# Official Journal L 11/2015

| | ISSN 1977-0677 |
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| Official Journal
  of the European Union | L 11 |
| | |
| English edition | Legislation | Volume 5817 January 2015 |

ISSN 1977-0677

Official Journal

of the European Union

L 11

English edition

Legislation

Volume 5817 January 2015

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| Contents | | II   Non-legislative acts | page |
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| | | REGULATIONS |
| | * | Commission Delegated Regulation (EU) 2015/61 of 10 October 2014 to supplement Regulation (EU) No 575/2013 of the European Parliament and the Council with regard to liquidity coverage requirement for Credit Institutions (
  1
  ) | 1 |
| | * | Commission Delegated Regulation (EU) 2015/62 of 10 October 2014 amending Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to the leverage ratio (
  1
  ) | 37 |
| | * | Commission Delegated Regulation (EU) 2015/63 of 21 October 2014 supplementing Directive 2014/59/EU of the European Parliament and of the Council with regard to ex ante contributions to resolution financing arrangements | 44 |
| | * | Commission Implementing Regulation (EU) 2015/64 of 16 January 2015 amending for the 224th time Council Regulation (EC) No 881/2002 imposing certain specific restrictive measures directed against certain persons and entities associated with the Al-Qaeda network | 65 |
| | | Commission Implementing Regulation (EU) 2015/65 of 16 January 2015 establishing the standard import values for determining the entry price of certain fruit and vegetables | 68 |
| | | Commission Implementing Regulation (EU) 2015/66 of 16 January 2015 fixing the allocation coefficient to be applied to the quantities covered by the applications for import licences lodged from 1 to 7 January 2015 under the tariff quotas opened by Regulation (EC) No 341/2007 for garlic | 70 |
| | | DECISIONS |
| | * | Political and Security Committee Decision (CFSP) 2015/67 (EUCAP Sahel Mali/1/2015) of 14 January 2015 extending the mandate of the Head of Mission of the European Union CSDP mission in Mali (EUCAP Sahel Mali) | 72 |

Contents

II   Non-legislative acts

page

REGULATIONS

*

Commission Delegated Regulation (EU) 2015/61 of 10 October 2014 to supplement Regulation (EU) No 575/2013 of the European Parliament and the Council with regard to liquidity coverage requirement for Credit Institutions (
  1
  )

1

1

*

Commission Delegated Regulation (EU) 2015/62 of 10 October 2014 amending Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to the leverage ratio (
  1
  )

1

37

*

Commission Delegated Regulation (EU) 2015/63 of 21 October 2014 supplementing Directive 2014/59/EU of the European Parliament and of the Council with regard to ex ante contributions to resolution financing arrangements

ex ante

44

*

Commission Implementing Regulation (EU) 2015/64 of 16 January 2015 amending for the 224th time Council Regulation (EC) No 881/2002 imposing certain specific restrictive measures directed against certain persons and entities associated with the Al-Qaeda network

65

Commission Implementing Regulation (EU) 2015/65 of 16 January 2015 establishing the standard import values for determining the entry price of certain fruit and vegetables

68

Commission Implementing Regulation (EU) 2015/66 of 16 January 2015 fixing the allocation coefficient to be applied to the quantities covered by the applications for import licences lodged from 1 to 7 January 2015 under the tariff quotas opened by Regulation (EC) No 341/2007 for garlic

70

DECISIONS

*

Political and Security Committee Decision (CFSP) 2015/67 (EUCAP Sahel Mali/1/2015) of 14 January 2015 extending the mandate of the Head of Mission of the European Union CSDP mission in Mali (EUCAP Sahel Mali)

72

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| | (1)   Text with EEA relevance |

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(1)   Text with EEA relevance

1

| EN | Acts whose titles are printed in light type are those relating to day-to-day management of agricultural matters, and are generally valid for a limited period.
  The titles of all other Acts are printed in bold type and preceded by an asterisk. |
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EN

Acts whose titles are printed in light type are those relating to day-to-day management of agricultural matters, and are generally valid for a limited period.

The titles of all other Acts are printed in bold type and preceded by an asterisk.

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II Non-legislative acts

REGULATIONS

| 17.1.2015 | EN | Official Journal of the European Union | L 11/1 |
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17.1.2015

EN

Official Journal of the European Union

L 11/1

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COMMISSION DELEGATED REGULATION (EU) 2015/61

of 10 October 2014

to supplement Regulation (EU) No 575/2013 of the European Parliament and the Council with regard to liquidity coverage requirement for Credit Institutions

(Text with EEA relevance)

THE EUROPEAN COMMISSION,

Having regard to the Treaty on the Functioning of the European Union,

Having regard to Regulation (EU) No 575/2013 of the European Parliament and the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (1), and in particular Article 460 thereof,

Whereas:

| (1) | During the early ‘liquidity phase’ of the financial crisis that began in 2007, many credit institutions, despite maintaining adequate capital levels, experienced significant difficulties because they had failed to manage their liquidity risk prudently. Some credit institutions became overly dependent on short term financing which rapidly dried up at the onset of the crisis. Such credit institutions then became vulnerable to liquidity demands because they were not holding a sufficient volume of liquid assets to meet demands to withdraw funds (outflows) during the stressed period. Credit institutions were then forced to liquidate assets in a fire-sale which created a self-reinforcing downward price spiral and lack of market confidence triggering a solvency crisis. Ultimately many credit institutions became excessively dependent on liquidity provision by the central banks and had to be bailed out by the injection of massive amount of funds from the public purse. Thus it became apparent that it was necessary to develop a detailed liquidity coverage requirement whose aim should be to avoid this risk by making credit institutions less dependent on short-term financing and central bank liquidity provision and more resilient to sudden liquidity shocks. |
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(1)

During the early ‘liquidity phase’ of the financial crisis that began in 2007, many credit institutions, despite maintaining adequate capital levels, experienced significant difficulties because they had failed to manage their liquidity risk prudently. Some credit institutions became overly dependent on short term financing which rapidly dried up at the onset of the crisis. Such credit institutions then became vulnerable to liquidity demands because they were not holding a sufficient volume of liquid assets to meet demands to withdraw funds (outflows) during the stressed period. Credit institutions were then forced to liquidate assets in a fire-sale which created a self-reinforcing downward price spiral and lack of market confidence triggering a solvency crisis. Ultimately many credit institutions became excessively dependent on liquidity provision by the central banks and had to be bailed out by the injection of massive amount of funds from the public purse. Thus it became apparent that it was necessary to develop a detailed liquidity coverage requirement whose aim should be to avoid this risk by making credit institutions less dependent on short-term financing and central bank liquidity provision and more resilient to sudden liquidity shocks.

| (2) | Article 412(1) of Regulation (EU) No 575/2013 imposes a liquidity coverage requirement on credit institutions formulated in general terms as an obligation to hold ‘liquid assets, the sum of the values of which covers the liquidity outflows less the liquidity inflows under stressed conditions’. Pursuant to Article 460 of Regulation (EU) No 575/2013, the Commission is empowered to specify in detail that liquidity coverage requirement and the circumstances under which competent authorities have to impose specific in- and outflow levels on credit institutions in order to capture specific risks to which they are exposed. In accordance with Recital 101 of Regulation (EU) No 575/2013, the rules should be comparable to the liquidity coverage ratio set out in the international framework for liquidity risk measurement, standards and monitoring of the Basel Committee on Banking Supervision (‘BCBS’), taking into account Union and national specificities. Until the full implementation of the liquidity coverage requirement from 1 January 2018, Member States should be able to apply a liquidity coverage requirement up to 100 % for credit institutions in accordance with national law. |
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(2)

Article 412(1) of Regulation (EU) No 575/2013 imposes a liquidity coverage requirement on credit institutions formulated in general terms as an obligation to hold ‘liquid assets, the sum of the values of which covers the liquidity outflows less the liquidity inflows under stressed conditions’. Pursuant to Article 460 of Regulation (EU) No 575/2013, the Commission is empowered to specify in detail that liquidity coverage requirement and the circumstances under which competent authorities have to impose specific in- and outflow levels on credit institutions in order to capture specific risks to which they are exposed. In accordance with Recital 101 of Regulation (EU) No 575/2013, the rules should be comparable to the liquidity coverage ratio set out in the international framework for liquidity risk measurement, standards and monitoring of the Basel Committee on Banking Supervision (‘BCBS’), taking into account Union and national specificities. Until the full implementation of the liquidity coverage requirement from 1 January 2018, Member States should be able to apply a liquidity coverage requirement up to 100 % for credit institutions in accordance with national law.

| (3) | Consistent with BCBS liquidity standards, rules should be adopted to define the liquidity coverage requirement as a ratio of a credit institution's buffer of ‘liquid assets’ to its ‘net liquidity outflows’ over a 30 calendar day stress period. ‘Net liquidity outflows’ should be calculated by deducting the credit institution's liquidity inflows from its liquidity outflows. The liquidity coverage ratio should be expressed as a percentage and set at a minimum level of 100 %, when fully implemented, which indicates that a credit institution holds sufficient liquid assets to meet its net liquidity outflows during a 30-day stress period. During such a period, a credit institution should be able to convert quickly its liquid assets into cash without recourse to central bank liquidity or public funds, which may result in its liquidity coverage ratio falling temporarily below the 100 % level. Should that occur or be expected to occur at any time, credit institutions should comply with the specific requirements laid down in Article 414 of Regulation (EU) No 575/2013 for a timely restoration of their liquidity coverage ratio to the minimum level. |
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(3)

Consistent with BCBS liquidity standards, rules should be adopted to define the liquidity coverage requirement as a ratio of a credit institution's buffer of ‘liquid assets’ to its ‘net liquidity outflows’ over a 30 calendar day stress period. ‘Net liquidity outflows’ should be calculated by deducting the credit institution's liquidity inflows from its liquidity outflows. The liquidity coverage ratio should be expressed as a percentage and set at a minimum level of 100 %, when fully implemented, which indicates that a credit institution holds sufficient liquid assets to meet its net liquidity outflows during a 30-day stress period. During such a period, a credit institution should be able to convert quickly its liquid assets into cash without recourse to central bank liquidity or public funds, which may result in its liquidity coverage ratio falling temporarily below the 100 % level. Should that occur or be expected to occur at any time, credit institutions should comply with the specific requirements laid down in Article 414 of Regulation (EU) No 575/2013 for a timely restoration of their liquidity coverage ratio to the minimum level.

| (4) | Only freely transferable assets that can be converted quickly into cash in private markets within a short timeframe and without significant loss in value should be defined as ‘liquid assets’ for the purposes of credit institutions' liquidity buffers. Consistent with Part Six of Regulation (EU) No 575/2013 and the BCBS classification of liquid assets, appropriate rules should differentiate between assets of extremely high liquidity and credit quality or level 1 assets, and assets of high liquidity and credit quality or level 2 assets. The latter should be further divided into level 2A and 2B assets. Credit institutions should hold an adequately diversified buffer of liquid assets, having regard to their relative liquidity and credit quality. Accordingly, each level and sub-level should be subject to specific requirements on haircuts and limits of the overall buffer and, where appropriate, differentiated requirements should be applied between levels or sub-levels and between categories of liquid assets in the same level or sub-level, which should be more stringent the lower their liquidity classification. |
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(4)

Only freely transferable assets that can be converted quickly into cash in private markets within a short timeframe and without significant loss in value should be defined as ‘liquid assets’ for the purposes of credit institutions' liquidity buffers. Consistent with Part Six of Regulation (EU) No 575/2013 and the BCBS classification of liquid assets, appropriate rules should differentiate between assets of extremely high liquidity and credit quality or level 1 assets, and assets of high liquidity and credit quality or level 2 assets. The latter should be further divided into level 2A and 2B assets. Credit institutions should hold an adequately diversified buffer of liquid assets, having regard to their relative liquidity and credit quality. Accordingly, each level and sub-level should be subject to specific requirements on haircuts and limits of the overall buffer and, where appropriate, differentiated requirements should be applied between levels or sub-levels and between categories of liquid assets in the same level or sub-level, which should be more stringent the lower their liquidity classification.

| (5) | Certain general and operational requirements should be applied to liquid assets to ensure they can be converted into cash within a short timeframe, subject to some exceptions for specified level 1 assets where appropriate. These requirements should specify that liquid assets should be held free from any obstacle preventing their disposal, easy to value and listed on recognised exchanges or tradable on active sale or repurchase markets. They should also ensure that the credit institution's liquidity management function has access to and control of its liquid assets at all times and that the assets comprising the liquidity buffer are appropriately diversified. Diversification is important to ensure that a credit institution's ability to rapidly liquidate liquid assets without a significant loss in value is not compromised by those assets being vulnerable to a common risk factor. Credit institutions should also be required to ensure consistency of the currency denomination of their liquid assets and their net liquidity outflows, to prevent an excessive currency mismatch from compromising their ability to use their liquidity buffer to meet liquidity outflows in a specific currency in a stress period. |
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(5)

Certain general and operational requirements should be applied to liquid assets to ensure they can be converted into cash within a short timeframe, subject to some exceptions for specified level 1 assets where appropriate. These requirements should specify that liquid assets should be held free from any obstacle preventing their disposal, easy to value and listed on recognised exchanges or tradable on active sale or repurchase markets. They should also ensure that the credit institution's liquidity management function has access to and control of its liquid assets at all times and that the assets comprising the liquidity buffer are appropriately diversified. Diversification is important to ensure that a credit institution's ability to rapidly liquidate liquid assets without a significant loss in value is not compromised by those assets being vulnerable to a common risk factor. Credit institutions should also be required to ensure consistency of the currency denomination of their liquid assets and their net liquidity outflows, to prevent an excessive currency mismatch from compromising their ability to use their liquidity buffer to meet liquidity outflows in a specific currency in a stress period.

| (6) | In accordance with the recommendations made by the European Banking Authority (EBA) in its report of 20 December 2013, prepared pursuant to Article 509(3) and (5) of Regulation (EU) No 575/2013, all types of bonds issued or guaranteed by Member States' central governments and central banks as well as those issued or guaranteed by supranational institutions should be given level 1 status. As the EBA noted, there are strong supervisory arguments for not discriminating between various Member States because the exclusion of some sovereign bonds from level 1 would create incentives to invest in other sovereign bonds within the Union, which would result in the fragmentation of the internal market and increase the risk of mutual contagion in a crisis between credit institutions and their sovereigns (the ‘bank-sovereign nexus’). As regards third countries, level 1 status should be given to exposures to central banks and sovereigns which are assigned a 0 % risk weight under the credit risk rules in Title II of Part 3 of Regulation (EU) No 575/2013, as is provided for in the BCBS standard. Exposures to regional governments, local authorities and public sector entities should be given level 1 status only where they are treated as exposures to their central government and the latter benefits from a 0 % risk weight in accordance with the same credit risk rules. The same status should apply to exposures to 0 % risk-weighted multilateral development banks and international organisations. Given the extremely high liquidity and credit quality demonstrated by those assets, credit institutions should be allowed to hold them in their buffers without limit and they should not be subject to a haircut or a diversification requirement. |
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(6)

