
Haircut categories |
||||||||
|
Credit quality |
Residual maturity (years) (*1) |
Category I |
Category II |
Category III |
Category IV |
||||
|
fixed coupon |
zero coupon |
fixed coupon |
zero coupon |
fixed coupon |
zero coupon |
fixed coupon |
zero coupon |
||
|
Step 3 |
[0-1) |
6,0 |
6,0 |
7,0 |
7,0 |
8,0 |
8,0 |
13,0 |
13,0 |
|
[1-3) |
7,0 |
8,0 |
9,5 |
13,5 |
14,5 |
15,0 |
22,5 |
25,0 |
|
|
[3-5) |
9,0 |
10,0 |
13,5 |
18,5 |
20,5 |
23,5 |
28,0 |
32,5 |
|
|
[5-7) |
10,0 |
11,5 |
14,0 |
20,0 |
23,0 |
28,0 |
30,5 |
35,0 |
|
|
[7-10) |
11,5 |
13,0 |
16,0 |
24,5 |
24,0 |
30,0 |
31,0 |
37,0 |
|
|
[10,∞) |
13,0 |
16,0 |
19,0 |
29,5 |
24,5 |
32,0 |
31,5 |
38,0 |
|
Table 2a
Valuation haircut levels applied to eligible marketable assets in haircut category V
|
|
|
Category V |
|
Credit quality |
Weighted Average Life (WAL) (*2) |
Valuation haircut |
|
Steps 1 and 2 (AAA to A-) |
[0-1) |
4,0 |
|
[1-3) |
4,5 |
|
|
[3-5) |
5,0 |
|
|
[5-7) |
9,0 |
|
|
[7-10) |
13,0 |
|
|
[10,∞) |
20,0 |
Table 3
Valuation haircut levels applied to eligible credit claims with fixed interest payments
|
|
Valuation methodology |
||
|
Credit quality |
Residual maturity (years) (*3) |
Fixed interest payment and a valuation based on a theoretical price assigned by the NCB |
Fixed interest payment and a valuation according to the outstanding amount assigned by the NCB |
|
Steps 1 and 2 (AAA to A-) |
[0-1) |
10,0 |
12,0 |
|
[1-3) |
12,0 |
16,0 |
|
|
[3-5) |
14,0 |
21,0 |
|
|
[5-7) |
17,0 |
27,0 |
|
|
[7-10) |
22,0 |
35,0 |
|
|
[10,∞) |
30,0 |
45,0 |
|
|
|
Valuation methodology |
||
|
Credit quality |
Residual maturity (years) (*3) |
Fixed interest payment and a valuation based on a theoretical price assigned by the NCB |
Fixed interest payment and a valuation according to the outstanding amount assigned by the NCB |
|
Step 3 (BBB+ to BBB-) |
[0-1) |
17,0 |
19,0 |
|
[1-3) |
28,5 |
33,5 |
|
|
[3-5) |
36,0 |
45,0 |
|
|
[5-7) |
37,5 |
50,5 |
|
|
[7-10) |
38,5 |
56,5 |
|
|
[10,∞) |
40,0 |
63,0 |
|
(*1) 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.
(*2) 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.
(*3) 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.’.
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