In accordance with the recommendations made by the European Banking Authority (EBA) in its report of 20 December 2013, prepared pursuant to Article 509(3) and (5) of Regulation (EU) No 575/2013, all types of bonds issued or guaranteed by Member States' central governments and central banks as well as those issued or guaranteed by supranational institutions should be given level 1 status. As the EBA noted, there are strong supervisory arguments for not discriminating between various Member States because the exclusion of some sovereign bonds from level 1 would create incentives to invest in other sovereign bonds within the Union, which would result in the fragmentation of the internal market and increase the risk of mutual contagion in a crisis between credit institutions and their sovereigns (the ‘bank-sovereign nexus’). As regards third countries, level 1 status should be given to exposures to central banks and sovereigns which are assigned a 0 % risk weight under the credit risk rules in Title II of Part 3 of Regulation (EU) No 575/2013, as is provided for in the BCBS standard. Exposures to regional governments, local authorities and public sector entities should be given level 1 status only where they are treated as exposures to their central government and the latter benefits from a 0 % risk weight in accordance with the same credit risk rules. The same status should apply to exposures to 0 % risk-weighted multilateral development banks and international organisations. Given the extremely high liquidity and credit quality demonstrated by those assets, credit institutions should be allowed to hold them in their buffers without limit and they should not be subject to a haircut or a diversification requirement.

| (7) | Assets issued by credit institutions should generally not be recognised as liquid assets, but level 1 treatment should be conferred upon bank assets supported by Member States governments, such as promotional and government-owned lenders as well as private bank assets with an explicit State guarantee. The latter constitute a legacy from the financial crisis that should be phased-out and, accordingly, only bank assets with a government guarantee granted or committed to prior to 30 June 2014 should be eligible as liquid assets. Similarly, senior bonds issued by certain specified asset management agencies of certain Member States should be treated as level 1 assets subject to the same requirements applicable to exposures to the central government of their respective Member State but only with a time-limited effect. |
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(7)

Assets issued by credit institutions should generally not be recognised as liquid assets, but level 1 treatment should be conferred upon bank assets supported by Member States governments, such as promotional and government-owned lenders as well as private bank assets with an explicit State guarantee. The latter constitute a legacy from the financial crisis that should be phased-out and, accordingly, only bank assets with a government guarantee granted or committed to prior to 30 June 2014 should be eligible as liquid assets. Similarly, senior bonds issued by certain specified asset management agencies of certain Member States should be treated as level 1 assets subject to the same requirements applicable to exposures to the central government of their respective Member State but only with a time-limited effect.

| (8) | Covered bonds are debt instruments issued by credit institutions and secured by a cover pool of assets which typically consist of mortgage loans or public sector debt to which investors have a preferential claim in the event of default. Their secured nature and certain additional safety features, such as the requirement on the issuer to replace non-performing assets in the cover pool and maintain the cover pool at a value exceeding the par value of the bonds (‘asset coverage requirement’), have contributed to make covered bonds relatively low-risk, yield-bearing instruments with a key funding role in mortgage markets of most Member States. In certain Member States outstanding covered bond issuance exceeds the pool of outstanding government bonds. Certain covered bonds of credit quality step 1, in particular, exhibited an excellent liquidity performance during the period from 1 January 2008 to 30 June 2012 analysed by the EBA in its report. Nevertheless the EBA recommended treating these covered bonds as level 2A assets to align with BCBS standards. However, in the light of the considerations made above about their credit quality, liquidity performance and role in the funding markets of the Union, it is appropriate for these credit quality step 1 covered bonds to be treated as level 1 assets. In order to avoid excessive concentration risks and unlike other level 1 assets, the holdings of credit quality step 1 covered bonds in the liquidity buffer should be subject to a 70 % cap of the overall buffer, a minimum 7 % haircut and to the diversification requirement. |
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(8)

Covered bonds are debt instruments issued by credit institutions and secured by a cover pool of assets which typically consist of mortgage loans or public sector debt to which investors have a preferential claim in the event of default. Their secured nature and certain additional safety features, such as the requirement on the issuer to replace non-performing assets in the cover pool and maintain the cover pool at a value exceeding the par value of the bonds (‘asset coverage requirement’), have contributed to make covered bonds relatively low-risk, yield-bearing instruments with a key funding role in mortgage markets of most Member States. In certain Member States outstanding covered bond issuance exceeds the pool of outstanding government bonds. Certain covered bonds of credit quality step 1, in particular, exhibited an excellent liquidity performance during the period from 1 January 2008 to 30 June 2012 analysed by the EBA in its report. Nevertheless the EBA recommended treating these covered bonds as level 2A assets to align with BCBS standards. However, in the light of the considerations made above about their credit quality, liquidity performance and role in the funding markets of the Union, it is appropriate for these credit quality step 1 covered bonds to be treated as level 1 assets. In order to avoid excessive concentration risks and unlike other level 1 assets, the holdings of credit quality step 1 covered bonds in the liquidity buffer should be subject to a 70 % cap of the overall buffer, a minimum 7 % haircut and to the diversification requirement.

| (9) | Covered bonds of credit quality step 2 should be recognised as level 2A assets subject to the same cap (40 %) and haircut (15 %) applicable to other liquid assets of this level. This can be justified on the basis of available market data which indicate that credit quality step 2 covered bonds exhibited greater liquidity than other comparable level 2A and 2B assets, such as residential mortgage-backed securities (‘RMBSs’) of credit quality step 1. Furthermore, permitting these covered bonds to qualify for the purposes of the liquidity buffer would contribute to diversifying the pool of available assets within the buffer and prevent an undue discrimination or a cliff effect between them and covered bonds of credit quality step 1. It should be noted, however, that a significant proportion of these covered bonds became credit quality step 2 as a result of the downgrade in the rating of the Member State's central government where their issuer was established. This reflected the country ceiling typically included in the methodologies of rating agencies which determines that financial instruments may not be rated over a certain level relative to their respective sovereign rating. Hence, country ceilings precluded the covered bonds issued in those Member States from reaching credit quality step 1, irrespective of their credit quality, which in turn reduced their liquidity compared with covered bonds of similar quality issued in Member States that were not downgraded. Funding markets within the Union have become greatly fragmented as a result, which highlights the need to find an appropriate alternative to external ratings as one of criteria in prudential regulation to classify the liquidity and credit risk of covered bonds and other categories of assets. In accordance with Article 39b(1) of Regulation (EU) No 1060/2009 of the European Parliament and of the Council (2), the Commission must report by 31 December 2015 on alternative tools to credit ratings, with a view to deleting all references to credit ratings in Union law for regulatory purposes by 1 January 2020. |
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(9)

Covered bonds of credit quality step 2 should be recognised as level 2A assets subject to the same cap (40 %) and haircut (15 %) applicable to other liquid assets of this level. This can be justified on the basis of available market data which indicate that credit quality step 2 covered bonds exhibited greater liquidity than other comparable level 2A and 2B assets, such as residential mortgage-backed securities (‘RMBSs’) of credit quality step 1. Furthermore, permitting these covered bonds to qualify for the purposes of the liquidity buffer would contribute to diversifying the pool of available assets within the buffer and prevent an undue discrimination or a cliff effect between them and covered bonds of credit quality step 1. It should be noted, however, that a significant proportion of these covered bonds became credit quality step 2 as a result of the downgrade in the rating of the Member State's central government where their issuer was established. This reflected the country ceiling typically included in the methodologies of rating agencies which determines that financial instruments may not be rated over a certain level relative to their respective sovereign rating. Hence, country ceilings precluded the covered bonds issued in those Member States from reaching credit quality step 1, irrespective of their credit quality, which in turn reduced their liquidity compared with covered bonds of similar quality issued in Member States that were not downgraded. Funding markets within the Union have become greatly fragmented as a result, which highlights the need to find an appropriate alternative to external ratings as one of criteria in prudential regulation to classify the liquidity and credit risk of covered bonds and other categories of assets. In accordance with Article 39b(1) of Regulation (EU) No 1060/2009 of the European Parliament and of the Council (2), the Commission must report by 31 December 2015 on alternative tools to credit ratings, with a view to deleting all references to credit ratings in Union law for regulatory purposes by 1 January 2020.

| (10) | In relation to asset-backed securities (‘ABS’), the EBA had recommended, consistent with its own empirical findings and with the BCBS standard, that only RMBSs of credit quality step 1 be recognised as level 2B assets, subject to a 25 % haircut. It is also appropriate to deviate from this recommendation and expand level 2B eligibility to certain ABSs backed by other assets. A broader range of eligible subcategories of assets would increase diversification within the liquidity buffer and facilitate the financing of the real economy. Furthermore, as available market data points to a low correlation between ABSs and other liquid assets such as government bonds, the bank-sovereign nexus would be weakened and fragmentation in the internal market would be mitigated. In addition, there is evidence that investors tend to hoard high quality ABSs with short weighted-average life and high prepayments during periods of financial instability, as these convert into cash quickly and can be relied upon as a safe source of liquidity. This is particularly the case of ABSs backed by loans and leases for the financing of motor vehicles (‘auto loan ABSs’), which exhibited price volatility and average spreads comparable to RMBSs during the 2007-2012 period. Certain sections of consumer credit ABSs, such as credit cards, also showed comparable good levels of liquidity. Lastly, allowing ABSs backed by real economy assets, such as those mentioned already and loans to SMEs, could contribute to economic growth as it would send a positive signal to investors in relation to these assets. Appropriate rules should therefore recognise ABSs backed not just by residential mortgage loans, but also by auto loans, consumer credit and SME loans as level 2B assets. However to preserve the integrity and functionality of the liquidity buffer, their eligibility should be subject to certain high quality requirements consistent with the criteria to be applied to simple, transparent and standardised securitisations in other financial sectorial legislation. For RMBSs in particular, high quality requirements should include complying with certain ratios on loan-to-value or loan-to-income, but those ratios should not apply to RMBS issued before the starting date of application of the liquidity coverage requirement. To account for the less high liquidity observed in consumer credit and SME loan ABSs relative to RMBSs and auto loan ABSs, the former should be subject to a higher haircut (35 %). All ABSs should be subject, like other level 2B assets, to the overall 15 % cap of the liquidity buffer and to the diversification requirement. |
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(10)

In relation to asset-backed securities (‘ABS’), the EBA had recommended, consistent with its own empirical findings and with the BCBS standard, that only RMBSs of credit quality step 1 be recognised as level 2B assets, subject to a 25 % haircut. It is also appropriate to deviate from this recommendation and expand level 2B eligibility to certain ABSs backed by other assets. A broader range of eligible subcategories of assets would increase diversification within the liquidity buffer and facilitate the financing of the real economy. Furthermore, as available market data points to a low correlation between ABSs and other liquid assets such as government bonds, the bank-sovereign nexus would be weakened and fragmentation in the internal market would be mitigated. In addition, there is evidence that investors tend to hoard high quality ABSs with short weighted-average life and high prepayments during periods of financial instability, as these convert into cash quickly and can be relied upon as a safe source of liquidity. This is particularly the case of ABSs backed by loans and leases for the financing of motor vehicles (‘auto loan ABSs’), which exhibited price volatility and average spreads comparable to RMBSs during the 2007-2012 period. Certain sections of consumer credit ABSs, such as credit cards, also showed comparable good levels of liquidity. Lastly, allowing ABSs backed by real economy assets, such as those mentioned already and loans to SMEs, could contribute to economic growth as it would send a positive signal to investors in relation to these assets. Appropriate rules should therefore recognise ABSs backed not just by residential mortgage loans, but also by auto loans, consumer credit and SME loans as level 2B assets. However to preserve the integrity and functionality of the liquidity buffer, their eligibility should be subject to certain high quality requirements consistent with the criteria to be applied to simple, transparent and standardised securitisations in other financial sectorial legislation. For RMBSs in particular, high quality requirements should include complying with certain ratios on loan-to-value or loan-to-income, but those ratios should not apply to RMBS issued before the starting date of application of the liquidity coverage requirement. To account for the less high liquidity observed in consumer credit and SME loan ABSs relative to RMBSs and auto loan ABSs, the former should be subject to a higher haircut (35 %). All ABSs should be subject, like other level 2B assets, to the overall 15 % cap of the liquidity buffer and to the diversification requirement.

| (11) | The rules in relation to the classification, requirements, caps and haircuts for the remaining level 2A and 2B assets should align closely with the BCBS's and the EBA's recommendations. Shares and units in collective investment undertakings (‘CIU’), on the other hand, should be treated as liquid assets of the same level and category as the assets underlying the collective undertaking. |
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(11)

The rules in relation to the classification, requirements, caps and haircuts for the remaining level 2A and 2B assets should align closely with the BCBS's and the EBA's recommendations. Shares and units in collective investment undertakings (‘CIU’), on the other hand, should be treated as liquid assets of the same level and category as the assets underlying the collective undertaking.

| (12) | It is also appropriate in determining the liquidity coverage ratio to take into account the centralised management of liquidity in cooperative and institutional protection scheme networks where the central institution or body plays a role akin to a central bank because the members of the network do not typically have direct access to the latter. Appropriate rules should, therefore, recognise as liquid assets the sight deposits which are made by the members of the network with the central institution and other liquidity funding available to those from the central institution. Deposits which do not qualify as liquid assets should benefit from the preferential outflow rates allowed for operational deposits. |
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(12)

It is also appropriate in determining the liquidity coverage ratio to take into account the centralised management of liquidity in cooperative and institutional protection scheme networks where the central institution or body plays a role akin to a central bank because the members of the network do not typically have direct access to the latter. Appropriate rules should, therefore, recognise as liquid assets the sight deposits which are made by the members of the network with the central institution and other liquidity funding available to those from the central institution. Deposits which do not qualify as liquid assets should benefit from the preferential outflow rates allowed for operational deposits.

| (13) | The outflow rate for stable retail deposits should be set at a default rate of 5 %, but a preferential outflow rate of 3 % should be allowed to all credit institutions affiliated to a deposit guarantee scheme in a Member State that meets certain stringent criteria. First, account should be taken of the implementation of the Deposit Guarantee Scheme Directive 2014/49/EU of the European Parliament and of the Council (3) by Member States. Second, the scheme of a Member State should comply with specific requirements relating to the repayment period, ex-ante funding and access to additional financial means in the event of a large call on its reserves. Last, the application of the preferential 3 % rate should be subject to the Commission's prior approval, which should be granted only where the Commission is satisfied that the deposit guarantee scheme of the Member State complies with the above criteria and there are no overriding concerns regarding the functioning of the internal market for retail deposits. In any event, the 3 % preferential rate for stable retail deposits should not be applicable before 1 January 2019. |
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(13)

The outflow rate for stable retail deposits should be set at a default rate of 5 %, but a preferential outflow rate of 3 % should be allowed to all credit institutions affiliated to a deposit guarantee scheme in a Member State that meets certain stringent criteria. First, account should be taken of the implementation of the Deposit Guarantee Scheme Directive 2014/49/EU of the European Parliament and of the Council (3) by Member States. Second, the scheme of a Member State should comply with specific requirements relating to the repayment period, ex-ante funding and access to additional financial means in the event of a large call on its reserves. Last, the application of the preferential 3 % rate should be subject to the Commission's prior approval, which should be granted only where the Commission is satisfied that the deposit guarantee scheme of the Member State complies with the above criteria and there are no overriding concerns regarding the functioning of the internal market for retail deposits. In any event, the 3 % preferential rate for stable retail deposits should not be applicable before 1 January 2019.

| (14) | Credit institutions should be able to identify other retail deposits subject to higher run-off rates. Appropriate rules based on the EBA Guidelines on retail deposits subject to different outflows should set out the criteria to identify those retail deposits on the basis of their specific features, namely the size of the total deposit, the nature of the deposit, the remuneration, the probability of withdrawal and whether the depositor is resident or non-resident. |
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(14)

Credit institutions should be able to identify other retail deposits subject to higher run-off rates. Appropriate rules based on the EBA Guidelines on retail deposits subject to different outflows should set out the criteria to identify those retail deposits on the basis of their specific features, namely the size of the total deposit, the nature of the deposit, the remuneration, the probability of withdrawal and whether the depositor is resident or non-resident.

| (15) | It may not be assumed that credit institutions will always receive liquidity support from other undertakings belonging to the same group or to the same institutional protection scheme when they experience difficulties in meeting their payment obligations. However, where no waiver has been granted for the application of the liquidity coverage ratio at individual level in accordance with Articles 8 or 10 of Regulation (EU) No 575/2013, liquidity flows between two credit institutions belonging to the same group or to the same institutional protection scheme should in principle receive symmetrical inflow and outflow rates to avoid the loss of liquidity in the internal market, provided that all the necessary safeguards are in place and only with the prior approval of the competent authorities involved. Such preferential treatment should only be given to cross-border flows on the basis of additional objective criteria, including the low liquidity risk profile of the provider and the receiver. |
| --- | --- |

(15)

It may not be assumed that credit institutions will always receive liquidity support from other undertakings belonging to the same group or to the same institutional protection scheme when they experience difficulties in meeting their payment obligations. However, where no waiver has been granted for the application of the liquidity coverage ratio at individual level in accordance with Articles 8 or 10 of Regulation (EU) No 575/2013, liquidity flows between two credit institutions belonging to the same group or to the same institutional protection scheme should in principle receive symmetrical inflow and outflow rates to avoid the loss of liquidity in the internal market, provided that all the necessary safeguards are in place and only with the prior approval of the competent authorities involved. Such preferential treatment should only be given to cross-border flows on the basis of additional objective criteria, including the low liquidity risk profile of the provider and the receiver.

| (16) | In order to prevent credit institutions from relying solely on anticipated inflows to meet their liquidity coverage ratio, and also to ensure a minimum level of liquid assets holdings, the amount of inflows that can offset outflows should be capped at 75 % of total expected outflows. However, taking into account the existence of specialised business models, certain exemptions to this cap, either full or partial, should be permitted to give effect to the principle of proportionality and subject to the prior approval of the competent authorities. That should include an exemption for intra-group and intra-institutional protection scheme flows and credit institutions specialised in pass-through mortgage lending or in leasing and factoring. In addition, credit institutions specialised in financing for the acquisition of motor vehicles or in consumer credit loans should be allowed to apply a higher cap of 90 %. Those exemptions should be available at both the individual and consolidated level, but only where certain criteria are fulfilled. |
| --- | --- |

(16)

In order to prevent credit institutions from relying solely on anticipated inflows to meet their liquidity coverage ratio, and also to ensure a minimum level of liquid assets holdings, the amount of inflows that can offset outflows should be capped at 75 % of total expected outflows. However, taking into account the existence of specialised business models, certain exemptions to this cap, either full or partial, should be permitted to give effect to the principle of proportionality and subject to the prior approval of the competent authorities. That should include an exemption for intra-group and intra-institutional protection scheme flows and credit institutions specialised in pass-through mortgage lending or in leasing and factoring. In addition, credit institutions specialised in financing for the acquisition of motor vehicles or in consumer credit loans should be allowed to apply a higher cap of 90 %. Those exemptions should be available at both the individual and consolidated level, but only where certain criteria are fulfilled.

| (17) | The liquidity coverage ratio should apply to credit institutions both on an individual and consolidated basis, unless the competent authorities waive the application on an individual basis in accordance with Articles 8 or 10 of Regulation (EU) No 575/2013. The consolidation of subsidiary undertakings in third countries should take due account of the liquidity coverage requirements applicable in those countries. Accordingly, consolidation rules in the Union should not give a more favourable treatment to liquid assets, liquidity outflows or inflows in third country subsidiary undertakings than that which is available under the national law of those third countries. |
| --- | --- |

(17)

The liquidity coverage ratio should apply to credit institutions both on an individual and consolidated basis, unless the competent authorities waive the application on an individual basis in accordance with Articles 8 or 10 of Regulation (EU) No 575/2013. The consolidation of subsidiary undertakings in third countries should take due account of the liquidity coverage requirements applicable in those countries. Accordingly, consolidation rules in the Union should not give a more favourable treatment to liquid assets, liquidity outflows or inflows in third country subsidiary undertakings than that which is available under the national law of those third countries.

| (18) | In accordance with Article 508(2) of Regulation (EU) No 575/2013, the Commission must report to the co-legislators by no later than 31 December 2015 on whether and how the liquidity coverage requirement laid down in Part Six should apply to investment firms. Until that provision starts to apply, investment firms should remain subject to the national law of Member States on the liquidity coverage requirement. However, investment firms should be subject to the liquidity coverage ratio laid down in this Regulation on a consolidated basis, where they form part of banking groups. |
| --- | --- |

(18)

In accordance with Article 508(2) of Regulation (EU) No 575/2013, the Commission must report to the co-legislators by no later than 31 December 2015 on whether and how the liquidity coverage requirement laid down in Part Six should apply to investment firms. Until that provision starts to apply, investment firms should remain subject to the national law of Member States on the liquidity coverage requirement. However, investment firms should be subject to the liquidity coverage ratio laid down in this Regulation on a consolidated basis, where they form part of banking groups.

| (19) | Credit institutions are required to report to their competent authorities the liquidity coverage requirement as specified in detail in this Regulation in accordance with Article 415 of Regulation (EU) No 575/2013. |
| --- | --- |

(19)

Credit institutions are required to report to their competent authorities the liquidity coverage requirement as specified in detail in this Regulation in accordance with Article 415 of Regulation (EU) No 575/2013.

| (20) | In order to give credit institutions sufficient time to comply with the detailed liquidity coverage requirement in full, its introduction should be phased-in in accordance with the timetable laid down in Article 460(2) of Regulation (EU) No 575/2013, starting with a minimum of 60 % from 1 October 2015 rising to 100 % on 1 January 2018, |
| --- | --- |

(20)

In order to give credit institutions sufficient time to comply with the detailed liquidity coverage requirement in full, its introduction should be phased-in in accordance with the timetable laid down in Article 460(2) of Regulation (EU) No 575/2013, starting with a minimum of 60 % from 1 October 2015 rising to 100 % on 1 January 2018,

HAS ADOPTED THIS REGULATION:

TITLE I

THE LIQUIDITY COVERAGE RATIO

Article 1

Subject matter

This Regulation lays down rules to specify in detail the liquidity coverage requirement provided for in Article 412(1) of Regulation (EU) No 575/2013.

Article 2

Scope and application

1.   This Regulation shall apply to credit institutions supervised under Directive 2013/36/EU of the European Parliament and of the Council (4).

2.   Credit institutions shall comply with this Regulation on an individual basis in accordance with Article 6(4) of Regulation (EU) No 575/2013. The competent authorities may waive in full or in part the application of this Regulation on an individual basis in relation to a credit institution in accordance with Articles 8 and 10 of Regulation (EU) No 575/2013, provided that the conditions laid down therein are met.

3.   Where a group comprises one or more credit institutions, the EU parent institution, the institution controlled by an EU parent financial holding company or the institution controlled by an EU parent mixed financial holding company shall apply the obligations laid down in this Regulation on a consolidated basis in accordance with Article 11(3) of Regulation (EU) No 575/2013 and all the following provisions:

| (a) | third country assets which meet the requirements laid down in Title II and which are held by a subsidiary undertaking in a third country shall not be recognised as liquid assets for consolidated purposes where they do not qualify as liquid assets under the national law of the third country setting out the liquidity coverage requirement; |
| --- | --- |

(a)

third country assets which meet the requirements laid down in Title II and which are held by a subsidiary undertaking in a third country shall not be recognised as liquid assets for consolidated purposes where they do not qualify as liquid assets under the national law of the third country setting out the liquidity coverage requirement;

| (b) | liquidity outflows in a subsidiary undertaking in a third country which are subject under the national law of that third country setting out the liquidity coverage requirement to higher percentages than those specified in Title III shall be subject to consolidation in accordance with the higher rates specified in the national law of the third country; |
| --- | --- |

(b)

liquidity outflows in a subsidiary undertaking in a third country which are subject under the national law of that third country setting out the liquidity coverage requirement to higher percentages than those specified in Title III shall be subject to consolidation in accordance with the higher rates specified in the national law of the third country;

| (c) | liquidity inflows in a subsidiary undertaking in a third country which are subject under the national law of that third country setting out the liquidity coverage requirement to lower percentages than those specified in Title III shall be subject to consolidation in accordance with the lower rates specified in the national law of the third country; |
| --- | --- |

(c)

liquidity inflows in a subsidiary undertaking in a third country which are subject under the national law of that third country setting out the liquidity coverage requirement to lower percentages than those specified in Title III shall be subject to consolidation in accordance with the lower rates specified in the national law of the third country;

| (d) | investment firms within the group shall be subject to Article 4 of this Regulation on a consolidated basis and to Article 412 of Regulation (EU) No 575/2013 in relation to the definition of liquid assets, liquidity outflows and inflows for both individual and consolidated purposes. Other than as specified in this point, investment firms shall remain subject to the detailed liquidity coverage ratio requirement for investment firms as laid down in the national law of Member States pending the specification of a liquidity coverage ratio requirement in accordance with Article 508 of Regulation (EU) No 575/2013; |
| --- | --- |

(d)

investment firms within the group shall be subject to Article 4 of this Regulation on a consolidated basis and to Article 412 of Regulation (EU) No 575/2013 in relation to the definition of liquid assets, liquidity outflows and inflows for both individual and consolidated purposes. Other than as specified in this point, investment firms shall remain subject to the detailed liquidity coverage ratio requirement for investment firms as laid down in the national law of Member States pending the specification of a liquidity coverage ratio requirement in accordance with Article 508 of Regulation (EU) No 575/2013;

| (e) | at a consolidated level the amount of inflows arising from a specialised credit institution referred to in Article 33 paragraphs (3) and (4) shall only be recognised up to the amount of the outflows arising from the same undertaking. |
| --- | --- |

(e)

at a consolidated level the amount of inflows arising from a specialised credit institution referred to in Article 33 paragraphs (3) and (4) shall only be recognised up to the amount of the outflows arising from the same undertaking.

Article 3

Definitions

For the purposes of this Regulation, the following definitions shall apply:

| (1) | ‘level 1 assets’ means assets of extremely high liquidity and credit quality as referred to in the second subparagraph of Article 416(1) of Regulation (EU) No 575/2013; |
| --- | --- |

(1)

‘level 1 assets’ means assets of extremely high liquidity and credit quality as referred to in the second subparagraph of Article 416(1) of Regulation (EU) No 575/2013;

| (2) | ‘level 2 assets’ means assets of high liquidity and credit quality as referred to in the second subparagraph of Article 416(1) of Regulation (EU) No 575/2013. level 2 assets are further subdivided into level 2A and 2B assets in accordance with Chapter 2 of Title II of this Regulation; |
| --- | --- |

(2)

‘level 2 assets’ means assets of high liquidity and credit quality as referred to in the second subparagraph of Article 416(1) of Regulation (EU) No 575/2013. level 2 assets are further subdivided into level 2A and 2B assets in accordance with Chapter 2 of Title II of this Regulation;

| (3) | ‘liquidity buffer’ means the amount of liquid assets that a credit institution holds in accordance with Title II of this Regulation; |
| --- | --- |

(3)

‘liquidity buffer’ means the amount of liquid assets that a credit institution holds in accordance with Title II of this Regulation;

| (4) | ‘reporting currency’ means the currency in which the liquidity items referred to in Titles II and III of Part Six of Regulation (EU) No 575/2013 must be reported to the competent authority in accordance with Article 415(1) of that Regulation; |
| --- | --- |

(4)

‘reporting currency’ means the currency in which the liquidity items referred to in Titles II and III of Part Six of Regulation (EU) No 575/2013 must be reported to the competent authority in accordance with Article 415(1) of that Regulation;

| (5) | ‘asset coverage requirement’ means the ratio of assets to liabilities as determined for credit enhancement purposes in relation to covered bonds by the national law of a Member State or a third country; |
| --- | --- |

(5)

‘asset coverage requirement’ means the ratio of assets to liabilities as determined for credit enhancement purposes in relation to covered bonds by the national law of a Member State or a third country;

| (6) | ‘SME’ means a micro, small and medium-sized enterprise as defined in Commission Recommendation 2003/361/EC (5); |
| --- | --- |

(6)

‘SME’ means a micro, small and medium-sized enterprise as defined in Commission Recommendation 2003/361/EC (5);

5

| (7) | ‘net liquidity outflows’ means the amount which results from deducting a credit institution's liquidity inflows from its liquidity outflows in accordance with Title III of this Regulation; |
| --- | --- |

(7)

‘net liquidity outflows’ means the amount which results from deducting a credit institution's liquidity inflows from its liquidity outflows in accordance with Title III of this Regulation;

| (8) | ‘retail deposits’ means a liability to a natural person or to an SME, where the SME would qualify for the retail exposure class under the standardised or IRB approaches for credit risk, or a liability to a company which is eligible for the treatment set out in Article 153(4) of Regulation (EU) No 575/2013, and where the aggregate deposits by such SME or company on a group basis do not exceed EUR 1 million; |
| --- | --- |

(8)

‘retail deposits’ means a liability to a natural person or to an SME, where the SME would qualify for the retail exposure class under the standardised or IRB approaches for credit risk, or a liability to a company which is eligible for the treatment set out in Article 153(4) of Regulation (EU) No 575/2013, and where the aggregate deposits by such SME or company on a group basis do not exceed EUR 1 million;

| (9) | ‘financial customer’ means a customer that performs one or more of the activities listed in Annex I to Directive 2013/36/EU as its main business, or is one of the following:






  (a) | a credit institution; |
| --- | --- | --- |

(9)

‘financial customer’ means a customer that performs one or more of the activities listed in Annex I to Directive 2013/36/EU as its main business, or is one of the following:

(a)

a credit institution;

| (b) | an investment firm; |
| --- | --- |

(b)

an investment firm;

| (c) | a financial institution; |
| --- | --- |

(c)

a financial institution;

| (d) | a securitisation special purpose vehicle (‘SSPE’); |
| --- | --- |

(d)

a securitisation special purpose vehicle (‘SSPE’);

| (e) | a collective investment undertaking (‘CIU’); |
| --- | --- |

(e)

a collective investment undertaking (‘CIU’);

| (f) | a non-open ended investment scheme; |
| --- | --- |

(f)

a non-open ended investment scheme;

| (g) | an insurance undertaking; |
| --- | --- |

(g)

an insurance undertaking;

| (h) | a reinsurance undertaking; |
| --- | --- |

(h)

a reinsurance undertaking;

| (i) | a financial holding company or mixed-financial holding company; |
| --- | --- |

(i)

a financial holding company or mixed-financial holding company;

| (10) | ‘personal investment company’ (‘PIC’) means an undertaking or a trust whose owner or beneficial owner, respectively, is a natural person or a group of closely related natural persons, which was set up with the sole purpose of managing the wealth of the owners and which does not carry out any other commercial, industrial or professional activity. The purpose of the PIC may include other ancillary activities such as segregating the owners' assets from corporate assets, facilitating the transmission of assets within a family or preventing a split of the assets after the death of a member of the family, provided these are connected to the main purpose of managing the owners' wealth; |
| --- | --- |

(10)

‘personal investment company’ (‘PIC’) means an undertaking or a trust whose owner or beneficial owner, respectively, is a natural person or a group of closely related natural persons, which was set up with the sole purpose of managing the wealth of the owners and which does not carry out any other commercial, industrial or professional activity. The purpose of the PIC may include other ancillary activities such as segregating the owners' assets from corporate assets, facilitating the transmission of assets within a family or preventing a split of the assets after the death of a member of the family, provided these are connected to the main purpose of managing the owners' wealth;

| (11) | ‘stress’ shall mean a sudden or severe deterioration in the solvency or liquidity position of a credit institution due to changes in market conditions or idiosyncratic factors as a result of which there may be a significant risk that the credit institution becomes unable to meet its commitments as they fall due within the next 30 calendar days; |
| --- | --- |

(11)

‘stress’ shall mean a sudden or severe deterioration in the solvency or liquidity position of a credit institution due to changes in market conditions or idiosyncratic factors as a result of which there may be a significant risk that the credit institution becomes unable to meet its commitments as they fall due within the next 30 calendar days;

| (12) | ‘margin loans’ means collateralised loans extended to customers for the purpose of taking leveraged trading positions. |
| --- | --- |

(12)

‘margin loans’ means collateralised loans extended to customers for the purpose of taking leveraged trading positions.

Article 4

The liquidity coverage ratio

1.   The detailed liquidity coverage requirement in accordance with Article 412(1) of Regulation (EU) No 575/2013 shall be equal to the ratio of a credit institution's liquidity buffer to its net liquidity outflows over a 30 calendar day stress period and shall be expressed as a percentage. Credit institutions shall calculate their liquidity coverage ratio in accordance with the following formula:

Formula

2.   Credit institutions shall maintain a liquidity coverage ratio of at least 100 %.

3.   By derogation from paragraph 2, credit institutions may monetise their liquid assets to cover their net liquidity outflows during stress periods, even if such a use of liquid assets may result in their liquidity coverage ratio falling below 100 % during such periods.

4.   Where at any time the liquidity coverage ratio of a credit institution has fallen or can be reasonably expected to fall below 100 %, the requirement laid down in Article 414 of Regulation (EU) No 575/2013 shall apply. Until the liquidity coverage ratio has been restored to the level referred to in paragraph 2, the credit institution shall report to the competent authority the liquidity coverage ratio in accordance with Commission Implementing Regulation (EU) No 680/2014 (6).

5.   Credit institutions shall calculate and monitor their liquidity coverage ratio in the reporting currency and in each of the currencies subject to separate reporting in accordance with Article 415(2) of Regulation (EU) No 575/2013, as well as for liabilities in the reporting currency. Credit institutions shall report to their competent authority the liquidity coverage ratio in accordance with the Commission Implementing Regulation (EU) No 680/2014.

Article 5

Stress scenarios for the purposes of the liquidity coverage ratio

The following scenarios may be regarded as indicators of circumstances in which a credit institution may be considered as being subject to stress:

| (a) | the run-off of a significant proportion of its retail deposits; |
| --- | --- |

(a)

the run-off of a significant proportion of its retail deposits;

| (b) | a partial or total loss of unsecured wholesale funding capacity, including wholesale deposits and other sources of contingent funding such as received committed or uncommitted liquidity or credit lines; |
| --- | --- |

(b)

a partial or total loss of unsecured wholesale funding capacity, including wholesale deposits and other sources of contingent funding such as received committed or uncommitted liquidity or credit lines;

| (c) | a partial or total loss of secured, short-term funding; |
| --- | --- |

(c)

a partial or total loss of secured, short-term funding;

| (d) | additional liquidity outflows as a result of a credit rating downgrade of up to three notches; |
| --- | --- |

(d)

additional liquidity outflows as a result of a credit rating downgrade of up to three notches;

| (e) | increased market volatility affecting the value of collateral or its quality or creating additional collateral needs; |
| --- | --- |

(e)

increased market volatility affecting the value of collateral or its quality or creating additional collateral needs;

| (f) | unscheduled draws on liquidity and credit facilities; |
| --- | --- |

(f)

unscheduled draws on liquidity and credit facilities;

| (g) | potential obligation to buy-back debt or to honour non-contractual obligations. |
| --- | --- |

(g)

potential obligation to buy-back debt or to honour non-contractual obligations.

TITLE II

THE LIQUIDITY BUFFER

CHAPTER 1

General provisions

Article 6

Composition of the liquidity buffer

In order to be eligible to form part of a credit institution's liquidity buffer, the liquid assets shall comply with each of the following requirements:

| (a) | the general requirements laid down in Article 7; |
| --- | --- |

(a)

the general requirements laid down in Article 7;

| (b) | the operational requirements laid down in Article 8; |
| --- | --- |

(b)

the operational requirements laid down in Article 8;

| (c) | the respective eligibility criteria for their classification as a level 1 or level 2 asset in accordance with Chapter 2. |
| --- | --- |

(c)

the respective eligibility criteria for their classification as a level 1 or level 2 asset in accordance with Chapter 2.

Article 7

General requirements for liquid assets

1.   In order to qualify as liquid assets, the assets of a credit institution shall comply with paragraphs 2 to 6.

2.   The assets shall be a property, right, entitlement or interest held by a credit institution and free from any encumbrance. For those purposes, an asset shall be deemed to be unencumbered where the credit institution is not subject to any legal, contractual, regulatory or other restriction preventing it from liquidating, selling, transferring, assigning or, generally, disposing of such asset via active outright sale or repurchase agreement within the following 30 calendar days. The following assets shall be deemed to be unencumbered:

| (a) | assets included in a pool which are available for immediate use as collateral to obtain additional funding under committed but not yet funded credit lines available to the credit institution. This shall include assets placed by a credit institution with the central institution in a cooperative network or institutional protection scheme. Credit institutions shall assume that assets in the pool are encumbered in order of increasing liquidity on the basis of the liquidity classification set out in Chapter 2, starting with assets ineligible for the liquidity buffer; |
| --- | --- |

(a)

assets included in a pool which are available for immediate use as collateral to obtain additional funding under committed but not yet funded credit lines available to the credit institution. This shall include assets placed by a credit institution with the central institution in a cooperative network or institutional protection scheme. Credit institutions shall assume that assets in the pool are encumbered in order of increasing liquidity on the basis of the liquidity classification set out in Chapter 2, starting with assets ineligible for the liquidity buffer;

| (b) | assets that the credit institution has received as collateral for credit risk mitigation purposes in reverse repo or securities financing transactions and that the credit institution may dispose of. |
| --- | --- |

(b)

assets that the credit institution has received as collateral for credit risk mitigation purposes in reverse repo or securities financing transactions and that the credit institution may dispose of.

3.   The assets shall not have been issued by the credit institution itself, its parent undertaking, other than a public sector entity that is not a credit institution, its subsidiary or another subsidiary of its parent undertaking or by a securitisation special purpose entity with which the credit institution has close links;

4.   The assets shall not have been issued by any of the following:

| (a) | another credit institution, unless the issuer is a public sector entity referred to in point (c) of Article 10(1) and in points (a) and (b) of Article 11(1), the asset is a covered bond referred to in point (f) of Article 10(1) and points (c) and (d) of Article 11(1) or the asset belongs to the category described in point (e) of Article 10(1); |
| --- | --- |

(a)

another credit institution, unless the issuer is a public sector entity referred to in point (c) of Article 10(1) and in points (a) and (b) of Article 11(1), the asset is a covered bond referred to in point (f) of Article 10(1) and points (c) and (d) of Article 11(1) or the asset belongs to the category described in point (e) of Article 10(1);

| (b) | an investment firm; |
| --- | --- |

(b)

an investment firm;

| (c) | an insurance undertaking; |
| --- | --- |

(c)

an insurance undertaking;

| (d) | a reinsurance undertaking; |
| --- | --- |

(d)

a reinsurance undertaking;

| (e) | a financial holding company; |
| --- | --- |

(e)

a financial holding company;

| (f) | a mixed financial holding company; |
| --- | --- |

(f)

a mixed financial holding company;

| (g) | any other entity that performs one or more of the activities listed in Annex I to Directive 2013/36/EU. For the purposes of this Article, SSPEs shall be deemed not included within the entities referred to in this point. |
| --- | --- |

(g)

any other entity that performs one or more of the activities listed in Annex I to Directive 2013/36/EU. For the purposes of this Article, SSPEs shall be deemed not included within the entities referred to in this point.

5.   The value of the assets shall be capable of being determined on the basis of widely disseminated and easily available market prices. In the absence of market-based prices, the value of the assets must be capable of being determined on the basis of an easy-to-calculate formula that uses publicly available inputs and is not significantly dependent upon strong assumptions.

6.   The assets shall be listed on a recognised exchange or tradable via active outright sale or via simple repurchase transaction on generally accepted repurchase markets. These criteria shall be assessed separately for each market. An asset admitted to trading in an organised venue which is not a recognised exchange, either in a Member State or in a third country, shall be deemed liquid only where the trading venue provides for an active and sizable market for outright sales of assets. The credit institution shall take into account the following as minimum criteria to assess whether a trading venue provides for an active and sizeable market for the purposes of this paragraph:

| (a) | historical evidence of market breadth and depth as proven by low bid-ask spreads, high trading volume and a large and diverse number of market participants; |
| --- | --- |

(a)

historical evidence of market breadth and depth as proven by low bid-ask spreads, high trading volume and a large and diverse number of market participants;

| (b) | the presence of a robust market infrastructure. |
| --- | --- |

(b)

the presence of a robust market infrastructure.

7.   The requirements laid down in paragraphs 5 and 6 shall not apply to:

| (a) | banknotes and coins referred to in point (a) of Article 10(1); |
| --- | --- |

(a)

banknotes and coins referred to in point (a) of Article 10(1);

| (b) | the exposures to central banks referred to in points (b) and (d) of Article 10(1) and in point (b) of Article 11(1); |
| --- | --- |

(b)

the exposures to central banks referred to in points (b) and (d) of Article 10(1) and in point (b) of Article 11(1);

| (c) | the restricted-use committed liquidity facility referred to in point (d) of Article 12(1); |
| --- | --- |

(c)

the restricted-use committed liquidity facility referred to in point (d) of Article 12(1);

| (d) | the deposits and other funding in cooperative networks and institutional protection schemes referred to in Article 16. |
| --- | --- |

(d)

the deposits and other funding in cooperative networks and institutional protection schemes referred to in Article 16.

Article 8

Operational requirements

1.   Credit institutions shall have policies and limits in place to ensure that the holdings of liquid assets comprising their liquidity buffer remain appropriately diversified at all times. For those purposes, credit institutions shall take into account the extent of diversification between the various categories of liquid assets and within the same category of liquid assets referred to in Chapter 2 of this Title and any other relevant diversification factors, such as types of issuers, counterparties or the geographical location of those issuers and counterparties.

Competent authorities may impose specific restrictions or requirements on a credit institution's holdings of liquid assets to ensure compliance with the requirement set out in this paragraph. Any such restriction or requirement, however, shall not apply to:

| (a) | the following categories of level 1 assets:






  (i) | banknotes and coins referred to in Article 10(1)(a); |
| --- | --- | --- |

(a)

the following categories of level 1 assets:

(i)

banknotes and coins referred to in Article 10(1)(a);

| (ii) | the exposures to central banks as referred to in Articles 10(1)(b) and (d); |
| --- | --- |

(ii)

the exposures to central banks as referred to in Articles 10(1)(b) and (d);

| (iii) | assets representing claims on or guaranteed by the multilateral developments banks and international organisations referred to in Article 10(1)(g); |
| --- | --- |

(iii)

assets representing claims on or guaranteed by the multilateral developments banks and international organisations referred to in Article 10(1)(g);

| (b) | the categories of level 1 assets representing claims on or guaranteed by the central or regional governments, local authorities or public sector entities referred to Article 10(1)(c) and (d), provided that the credit institution holds the relevant asset to cover stressed net liquidity outflows incurred in the currency of the Member State or third country or the asset is issued by the central or regional governments, local authorities or public sector entities of the credit institution's home Member State; |
| --- | --- |

(b)

the categories of level 1 assets representing claims on or guaranteed by the central or regional governments, local authorities or public sector entities referred to Article 10(1)(c) and (d), provided that the credit institution holds the relevant asset to cover stressed net liquidity outflows incurred in the currency of the Member State or third country or the asset is issued by the central or regional governments, local authorities or public sector entities of the credit institution's home Member State;

| (c) | the restricted-use committed liquidity facility referred to in point (d) of Article 12(1). |
| --- | --- |

(c)

the restricted-use committed liquidity facility referred to in point (d) of Article 12(1).

2.   Credit institutions shall have ready access to their holdings of liquid assets and be able to monetise them at any time during the 30 calendar day stress period via outright sale or repurchase agreement on generally accepted repurchase markets. A liquid asset shall be deemed readily accessible to a credit institution where there are no legal or practical impediments to the credit institution's ability to monetise such an asset in a timely fashion.

Assets used to provide credit enhancement in structured transactions or to cover operational costs of the credit institutions shall not be deemed as readily accessible to a credit institution.

Assets held in a third country where there are restrictions to their free transferability shall be deemed readily accessible only insofar as the credit institution uses those assets to meet liquidity outflows in that third country. Assets held in a non-convertible currency shall be deemed readily accessible only insofar as the credit institution uses those assets to meet liquidity outflows in that currency.

3.   Credit institutions shall ensure that their liquid assets are under the control of a specific liquidity management function within the credit institution. Compliance with this requirement shall be demonstrated to the competent authority either by:

| (a) | placing the liquid assets in a separate pool under the direct management of the liquidity function and with the sole intent of using them as a source of contingent funds, including during stress periods; |
| --- | --- |

(a)

placing the liquid assets in a separate pool under the direct management of the liquidity function and with the sole intent of using them as a source of contingent funds, including during stress periods;

| (b) | putting in place internal systems and controls to give the liquidity management function effective operational control to monetise the holdings of liquid assets at any point in the 30 calendar day stress period and to access the contingent funds without directly conflicting with any existing business or risk management strategies. In particular, an asset shall not be included in the liquidity buffer where its sale without replacement throughout the 30 calendar day stress period would remove a hedge that would create an open risk position in excess of the internal limits of the credit institution; |
| --- | --- |

(b)

putting in place internal systems and controls to give the liquidity management function effective operational control to monetise the holdings of liquid assets at any point in the 30 calendar day stress period and to access the contingent funds without directly conflicting with any existing business or risk management strategies. In particular, an asset shall not be included in the liquidity buffer where its sale without replacement throughout the 30 calendar day stress period would remove a hedge that would create an open risk position in excess of the internal limits of the credit institution;

| (c) | a combination of options (a) and (b), provided that the competent authority has deemed such combination acceptable. |
| --- | --- |

(c)

a combination of options (a) and (b), provided that the competent authority has deemed such combination acceptable.

4.   Credit institutions shall regularly, and at least once a year, monetise a sufficiently representative sample of their holdings of liquid assets by means of outright sale or simple repurchase agreement on a generally accepted repurchase market. Credit institutions shall develop strategies for disposing of samples of liquid assets which are adequate to:

| (a) | test the access to the market for those assets and their usability; |
| --- | --- |

(a)

test the access to the market for those assets and their usability;

| (b) | check that the credit institution's processes for the timely monetisation of assets are effective; |
| --- | --- |

(b)

check that the credit institution's processes for the timely monetisation of assets are effective;

| (c) | minimise the risk of sending a negative signal to the market as a result of the credit institution's monetising its assets during stress periods. |
| --- | --- |

(c)

minimise the risk of sending a negative signal to the market as a result of the credit institution's monetising its assets during stress periods.

The requirement laid down in the first subparagraph shall not apply to level 1 assets referred to in Article 10, other than extremely high quality covered bonds, to the restricted-use committed liquidity facility referred to in subparagraph (d) of Article 12(1) or to the deposits and other liquidity funding in cooperatives networks and institutional protection schemes referred to in Article 16.

5.   The requirement set out in paragraph 2 shall not prevent credit institutions from hedging the market risk associated with their liquid assets provided that the following conditions are met:

| (a) | the credit institution puts in place appropriate internal arrangements in accordance with paragraphs 2 and 3 to ensure that those assets continue to be readily available and under the control of the liquidity management function; |
| --- | --- |

(a)

the credit institution puts in place appropriate internal arrangements in accordance with paragraphs 2 and 3 to ensure that those assets continue to be readily available and under the control of the liquidity management function;

| (b) | the net liquidity outflows and inflows that would result in the event of an early close-out of the hedge are taken into account in the valuation of the relevant asset in accordance with Article 9. |
| --- | --- |

(b)

the net liquidity outflows and inflows that would result in the event of an early close-out of the hedge are taken into account in the valuation of the relevant asset in accordance with Article 9.

6.   Credit institutions shall ensure that the currency denomination of their liquid assets is consistent with the distribution by currency of their net liquidity outflows. However, where appropriate, competent authorities may require credit institutions to restrict currency mismatch by setting limits on the proportion of net liquidity outflows in a currency that can be met during a stress period by holding liquid assets not denominated in that currency. That restriction may only be applied for the reporting currency or a currency that may be subject to separate reporting in accordance with Article 415(2) of Regulation (EU) No 575/2013. In determining the level of any restriction on currency mismatch that may be applied in accordance with this paragraph, competent authorities shall at least have regard to:

| (a) | whether the credit institution has the ability to do any of the following:






  (i) | use the liquid assets to generate liquidity in the currency and jurisdiction in which the net liquidity outflows arise; |
| --- | --- | --- |

(a)

whether the credit institution has the ability to do any of the following:

(i)

use the liquid assets to generate liquidity in the currency and jurisdiction in which the net liquidity outflows arise;

| (ii) | swap currencies and raise funds in foreign currency markets during stressed conditions consistent with the 30 calendar day stress period set out in Article 4; |
| --- | --- |

(ii)

swap currencies and raise funds in foreign currency markets during stressed conditions consistent with the 30 calendar day stress period set out in Article 4;

| (iii) | transfer a liquidity surplus from one currency to another and across jurisdictions and legal entities within its group during stressed conditions consistent with the 30 calendar day stress period set out in Article 4; |
| --- | --- |

(iii)

transfer a liquidity surplus from one currency to another and across jurisdictions and legal entities within its group during stressed conditions consistent with the 30 calendar day stress period set out in Article 4;

| (b) | the impact of sudden, adverse exchange rate movements on existing mismatched positions and on the effectiveness of any foreign exchange hedges in place. |
| --- | --- |

(b)

the impact of sudden, adverse exchange rate movements on existing mismatched positions and on the effectiveness of any foreign exchange hedges in place.

Any restriction on currency mismatch imposed in accordance with this paragraph shall be deemed to constitute a specific liquidity requirement as referred to in Article 105 of Directive 2013/36/EU.

Article 9

Valuation of Liquid Assets

For the purposes of calculating its liquidity coverage ratio, a credit institution shall use the market value of its liquid assets. The market value of liquid assets shall be reduced in accordance with the haircuts set out in Chapter 2 and with Article 8(5)(b), where applicable.

CHAPTER 2

Liquid Assets

Article 10

Level 1 assets

1.   Level 1 assets shall only include assets falling under one or more of the following categories and meeting in each case the eligibility criteria laid down herein:

| (a) | coins and banknotes; |
| --- | --- |

(a)

coins and banknotes;

| (b) | the following exposures to central banks:






  (i) | assets representing claims on or guaranteed by the European Central Bank (ECB) or a Member State's central bank; |
| --- | --- | --- |

(b)

the following exposures to central banks:

(i)

assets representing claims on or guaranteed by the European Central Bank (ECB) or a Member State's central bank;

| (ii) | assets representing claims on or guaranteed by central banks of third countries, provided that exposures to the central bank or its central government are assigned a credit assessment by a nominated external credit assessment institution (ECAI) which is at least credit quality step 1 in accordance with Article 114(2) of Regulation (EU) No 575/2013; |
| --- | --- |

(ii)

assets representing claims on or guaranteed by central banks of third countries, provided that exposures to the central bank or its central government are assigned a credit assessment by a nominated external credit assessment institution (ECAI) which is at least credit quality step 1 in accordance with Article 114(2) of Regulation (EU) No 575/2013;

| (iii) | reserves held by the credit institution in a central bank referred to in points (i) and (ii) provided that the credit institution is permitted to withdraw such reserves at any time during stress periods and the conditions for such withdrawal have been specified in an agreement between the relevant competent authority and the ECB or the central bank; |
| --- | --- |

(iii)

reserves held by the credit institution in a central bank referred to in points (i) and (ii) provided that the credit institution is permitted to withdraw such reserves at any time during stress periods and the conditions for such withdrawal have been specified in an agreement between the relevant competent authority and the ECB or the central bank;

| (c) | assets representing claims on or guaranteed by the following central or regional governments, local authorities or public sector entities:






  (i) | the central government of a Member State; |
| --- | --- | --- |

(c)

assets representing claims on or guaranteed by the following central or regional governments, local authorities or public sector entities:

(i)

the central government of a Member State;

| (ii) | the central government of a third country, provided that it is assigned a credit assessment by a nominated ECAI which is at least credit quality step 1 in accordance with Article 114(2) of Regulation (EU) No 575/2013; |
| --- | --- |

(ii)

the central government of a third country, provided that it is assigned a credit assessment by a nominated ECAI which is at least credit quality step 1 in accordance with Article 114(2) of Regulation (EU) No 575/2013;

| (iii) | regional governments or local authorities in a Member State, provided that they are treated as exposures to the central government of the Member State in accordance with Article 115(2) of Regulation (EU) No 575/2013; |
| --- | --- |

(iii)

regional governments or local authorities in a Member State, provided that they are treated as exposures to the central government of the Member State in accordance with Article 115(2) of Regulation (EU) No 575/2013;

| (iv) | regional governments or local authorities in a third country of the type referred to in point (ii), provided that they are treated as exposures to the central government of the third country in accordance with Article 115(4) of Regulation (EU) No 575/2013; |
| --- | --- |

(iv)

regional governments or local authorities in a third country of the type referred to in point (ii), provided that they are treated as exposures to the central government of the third country in accordance with Article 115(4) of Regulation (EU) No 575/2013;

| (v) | public sector entities provided that they are treated as exposures to the central government of a Member State or to one of the regional governments or local authorities referred to in point (iii) in accordance with paragraph 4 of Article 116 of Regulation (EU) No 575/2013; |
| --- | --- |

(v)

public sector entities provided that they are treated as exposures to the central government of a Member State or to one of the regional governments or local authorities referred to in point (iii) in accordance with paragraph 4 of Article 116 of Regulation (EU) No 575/2013;

| (d) | assets representing claims on or guaranteed by the central government or the central bank of a third country which is not assigned a credit quality step 1 credit assessment by a nominated ECAI in accordance with Article 114(2) of Regulation (EU) No 575/2013, provided that in this case the credit institution may only recognise the asset as level 1 to cover stressed net liquidity outflows incurred in the same currency in which the asset is denominated.
  Where the asset is not denominated in the domestic currency of the third country, the credit institution may only recognise the asset as level 1 up to the amount of the credit institution's stressed net liquidity outflows in that foreign currency corresponding to its operations in the jurisdiction where the liquidity risk is being taken; |
| --- | --- |

(d)

assets representing claims on or guaranteed by the central government or the central bank of a third country which is not assigned a credit quality step 1 credit assessment by a nominated ECAI in accordance with Article 114(2) of Regulation (EU) No 575/2013, provided that in this case the credit institution may only recognise the asset as level 1 to cover stressed net liquidity outflows incurred in the same currency in which the asset is denominated.

Where the asset is not denominated in the domestic currency of the third country, the credit institution may only recognise the asset as level 1 up to the amount of the credit institution's stressed net liquidity outflows in that foreign currency corresponding to its operations in the jurisdiction where the liquidity risk is being taken;

| (e) | assets issued by credit institutions which meet at least one of the following two requirements:






  (i) | the issuer is a credit institution incorporated or established by the central government of a Member State or the regional government or local authority in a Member State, the government or local authority is under the legal obligation to protect the economic basis of the credit institution and maintain its financial viability throughout its life-time and any exposure to that regional government or local authority, as applicable, is treated as an exposure to the central government of the Member State in accordance with Article 115(2) of Regulation (EU) No 575/2013; |
| --- | --- | --- |

(e)

assets issued by credit institutions which meet at least one of the following two requirements:

(i)

the issuer is a credit institution incorporated or established by the central government of a Member State or the regional government or local authority in a Member State, the government or local authority is under the legal obligation to protect the economic basis of the credit institution and maintain its financial viability throughout its life-time and any exposure to that regional government or local authority, as applicable, is treated as an exposure to the central government of the Member State in accordance with Article 115(2) of Regulation (EU) No 575/2013;

| (ii) | the credit institution is a promotional lender which, for the purposes of this Article, shall be understood as any credit institution whose purpose is to advance the public policy objectives of the Union or of the central or regional government or local authority in a Member State predominantly through the provision of promotional loans on a non-competitive, not for profit basis, provided that at least 90 % of the loans that it grants are directly or indirectly guaranteed by the central or regional government or local authority and that any exposure to that regional government or local authority, as applicable, is treated as an exposure to the central government of the Member State in accordance with Article 115(2) of Regulation (EU) No 575/2013; |
| --- | --- |

(ii)

the credit institution is a promotional lender which, for the purposes of this Article, shall be understood as any credit institution whose purpose is to advance the public policy objectives of the Union or of the central or regional government or local authority in a Member State predominantly through the provision of promotional loans on a non-competitive, not for profit basis, provided that at least 90 % of the loans that it grants are directly or indirectly guaranteed by the central or regional government or local authority and that any exposure to that regional government or local authority, as applicable, is treated as an exposure to the central government of the Member State in accordance with Article 115(2) of Regulation (EU) No 575/2013;

| (f) | exposures in the form of extremely high quality covered bonds, which shall comply with all of the following requirements:






  (i) | they are bonds as referred to in Article 52(4) of Directive 2009/65/EC or meet the requirements to be eligible for the treatment set out in Article 129(4) or (5) of Regulation (EU) No 575/2013; |
| --- | --- | --- |

(f)

exposures in the form of extremely high quality covered bonds, which shall comply with all of the following requirements:

(i)

they are bonds as referred to in Article 52(4) of Directive 2009/65/EC or meet the requirements to be eligible for the treatment set out in Article 129(4) or (5) of Regulation (EU) No 575/2013;

| (ii) | the exposures to institutions in the cover pool meet the conditions laid down in Article 129(1)(c) and in Article 129(1) last subparagraph of Regulation (EU) No 575/2013; |
| --- | --- |

(ii)

the exposures to institutions in the cover pool meet the conditions laid down in Article 129(1)(c) and in Article 129(1) last subparagraph of Regulation (EU) No 575/2013;

| (iii) | the credit institution investing in the covered bonds and the issuer meet the transparency requirement referred to in Article 129(7) of Regulation (EU) No 575/2013; |
| --- | --- |

(iii)

the credit institution investing in the covered bonds and the issuer meet the transparency requirement referred to in Article 129(7) of Regulation (EU) No 575/2013;

| (iv) | their issue size is at least EUR 500 million (or the equivalent amount in domestic currency); |
| --- | --- |

(iv)

their issue size is at least EUR 500 million (or the equivalent amount in domestic currency);

| (v) | the covered bonds are assigned a credit assessment by a nominated ECAI which is at least credit quality step 1 in accordance with Article 129(4) of Regulation (EU) No 575/2013, the equivalent credit quality step in the event of a short term credit assessment or, in the absence of a credit assessment, they are assigned a 10 % risk weight in accordance with Article 129(5) of that Regulation; |
| --- | --- |

(v)

the covered bonds are assigned a credit assessment by a nominated ECAI which is at least credit quality step 1 in accordance with Article 129(4) of Regulation (EU) No 575/2013, the equivalent credit quality step in the event of a short term credit assessment or, in the absence of a credit assessment, they are assigned a 10 % risk weight in accordance with Article 129(5) of that Regulation;

| (vi) | the cover pool meets at all times an asset coverage requirement of at least 2 % in excess of the amount required to meet the claims attaching to the covered bonds; |
| --- | --- |

(vi)

the cover pool meets at all times an asset coverage requirement of at least 2 % in excess of the amount required to meet the claims attaching to the covered bonds;

| (g) | assets representing claims on or guaranteed by the multilateral development banks and the international organisations referred to in Article 117(2) and Article 118, respectively, of Regulation (EU) No 575/2013. |
| --- | --- |

(g)

assets representing claims on or guaranteed by the multilateral development banks and the international organisations referred to in Article 117(2) and Article 118, respectively, of Regulation (EU) No 575/2013.

2.   The market value of extremely high quality covered bonds referred to in paragraph 1(f) shall be subject to a haircut of at least 7 %. Except as specified in relation to shares and units in CIUs in points (a) and (b) of Article 15(2), no haircut shall be required on the value of the remaining level 1 assets.

Article 11

Level 2A assets

1.   Level 2A assets shall only include assets falling under one or more of the following categories and meeting in each case the eligibility criteria laid down herein:

| (a) | assets representing claims on or guaranteed by regional governments, local authorities or public sector entities in a Member State, where exposures to them are assigned a risk weight of 20 % in accordance with Article 115(1) and (5) and Article 116(1), (2) and (3) of Regulation (EU) No 575/2013, as applicable; |
| --- | --- |

(a)

assets representing claims on or guaranteed by regional governments, local authorities or public sector entities in a Member State, where exposures to them are assigned a risk weight of 20 % in accordance with Article 115(1) and (5) and Article 116(1), (2) and (3) of Regulation (EU) No 575/2013, as applicable;

| (b) | assets representing claims on or guaranteed by the central government or the central bank of a third country or by a regional government, local authority or public sector entity in a third country, provided that they are assigned a 20 % risk weight in accordance with Articles 114(2), 115 or 116 of Regulation (EU) No 575/2013, as applicable; |
| --- | --- |

(b)

assets representing claims on or guaranteed by the central government or the central bank of a third country or by a regional government, local authority or public sector entity in a third country, provided that they are assigned a 20 % risk weight in accordance with Articles 114(2), 115 or 116 of Regulation (EU) No 575/2013, as applicable;

| (c) | exposures in the form of high quality covered bonds, which shall comply with all of the following requirements:






  (i) | they are bonds as referred to in Article 52(4) of Directive 2009/65/EC or meet the requirements to be eligible for the treatment set out in Article 129(4) or (5) of Regulation (EU) No 575/2013; |
| --- | --- | --- |

(c)

exposures in the form of high quality covered bonds, which shall comply with all of the following requirements:

(i)

they are bonds as referred to in Article 52(4) of Directive 2009/65/EC or meet the requirements to be eligible for the treatment set out in Article 129(4) or (5) of Regulation (EU) No 575/2013;

| (ii) | the exposures to institutions in the cover pool meet the conditions laid down in Article 129(1)(c) of Regulation (EU) No 575/2013; |
| --- | --- |

(ii)

the exposures to institutions in the cover pool meet the conditions laid down in Article 129(1)(c) of Regulation (EU) No 575/2013;

| (iii) | the credit institution investing in the covered bonds and the issuer meet the transparency requirement laid down in Article 129(7) of Regulation (EU) No 575/2013; |
| --- | --- |

(iii)

the credit institution investing in the covered bonds and the issuer meet the transparency requirement laid down in Article 129(7) of Regulation (EU) No 575/2013;

| (iv) | their issue size is at least EUR 250 million (or the equivalent amount in domestic currency); |
| --- | --- |

(iv)

their issue size is at least EUR 250 million (or the equivalent amount in domestic currency);

| (v) | the covered bonds are assigned a credit assessment by a nominated ECAI which is at least credit quality step 2 in accordance with Article 129(4) of Regulation (EU) No 575/2013, the equivalent credit quality step in the event of a short term credit assessment or, in the absence of a credit assessment, they are assigned a 20 % risk weight in accordance with Article 129(5) of that Regulation; |
| --- | --- |

(v)

the covered bonds are assigned a credit assessment by a nominated ECAI which is at least credit quality step 2 in accordance with Article 129(4) of Regulation (EU) No 575/2013, the equivalent credit quality step in the event of a short term credit assessment or, in the absence of a credit assessment, they are assigned a 20 % risk weight in accordance with Article 129(5) of that Regulation;

| (vi) | the cover pool meets at all times an asset coverage requirement of at least 7 % in excess of the amount required to meet the claims attaching to the covered bonds. However, where covered bonds with a credit quality step 1 credit assessment do not meet the minimum issue size for extremely high quality covered bonds in accordance with point (f)(iv) of Article 10(1) but meet the requirements for high quality covered bonds laid down in points (i), (ii), (iii) and (iv), they shall instead be subject to a minimum asset coverage requirement of 2 %; |
| --- | --- |

(vi)

the cover pool meets at all times an asset coverage requirement of at least 7 % in excess of the amount required to meet the claims attaching to the covered bonds. However, where covered bonds with a credit quality step 1 credit assessment do not meet the minimum issue size for extremely high quality covered bonds in accordance with point (f)(iv) of Article 10(1) but meet the requirements for high quality covered bonds laid down in points (i), (ii), (iii) and (iv), they shall instead be subject to a minimum asset coverage requirement of 2 %;

| (d) | exposures in the form of covered bonds issued by credit institutions in third countries, which shall comply with all of the following requirements:






  (i) | they are covered bonds in accordance with the national law of the third country which must define them as debt securities issued by credit institutions, or by a wholly owned subsidiary of a credit institution which guarantees the issue, and secured by a cover pool of assets, in respect of which bondholders shall have direct recourse for the repayment of principal and interest on a priority basis in the event of the issuer's default; |
| --- | --- | --- |

(d)

exposures in the form of covered bonds issued by credit institutions in third countries, which shall comply with all of the following requirements:

(i)

they are covered bonds in accordance with the national law of the third country which must define them as debt securities issued by credit institutions, or by a wholly owned subsidiary of a credit institution which guarantees the issue, and secured by a cover pool of assets, in respect of which bondholders shall have direct recourse for the repayment of principal and interest on a priority basis in the event of the issuer's default;

| (ii) | the issuer and the covered bonds are subject by the national law in the third country to special public supervision designed to protect bondholders and the supervisory and regulatory arrangements applied in the third country must be at least equivalent to those applied in the Union; |
| --- | --- |

(ii)

the issuer and the covered bonds are subject by the national law in the third country to special public supervision designed to protect bondholders and the supervisory and regulatory arrangements applied in the third country must be at least equivalent to those applied in the Union;

| (iii) | the covered bonds are backed by a pool of assets of one or more of the types described in points (b), (d)(i), (f)(i) or (g) of Article 129(1) of Regulation (EU) No 575/2013. Where the pool comprises loans secured by immovable property, the requirements in Articles 208 and 229(1) of Regulation (EU) No 575/2013 must be met; |
| --- | --- |

(iii)

the covered bonds are backed by a pool of assets of one or more of the types described in points (b), (d)(i), (f)(i) or (g) of Article 129(1) of Regulation (EU) No 575/2013. Where the pool comprises loans secured by immovable property, the requirements in Articles 208 and 229(1) of Regulation (EU) No 575/2013 must be met;

| (iv) | the exposures to institutions in the cover pool meet the conditions laid down in Article 129(1)(c) and in Article 129(1) last subparagraph of Regulation (EU) No 575/2013; |
| --- | --- |

(iv)

the exposures to institutions in the cover pool meet the conditions laid down in Article 129(1)(c) and in Article 129(1) last subparagraph of Regulation (EU) No 575/2013;

| (v) | the credit institution investing in the covered bonds and the issuer meet the transparency requirement laid down in Article 129(7) of Regulation (EU) No 575/2013; |
| --- | --- |

(v)

the credit institution investing in the covered bonds and the issuer meet the transparency requirement laid down in Article 129(7) of Regulation (EU) No 575/2013;

| (vi) | the covered bonds are assigned a credit assessment by a nominated ECAI which is at least credit quality step 1 in accordance with Article 129(4) of Regulation (EU) No 575/2013, the equivalent credit quality step in the event of a short term credit assessment or, in the absence of a credit assessment, they are assigned a 10 % risk weight in accordance with Article 129(5) of that Regulation; and |
| --- | --- |

(vi)

the covered bonds are assigned a credit assessment by a nominated ECAI which is at least credit quality step 1 in accordance with Article 129(4) of Regulation (EU) No 575/2013, the equivalent credit quality step in the event of a short term credit assessment or, in the absence of a credit assessment, they are assigned a 10 % risk weight in accordance with Article 129(5) of that Regulation; and

| (vii) | the cover pool meets at all times an asset coverage requirement of at least 7 % in excess of the amount required to meet the claims attaching to the covered bonds. However, where the issue size of the covered bonds is EUR 500 million (or the equivalent amount in domestic currency) or higher, they shall instead be subject to a minimum asset coverage requirement of 2 %; |
| --- | --- |

(vii)

the cover pool meets at all times an asset coverage requirement of at least 7 % in excess of the amount required to meet the claims attaching to the covered bonds. However, where the issue size of the covered bonds is EUR 500 million (or the equivalent amount in domestic currency) or higher, they shall instead be subject to a minimum asset coverage requirement of 2 %;

| (e) | corporate debt securities which meet all of the following requirements:






  (i) | they are assigned a credit assessment by a nominated ECAI which is at least credit quality step 1 in accordance with Article 122 of Regulation (EU) No 575/2013 or the equivalent credit quality step in the event of a short term credit assessment; |
| --- | --- | --- |

(e)

corporate debt securities which meet all of the following requirements:

(i)

they are assigned a credit assessment by a nominated ECAI which is at least credit quality step 1 in accordance with Article 122 of Regulation (EU) No 575/2013 or the equivalent credit quality step in the event of a short term credit assessment;

| (ii) | the securities issue size is at least EUR 250 million (or the equivalent in domestic currency); |
| --- | --- |

(ii)

the securities issue size is at least EUR 250 million (or the equivalent in domestic currency);

| (iii) | the maximum time to maturity of the securities at the time of issuance is 10 years; |
| --- | --- |

(iii)

the maximum time to maturity of the securities at the time of issuance is 10 years;

2.   The market value of each of the level 2A assets shall be subject to a haircut of at least 15 %.

Article 12

Level 2B assets

1.   Level 2B assets shall only include assets falling under one or more of the following categories and meeting in each case the eligibility criteria laid down herein:

| (a) | exposures in the form of asset-backed securities meeting the requirements laid down in Article 13; |
| --- | --- |

(a)

exposures in the form of asset-backed securities meeting the requirements laid down in Article 13;

| (b) | corporate debt securities which meet all of the following requirements:






  (i) | they have received a credit assessment by a nominated ECAI which is at least credit quality step 3 in accordance with Article 122 of Regulation (EU) No 575/2013 or the equivalent credit quality step in the event of a short term credit assessment; |
| --- | --- | --- |

(b)

corporate debt securities which meet all of the following requirements:

(i)

they have received a credit assessment by a nominated ECAI which is at least credit quality step 3 in accordance with Article 122 of Regulation (EU) No 575/2013 or the equivalent credit quality step in the event of a short term credit assessment;

| (ii) | the securities issue size is at least EUR 250 million (or the equivalent in domestic currency); |
| --- | --- |

(ii)

the securities issue size is at least EUR 250 million (or the equivalent in domestic currency);

| (iii) | the maximum time to maturity of the securities at the time of issuance is 10 years; |
| --- | --- |

(iii)

the maximum time to maturity of the securities at the time of issuance is 10 years;

| (c) | shares, provided that they meet all of the following requirements:






  (i) | they form part of a major stock index in a Member State or in a third country, as identified as such for the purposes of this point by the competent authority of a Member State or the relevant public authority in a third country. In the absence of any decision from the competent authority or public authority in relation to major stock indexes, credit institutions shall regard as such a stock index composed of leading companies in the relevant jurisdiction; |
| --- | --- | --- |

(c)

shares, provided that they meet all of the following requirements:

(i)

they form part of a major stock index in a Member State or in a third country, as identified as such for the purposes of this point by the competent authority of a Member State or the relevant public authority in a third country. In the absence of any decision from the competent authority or public authority in relation to major stock indexes, credit institutions shall regard as such a stock index composed of leading companies in the relevant jurisdiction;

| (ii) | they are denominated in the currency of the credit institution's home Member State or, where denominated in a different currency, they count as level 2B only up to the amount to cover stressed net liquidity outflows in that currency or in the jurisdiction where the liquidity risk is taken; and |
| --- | --- |

(ii)

they are denominated in the currency of the credit institution's home Member State or, where denominated in a different currency, they count as level 2B only up to the amount to cover stressed net liquidity outflows in that currency or in the jurisdiction where the liquidity risk is taken; and

| (iii) | they have a proven record as a reliable source of liquidity at all times, including during stress periods. This requirement shall be deemed met where the level of decline in the share's stock price or increase in its haircut during a 30 day calendar day market stress period did not exceed 40 % or 40 percentage points, respectively; and |
| --- | --- |

(iii)

they have a proven record as a reliable source of liquidity at all times, including during stress periods. This requirement shall be deemed met where the level of decline in the share's stock price or increase in its haircut during a 30 day calendar day market stress period did not exceed 40 % or 40 percentage points, respectively; and

| (d) | restricted-use committed liquidity facilities that may be provided by the ECB, the central bank of a Member State or the central bank of a third country, provided that the requirements laid down in Article 14 are met; |
| --- | --- |

(d)

restricted-use committed liquidity facilities that may be provided by the ECB, the central bank of a Member State or the central bank of a third country, provided that the requirements laid down in Article 14 are met;

| (e) | exposures in the form of high quality covered bonds which shall comply with all of the following requirements:






  (i) | they are bonds as referred to in Article 52(4) of Directive 2009/65/EC or meet the requirements to be eligible for the treatment set out in Article 129(4) or (5) of Regulation (EU) No 575/2013; |
| --- | --- | --- |

(e)

exposures in the form of high quality covered bonds which shall comply with all of the following requirements:

(i)

they are bonds as referred to in Article 52(4) of Directive 2009/65/EC or meet the requirements to be eligible for the treatment set out in Article 129(4) or (5) of Regulation (EU) No 575/2013;

| (ii) | the credit institution investing in the covered bonds meets the transparency requirement laid down in Article 129(7) of Regulation (EU) No 575/2013; |
| --- | --- |

(ii)

the credit institution investing in the covered bonds meets the transparency requirement laid down in Article 129(7) of Regulation (EU) No 575/2013;

| (iii) | the issuer of the covered bonds makes the information referred to in Article 129(7)(a) of Regulation (EU) No 575/2013 available to investors on at least a quarterly basis; |
| --- | --- |

(iii)

the issuer of the covered bonds makes the information referred to in Article 129(7)(a) of Regulation (EU) No 575/2013 available to investors on at least a quarterly basis;

| (iv) | their issue size is at least EUR 250 million (or the equivalent amount in domestic currency); |
| --- | --- |

(iv)

their issue size is at least EUR 250 million (or the equivalent amount in domestic currency);

| (v) | the covered bonds are collateralised exclusively by the assets referred to in points (a), (d)(i) and (e) of Article 129(1) of Regulation (EU) No 575/2013. |
| --- | --- |

(v)

the covered bonds are collateralised exclusively by the assets referred to in points (a), (d)(i) and (e) of Article 129(1) of Regulation (EU) No 575/2013.

| (vi) | the pool of underlying assets consists exclusively of exposures which qualify for a 35 % or lower risk weight under Article 125 of Regulation (EU) No 575/2013 for credit risk; |
| --- | --- |

(vi)

the pool of underlying assets consists exclusively of exposures which qualify for a 35 % or lower risk weight under Article 125 of Regulation (EU) No 575/2013 for credit risk;

| (vii) | the cover pool meets at all times an asset coverage requirement of at least 10 % in excess of the amount required to meet the claims attaching to the covered bonds; |
| --- | --- |

(vii)

the cover pool meets at all times an asset coverage requirement of at least 10 % in excess of the amount required to meet the claims attaching to the covered bonds;

| (viii) | the issuing credit institution needs to publicly disclose on a monthly basis that the cover pool meets the 10 % asset coverage requirement; |
| --- | --- |

(viii)

the issuing credit institution needs to publicly disclose on a monthly basis that the cover pool meets the 10 % asset coverage requirement;

| (f) | for credit institutions which in accordance with their statutes of incorporation are unable for reasons of religious observance from holding interest bearing assets, non-interest bearing assets constituting a claim on or guaranteed by central banks or by the central government or the central bank of a third country or by a regional government, local authority or public sector entity in a third country, provided that those assets have a credit assessment by a nominated ECAI of at least credit quality step 5 in accordance with Article 114 of Regulation (EU) No 575/2013, or the equivalent credit-quality step in the event of a short-term credit assessment. |
| --- | --- |

(f)

for credit institutions which in accordance with their statutes of incorporation are unable for reasons of religious observance from holding interest bearing assets, non-interest bearing assets constituting a claim on or guaranteed by central banks or by the central government or the central bank of a third country or by a regional government, local authority or public sector entity in a third country, provided that those assets have a credit assessment by a nominated ECAI of at least credit quality step 5 in accordance with Article 114 of Regulation (EU) No 575/2013, or the equivalent credit-quality step in the event of a short-term credit assessment.

2.   The market value of each of the level 2B assets shall be subject to the following minimum haircuts:

| (a) | the applicable haircut set out in Article 13(14) for level 2B securitisations; |
| --- | --- |

(a)

the applicable haircut set out in Article 13(14) for level 2B securitisations;

| (b) | a 50 % haircut for corporate debt securities referred to in paragraph (1)(b); |
| --- | --- |

(b)

a 50 % haircut for corporate debt securities referred to in paragraph (1)(b);

| (c) | a 50 % haircut for shares referred to in paragraph 1(c); |
| --- | --- |

(c)

a 50 % haircut for shares referred to in paragraph 1(c);

| (d) | a 30 % haircut for covered bond programmes or issues referred to in paragraph (1)(e); |
| --- | --- |

(d)

a 30 % haircut for covered bond programmes or issues referred to in paragraph (1)(e);

| (e) | a 50 % haircut for non-interest bearing assets referred to in paragraph 1(f). |
| --- | --- |

(e)

a 50 % haircut for non-interest bearing assets referred to in paragraph 1(f).

3.   For credit institutions which in accordance with their statutes of incorporation are unable for reasons of religious observance to hold interest bearing assets, the competent authority may allow to derogate from points (ii) and (iii) of paragraph 1(b) of this Article, provided there is evidence of insufficient availability of non-interest bearing assets meeting these requirements and the non-interest bearing assets in question are adequately liquid in private markets.

In determining whether the non-interest bearing assets are adequately liquid for the purposes of the first subparagraph, the competent authority shall consider the following factors:

| (a) | the available data in respect of their market liquidity, including trading volumes, observed bid-offer spreads, price volatility and price impact; and |
| --- | --- |

(a)

the available data in respect of their market liquidity, including trading volumes, observed bid-offer spreads, price volatility and price impact; and

| (b) | other factors relevant to their liquidity, including the historical evidence of the breadth and depth of the market for those non-interest bearing assets, the number and diversity of market participants and the presence of a robust market infrastructure. |
| --- | --- |

(b)

other factors relevant to their liquidity, including the historical evidence of the breadth and depth of the market for those non-interest bearing assets, the number and diversity of market participants and the presence of a robust market infrastructure.

Article 13

Level 2B securitisations

1.   Exposures in the form of asset-backed securities referred to in Article 12(1)(a) shall qualify as level 2B securitisations where they meet the criteria laid down in paragraphs 2 to 14.

2.   The securitisation position and the exposures underlying the position shall meet all the following requirements:

| (a) | the position has been assigned a credit assessment by a nominated ECAI which is at least credit quality step 1 in accordance with Articles 251 or 261 of Regulation (EU) No 575/2013 or the equivalent credit quality step in the event of a short term credit assessment; |
| --- | --- |

(a)

the position has been assigned a credit assessment by a nominated ECAI which is at least credit quality step 1 in accordance with Articles 251 or 261 of Regulation (EU) No 575/2013 or the equivalent credit quality step in the event of a short term credit assessment;

| (b) | the position is in the most senior tranche or tranches of the securitisation and possesses the highest level of seniority at all times during the ongoing life of the transaction. For these purposes, a tranche shall be deemed to be the most senior where after the delivery of an enforcement notice and where applicable an acceleration notice, the tranche is not subordinated to other tranches of the same securitisation transaction or scheme in respect of receiving principal and interest payments, without taking into account amounts due under interest rate or currency derivative contracts, fees or other similar payments in accordance with Article 261 of Regulation (EU) No 575/2013; |
| --- | --- |

(b)

the position is in the most senior tranche or tranches of the securitisation and possesses the highest level of seniority at all times during the ongoing life of the transaction. For these purposes, a tranche shall be deemed to be the most senior where after the delivery of an enforcement notice and where applicable an acceleration notice, the tranche is not subordinated to other tranches of the same securitisation transaction or scheme in respect of receiving principal and interest payments, without taking into account amounts due under interest rate or currency derivative contracts, fees or other similar payments in accordance with Article 261 of Regulation (EU) No 575/2013;

| (c) | the underlying exposures have been acquired by the SSPE within the meaning of Article 4(1)(66) of Regulation (EU) No 575/2013 in a manner that is enforceable against any third party and are beyond the reach of the seller (originator, sponsor or original lender) and its creditors including in the event of the seller's insolvency; |
| --- | --- |

(c)

the underlying exposures have been acquired by the SSPE within the meaning of Article 4(1)(66) of Regulation (EU) No 575/2013 in a manner that is enforceable against any third party and are beyond the reach of the seller (originator, sponsor or original lender) and its creditors including in the event of the seller's insolvency;

| (d) | the transfer of the underlying exposures to the SSPE may not be subject to any severe clawback provisions in the jurisdiction where the seller (originator, sponsor or original lender) is incorporated. This includes but is not limited to provisions under which the sale of the underlying exposures can be invalidated by the liquidator of the seller (originator, sponsor or original lender) solely on the basis that it was concluded within a certain period before the declaration of the seller's insolvency or provisions where the SSPE can prevent such invalidation only if it can prove that it was not aware of the insolvency of the seller at the time of sale; |
| --- | --- |

(d)

the transfer of the underlying exposures to the SSPE may not be subject to any severe clawback provisions in the jurisdiction where the seller (originator, sponsor or original lender) is incorporated. This includes but is not limited to provisions under which the sale of the underlying exposures can be invalidated by the liquidator of the seller (originator, sponsor or original lender) solely on the basis that it was concluded within a certain period before the declaration of the seller's insolvency or provisions where the SSPE can prevent such invalidation only if it can prove that it was not aware of the insolvency of the seller at the time of sale;

| (e) | the underlying exposures have their administration governed by a servicing agreement which includes servicing continuity provisions that ensure, at a minimum, that a default or insolvency of the servicer does not result in a termination of servicing; |
| --- | --- |

(e)

the underlying exposures have their administration governed by a servicing agreement which includes servicing continuity provisions that ensure, at a minimum, that a default or insolvency of the servicer does not result in a termination of servicing;

| (f) | the documentation governing the securitisation includes continuity provisions that ensure, at a minimum, the replacement of derivative counterparties and of liquidity providers upon their default or insolvency, where applicable; |
| --- | --- |

(f)

the documentation governing the securitisation includes continuity provisions that ensure, at a minimum, the replacement of derivative counterparties and of liquidity providers upon their default or insolvency, where applicable;

| (g) | the securitisation position is backed by a pool of homogeneous underlying exposures, which all belong to only one of the following subcategories, or by a pool of homogeneous underlying exposures which combines residential loans referred to in points (i) and (ii):






  (i) | residential loans secured with a first-ranking mortgage granted to individuals for the acquisition of their main residence, provided that one of the two following conditions is met:






  — | the loans in the pool meet on average the loan-to-value requirement laid down in point (i) of Article 129(1)(d) of Regulation (EU) No 575/2013; |
| --- | --- | --- | --- |

(g)

the securitisation position is backed by a pool of homogeneous underlying exposures, which all belong to only one of the following subcategories, or by a pool of homogeneous underlying exposures which combines residential loans referred to in points (i) and (ii):

(i)

residential loans secured with a first-ranking mortgage granted to individuals for the acquisition of their main residence, provided that one of the two following conditions is met:

—

the loans in the pool meet on average the loan-to-value requirement laid down in point (i) of Article 129(1)(d) of Regulation (EU) No 575/2013;

| — | the national law of the Member State where the loans were originated provides for a loan-to-income limit on the amount that an obligor may borrow in a residential loan, and that Member State has notified this law to the Commission and EBA. The loan-to-income limit is calculated on the gross annual income of the obligor, taking into account the tax obligations and other commitments of the obligor and the risk of changes in the interest rates over the term of the loan. For each residential loan in the pool, the percentage of the obligor's gross income that may be spent to service the loan, including interest, principal and fee payments, does not exceed 45 %; |
| --- | --- |

—

the national law of the Member State where the loans were originated provides for a loan-to-income limit on the amount that an obligor may borrow in a residential loan, and that Member State has notified this law to the Commission and EBA. The loan-to-income limit is calculated on the gross annual income of the obligor, taking into account the tax obligations and other commitments of the obligor and the risk of changes in the interest rates over the term of the loan. For each residential loan in the pool, the percentage of the obligor's gross income that may be spent to service the loan, including interest, principal and fee payments, does not exceed 45 %;

| (ii) | fully guaranteed residential loans referred to in Article 129(1)(e) of Regulation (EU) No 575/2013, provided that the loans meet the collateralisation requirements laid down in that paragraph and the average loan-to-value requirement laid down in point (i) of Article 129(1)(d) of Regulation (EU) No 575/2013 |
| --- | --- |

(ii)

fully guaranteed residential loans referred to in Article 129(1)(e) of Regulation (EU) No 575/2013, provided that the loans meet the collateralisation requirements laid down in that paragraph and the average loan-to-value requirement laid down in point (i) of Article 129(1)(d) of Regulation (EU) No 575/2013

| (iii) | commercial loans, leases and credit facilities to undertakings established in a Member State to finance capital expenditures or business operations other than the acquisition or development of commercial real estate, provided that at least 80 % of the borrowers in the pool in terms of portfolio balance are small and medium-sized enterprises at the time of issuance of the securitisation, and none of the borrowers is an institution as defined in Article 4(1)(3) of Regulation (EU) No 575/2013; |
| --- | --- |

(iii)

commercial loans, leases and credit facilities to undertakings established in a Member State to finance capital expenditures or business operations other than the acquisition or development of commercial real estate, provided that at least 80 % of the borrowers in the pool in terms of portfolio balance are small and medium-sized enterprises at the time of issuance of the securitisation, and none of the borrowers is an institution as defined in Article 4(1)(3) of Regulation (EU) No 575/2013;

| (iv) | auto loans and leases to borrowers or lessees established or resident in a Member State. For these purposes, they shall include loans or leases for the financing of motor vehicles or trailers as defined in points (11) and (12) of Article 3 of Directive 2007/46/EC of the European Parliament and of the Council, agricultural or forestry tractors as referred to in Directive 2003/37/EC of the European Parliament and of the Council, motorcycles or motor tricycles as defined in points (b) and (c) of Article 1(2) of Directive 2002/24/EC of the European Parliament and of the Council or tracked vehicles as referred to in point (c) of Article 2(2) of Directive 2007/46/EC. Such loans or leases may include ancillary insurance and service products or additional vehicle parts, and in the case of leases, the residual value of leased vehicles. All loans and leases in the pool shall be secured with a first-ranking charge or security over the vehicle or an appropriate guarantee in favour of the SSPE, such as a retention of title provision; |
| --- | --- |

(iv)

auto loans and leases to borrowers or lessees established or resident in a Member State. For these purposes, they shall include loans or leases for the financing of motor vehicles or trailers as defined in points (11) and (12) of Article 3 of Directive 2007/46/EC of the European Parliament and of the Council, agricultural or forestry tractors as referred to in Directive 2003/37/EC of the European Parliament and of the Council, motorcycles or motor tricycles as defined in points (b) and (c) of Article 1(2) of Directive 2002/24/EC of the European Parliament and of the Council or tracked vehicles as referred to in point (c) of Article 2(2) of Directive 2007/46/EC. Such loans or leases may include ancillary insurance and service products or additional vehicle parts, and in the case of leases, the residual value of leased vehicles. All loans and leases in the pool shall be secured with a first-ranking charge or security over the vehicle or an appropriate guarantee in favour of the SSPE, such as a retention of title provision;

| (v) | loans and credit facilities to individuals resident in a Member State for personal, family or household consumption purposes. |
| --- | --- |

(v)

loans and credit facilities to individuals resident in a Member State for personal, family or household consumption purposes.

| (h) | the position is not in a resecuritisation or a synthetic securitisation as referred to in Articles 4(63) and 242(11), respectively, of Regulation (EU) No 575/2013; |
| --- | --- |

(h)

the position is not in a resecuritisation or a synthetic securitisation as referred to in Articles 4(63) and 242(11), respectively, of Regulation (EU) No 575/2013;

| (i) | the underlying exposures do not include transferable financial instruments or derivatives, except financial instruments issued by the SSPE itself or other parties within the securitisation structure and derivatives used to hedge currency risk and interest rate risk; |
| --- | --- |

(i)

the underlying exposures do not include transferable financial instruments or derivatives, except financial instruments issued by the SSPE itself or other parties within the securitisation structure and derivatives used to hedge currency risk and interest rate risk;

| (j) | at the time of issuance of the securitisation or when incorporated in the pool of underlying exposures at any time after issuance, the underlying exposures do not include exposures to credit-impaired obligors (or where applicable, credit-impaired guarantors), where a credit-impaired obligor (or credit-impaired guarantor) is a borrower (or guarantor) who:






  (i) | has declared bankruptcy, agreed with his creditors to a debt dismissal or reschedule or had a court grant his creditors a right of enforcement or material damages as a result of a missed payment within three years prior to the date of origination; |
| --- | --- | --- |

(j)

at the time of issuance of the securitisation or when incorporated in the pool of underlying exposures at any time after issuance, the underlying exposures do not include exposures to credit-impaired obligors (or where applicable, credit-impaired guarantors), where a credit-impaired obligor (or credit-impaired guarantor) is a borrower (or guarantor) who:

(i)

has declared bankruptcy, agreed with his creditors to a debt dismissal or reschedule or had a court grant his creditors a right of enforcement or material damages as a result of a missed payment within three years prior to the date of origination;

| (ii) | is on an official registry of persons with adverse credit history; |
| --- | --- |

(ii)

is on an official registry of persons with adverse credit history;

| (iii) | has a credit assessment by an ECAI or has a credit score indicating a significant risk that contractually agreed payments will not be made compared to the average obligor for this type of loans in the relevant jurisdiction. |
| --- | --- |

(iii)

has a credit assessment by an ECAI or has a credit score indicating a significant risk that contractually agreed payments will not be made compared to the average obligor for this type of loans in the relevant jurisdiction.

| (k) | at the time of issuance of the securitisation or when incorporated in the pool of underlying exposures at any time after issuance, the underlying exposures do not include exposures in default within the meaning of Article 178(1) of Regulation (EU) No 575/2013. |
| --- | --- |

(k)

at the time of issuance of the securitisation or when incorporated in the pool of underlying exposures at any time after issuance, the underlying exposures do not include exposures in default within the meaning of Article 178(1) of Regulation (EU) No 575/2013.

3.   The repayment of the securitisation positions shall not have been structured to depend, predominantly, on the sale of assets securing the underlying exposures. However, this provision shall not prevent such exposures from being subsequently rolled-over or refinanced.

4.   The structure of the securitisation transaction shall comply with the following requirements:

| (a) | where the securitisation has been set up without a revolving period or the revolving period has terminated and where an enforcement or an acceleration notice has been delivered, principal receipts from the underlying exposures are passed to the holders of the securitisation positions via sequential amortisation of the securitisation positions and no substantial amount of cash is trapped in the SSPE on each payment date; |
| --- | --- |

(a)

where the securitisation has been set up without a revolving period or the revolving period has terminated and where an enforcement or an acceleration notice has been delivered, principal receipts from the underlying exposures are passed to the holders of the securitisation positions via sequential amortisation of the securitisation positions and no substantial amount of cash is trapped in the SSPE on each payment date;

| (b) | where the securitisation has been set up with a revolving period, the transaction documentation provides for appropriate early amortisation events, which shall include at a minimum all of the following:






  (i) | a deterioration in the credit quality of the underlying exposures; |
| --- | --- | --- |

(b)

where the securitisation has been set up with a revolving period, the transaction documentation provides for appropriate early amortisation events, which shall include at a minimum all of the following:

(i)

a deterioration in the credit quality of the underlying exposures;

| (ii) | a failure to generate sufficient new underlying exposures of at least similar credit quality; |
| --- | --- |

(ii)

a failure to generate sufficient new underlying exposures of at least similar credit quality;

| (iii) | the occurrence of an insolvency-related event with regard to the originator or the servicer; |
| --- | --- |

(iii)

the occurrence of an insolvency-related event with regard to the originator or the servicer;

5.   At the time of issuance of the securitisation, the borrowers (or, where applicable, the guarantors) shall have made at least one payment except where the securitisation is backed by credit facilities referred to in point (g)(v)of paragraph 2.

6.   In the case of securitisations where the underlying exposures are residential loans referred to in points (g)(i) and (ii) of paragraph 2, the pool of loans shall not include any loan that was marketed and underwritten on the premise that the loan applicant or, where applicable intermediaries, were made aware that the information provided might not be verified by the lender.

7.   In the case of securitisations where the underlying exposures are residential loans referred to in points (g)(i) and (ii) of paragraph 2, the assessment of the borrower's creditworthiness shall meet the requirements set out in paragraphs 1 to 4, 5(a), and 6 of Article 18 of Directive 2014/17/EU of the European Parliament and of the Council or equivalent requirements in third countries (7).

8.   In the case of securitisations where the underlying exposures are auto loans and leases and consumer loans and credit facilities referred to in points (g)(iv) and (v) of paragraph 2, the assessment of the borrower's creditworthiness shall meet the requirements set out in Article 8 of Directive 2008/48/EC of the European Parliament and of the Council (8).

9.   Where the originator, sponsor or original lender of the securitisation is established in the Union, it complies with the requirements laid down in Part Five of Regulation (EU) No 575/2013 and discloses information, in accordance with Article 8b of Regulation (EU) No 1060/2009, on the credit quality and performance of the underlying exposures, the structure of the transaction, the cash flows and any collateral supporting the exposures as well as any information that is necessary for investors to conduct comprehensive and well-informed stress tests. Where the originator, sponsor and original lender are established outside the Union, comprehensive loan-level data in compliance with standards generally accepted by market participants are made available to existing and potential investors and regulators at issuance and on a regular basis.

10.   The underlying exposures shall not have been originated by the credit institution holding the securitisation position in its liquidity buffer, its subsidiary, its parent undertaking, a subsidiary of its parent undertaking or any other undertaking closely linked with that credit institution.

11.   The issue size of the tranche shall be at least EUR 100 million (or the equivalent amount in domestic currency).

12.   The remaining weighted average life of the tranche shall be 5 years or less, which shall be calculated using the lower of either the transaction's pricing prepayment assumption or a 20 % constant prepayment rate, for which the credit institution shall assume that the call is exercised on the first permitted call date.

13.   The originator of the exposures underlying the securitisation shall be an institution as defined in Article 4(3) of Regulation (EU) No 575/2013 or an undertaking whose principal activity is to pursue one or more of the activities listed in points 2 to 12 and point 15 of Annex I to Directive 2013/36/EU.

14.   The market value of level 2B securitisations shall be subject to the following minimum haircuts:

| (a) | 25 % for securitisations backed by the subcategories of assets referred to in points (g)(i), (ii) and (iv) of paragraph 2; |
| --- | --- |

(a)

25 % for securitisations backed by the subcategories of assets referred to in points (g)(i), (ii) and (iv) of paragraph 2;

| (b) | 35 % for securitisations backed by the subcategories of assets referred to in points (g)(iii) and (v) of paragraph 2. |
| --- | --- |

(b)

35 % for securitisations backed by the subcategories of assets referred to in points (g)(iii) and (v) of paragraph 2.

Article 14

Restricted-use committed liquidity facilities

In order to qualify as level 2B assets, the restricted-use committed liquidity facilities that may be provided by a central bank as referred to in paragraph (1)(d) of Article 12 shall fulfil all of the following criteria:

| (a) | during a non-stress period, the facility is subject to a commitment fee on the total committed amount which is at least the greater of the following:






  (i) | 75 basis points per annum; or |
| --- | --- | --- |

(a)

during a non-stress period, the facility is subject to a commitment fee on the total committed amount which is at least the greater of the following:

(i)

75 basis points per annum; or

| (ii) | at least 25 basis points per annum above the difference in yield on the assets used to back the facility and the yield on a representative portfolio of liquid assets, after adjusting for any material differences in credit risk; |
| --- | --- |

(ii)

at least 25 basis points per annum above the difference in yield on the assets used to back the facility and the yield on a representative portfolio of liquid assets, after adjusting for any material differences in credit risk;

During a stress period, the central bank may reduce the commitment fee described in the first subparagraph of this point, provided that the minimum requirements applicable to liquidity facilities under the alternative liquidity approaches in accordance with Article 19 are met;

| (b) | the facility is backed by unencumbered assets of a type specified by the central bank. The assets provided as collateral shall fulfil all of the following criteria:






  (i) | they are held in a form which facilitates their prompt transfer to the central bank in the event of the facility being called; |
| --- | --- | --- |

(b)

the facility is backed by unencumbered assets of a type specified by the central bank. The assets provided as collateral shall fulfil all of the following criteria:

(i)

they are held in a form which facilitates their prompt transfer to the central bank in the event of the facility being called;

| (ii) | their value post-haircut as applied by the central bank is sufficient to cover the total amount of the facility; |
| --- | --- |

(ii)

their value post-haircut as applied by the central bank is sufficient to cover the total amount of the facility;

| (iii) | they are not to be counted as liquid assets for the purposes of the credit institution's liquidity buffer; |
| --- | --- |

(iii)

they are not to be counted as liquid assets for the purposes of the credit institution's liquidity buffer;

| (c) | the facility is compatible with the counterparty policy framework of the central bank; |
| --- | --- |

(c)

the facility is compatible with the counterparty policy framework of the central bank;

| (d) | the commitment term of the facility exceeds the 30 calendar day stress period referred to in Article 4; |
| --- | --- |

(d)

the commitment term of the facility exceeds the 30 calendar day stress period referred to in Article 4;

| (e) | the facility is not revoked by the central bank prior to its contractual maturity and no further credit decision is taken for as long as the credit institution concerned continues to be assessed as solvent; |
| --- | --- |

(e)

the facility is not revoked by the central bank prior to its contractual maturity and no further credit decision is taken for as long as the credit institution concerned continues to be assessed as solvent;

| (f) | there is a formal policy published by the central bank stating its decision to grant restricted-use committed liquidity facilities, the conditions governing the facility and the types of credit institutions that are eligible to apply for those facilities. |
| --- | --- |

(f)

there is a formal policy published by the central bank stating its decision to grant restricted-use committed liquidity facilities, the conditions governing the facility and the types of credit institutions that are eligible to apply for those facilities.

Article 15

CIUs

1.   Shares or units in CIUs shall qualify as liquid assets of the same level as the liquid assets underlying the relevant undertaking up to an absolute amount of EUR 500 million (or equivalent amount in domestic currency) for each credit institution on an individual basis, provided that:

| (a) | the requirements in Article 132(3) of Regulation (EU) No 575/2013 are complied with; |
| --- | --- |

(a)

the requirements in Article 132(3) of Regulation (EU) No 575/2013 are complied with;

| (b) | the CIU invests only in liquid assets and derivatives, in the latter case only to the extent necessary to mitigate interest rate, currency or credit risk in the portfolio. |
| --- | --- |

(b)

the CIU invests only in liquid assets and derivatives, in the latter case only to the extent necessary to mitigate interest rate, currency or credit risk in the portfolio.

2.   Credit institutions shall apply the following minimum haircuts to the value of their shares or units in CIUs depending on the category of underlying liquid assets:

| (a) | 0 % for coins and banknotes and exposures to central banks referred to in Article 10(1)(b); |
| --- | --- |

(a)

0 % for coins and banknotes and exposures to central banks referred to in Article 10(1)(b);

| (b) | 5 % for level 1 assets other than extremely high quality covered bonds; |
| --- | --- |

(b)

5 % for level 1 assets other than extremely high quality covered bonds;

| (c) | 12 % for extremely high quality covered bonds referred to in Article 10(1)(f); |
| --- | --- |

(c)

12 % for extremely high quality covered bonds referred to in Article 10(1)(f);

| (d) | 20 % for level 2A assets; |
| --- | --- |

(d)

20 % for level 2A assets;

| (e) | 30 % for level 2B securitisations backed by the subcategories of assets referred to in points (i), (ii) and (iv) of Article 13(2)(g); |
| --- | --- |

(e)

30 % for level 2B securitisations backed by the subcategories of assets referred to in points (i), (ii) and (iv) of Article 13(2)(g);

| (f) | 35 % for level 2B covered bonds referred to in Article 12(1)e; |
| --- | --- |

(f)

35 % for level 2B covered bonds referred to in Article 12(1)e;

| (g) | 40 % for level 2B securitisations backed by the subcategories of assets referred to in points (iii) and (v) of Article 13(2)(g); and |
| --- | --- |

(g)

40 % for level 2B securitisations backed by the subcategories of assets referred to in points (iii) and (v) of Article 13(2)(g); and

| (h) | 55 % for level 2B corporate debt securities referred to in Article 12(1)(b), shares referred to in Article 12(1)(c) and non-interest bearing assets referred to in Article 12(1)(f). |
| --- | --- |

(h)

55 % for level 2B corporate debt securities referred to in Article 12(1)(b), shares referred to in Article 12(1)(c) and non-interest bearing assets referred to in Article 12(1)(f).

3.   The approach referred to in paragraph 2 shall be applied as follows:

| (a) | where the credit institution is aware of the exposures underlying the CIU, it may look-through to those underlying exposures to assign them the appropriate haircut in accordance with paragraph 2; |
| --- | --- |

(a)

where the credit institution is aware of the exposures underlying the CIU, it may look-through to those underlying exposures to assign them the appropriate haircut in accordance with paragraph 2;

| (b) | where the credit institution is not aware of the exposures underlying the CIU, it must assume that the CIU invests, up to the maximum amount allowed under its mandate, in ascending order in liquid assets as these are classified for the purposes of paragraph 2, starting with those referred to in point (g) of paragraph 2 and until the maximum total investment limit is reached. The same approach shall be applied to determine the liquidity level of the underlying assets where the credit institution is not aware of the exposures underlying the CIU. |
| --- | --- |

(b)

where the credit institution is not aware of the exposures underlying the CIU, it must assume that the CIU invests, up to the maximum amount allowed under its mandate, in ascending order in liquid assets as these are classified for the purposes of paragraph 2, starting with those referred to in point (g) of paragraph 2 and until the maximum total investment limit is reached. The same approach shall be applied to determine the liquidity level of the underlying assets where the credit institution is not aware of the exposures underlying the CIU.

4.   Credit institutions shall develop robust methodologies and processes to calculate and report the market value and haircuts for shares or units in CIUs. Where the exposure is not sufficiently material for a credit institution to develop its own methodologies and provided that, in each case, the competent authority is satisfied that this condition has been met, a credit institution may only rely on the following third parties to calculate and report the haircuts for shares or units in CIUs:

| (a) | the depository institution of the CIU, provided that the CIU invests exclusively in securities and deposits all such securities at this depository institution; or |
| --- | --- |

(a)

the depository institution of the CIU, provided that the CIU invests exclusively in securities and deposits all such securities at this depository institution; or

| (b) | for other CIUs, the CIU management company, provided that the CIU management company meets the requirements laid down in Article 132(3)(a) of Regulation (EU) No 575/2013. |
| --- | --- |

(b)

for other CIUs, the CIU management company, provided that the CIU management company meets the requirements laid down in Article 132(3)(a) of Regulation (EU) No 575/2013.

5.   Where a credit institution fails to comply with the requirements laid down in paragraph 4 of this Article in relation to shares or units in a CIU, it shall cease to recognise them as liquid assets for the purposes of this Regulation in accordance with Article 18.

Article 16

Deposits and other funding in cooperative networks and institutional protection schemes

1.   Where a credit institution belongs to an institutional protection scheme of the type referred to in Article 113(7) of Regulation (EU) No 575/2013, to a network that would be eligible for the waiver provided for in Article 10 of that Regulation or to a cooperative network in a Member State, the sight deposits that the credit institution maintains with the central institution shall be treated as liquid assets in accordance with one of the following provisions:

| (a) | where, in accordance with the national law or the legally binding documents governing the scheme or network, the central institution is obliged to hold or invest the deposits in liquid assets of a specified level or category, the deposits shall be treated as liquid assets of that same level or category in accordance with this Regulation; |
| --- | --- |

(a)

where, in accordance with the national law or the legally binding documents governing the scheme or network, the central institution is obliged to hold or invest the deposits in liquid assets of a specified level or category, the deposits shall be treated as liquid assets of that same level or category in accordance with this Regulation;

| (b) | where the central institution is not obliged to hold or invest the deposits in liquid assets of a specified level or category, the deposits shall be treated as level 2B assets in accordance with this Regulation and their outstanding amount shall be subject to a minimum haircut of 25 %. |
| --- | --- |

(b)

where the central institution is not obliged to hold or invest the deposits in liquid assets of a specified level or category, the deposits shall be treated as level 2B assets in accordance with this Regulation and their outstanding amount shall be subject to a minimum haircut of 25 %.

2.   Where under the law of a Member State or the legally binding documents governing one of the networks or schemes described in paragraph 1 the credit institution has access within 30 calendar days to liquidity funding from the central institution or from other institution within the same network or scheme, such funding shall be treated as a level 2B asset to the extent that it is not collateralised by liquid assets of a specified level or category. A minimum haircut of 25 % shall be applied to the committed principal amount of the liquidity funding.

Article 17

Composition of the liquidity buffer by asset level

1.   Credit institutions shall comply at all times with the following requirements on the composition of their liquidity buffer:

| (a) | a minimum of 60 % of the liquidity buffer is to be composed of level 1 assets; |
| --- | --- |

(a)

a minimum of 60 % of the liquidity buffer is to be composed of level 1 assets;

| (b) | a minimum of 30 % of the liquidity buffer is to be composed of level 1 assets excluding extremely high quality covered bonds referred to in Article 10(1)(f); |
| --- | --- |

(b)

a minimum of 30 % of the liquidity buffer is to be composed of level 1 assets excluding extremely high quality covered bonds referred to in Article 10(1)(f);

| (c) | a maximum of 15 % of the liquidity buffer may be held in level 2B assets. |
| --- | --- |

(c)

a maximum of 15 % of the liquidity buffer may be held in level 2B assets.

2.   The requirements set out in paragraph 1 shall be applied after adjusting for the impact on the stock of liquid assets of secured funding, secured lending or collateral swap transactions using liquid assets where these transactions mature within 30 calendar days, after deducting any applicable haircuts and provided that the credit institution complies with the operational requirements laid down in Article 8.

3.   Credit institutions shall determine the composition of their liquidity buffer in accordance with the formulae laid down in Annex I to this Regulation.

Article 18

Breach of requirements

1.   Where a liquid asset ceases to comply with any applicable general requirements laid down in Article 7, the operational requirements laid down in Article 8(2) or any applicable eligibility criteria laid down in this Chapter, the credit institution shall cease to recognise it as a liquid asset no later than 30 calendar days from the date when the breach of requirements occurred.

2.   Paragraph 1 shall apply to shares or units in a CIU ceasing to meet eligibility requirements only where they do not exceed 10 % of the CIU's overall assets.

Article 19

Alternative liquidity approaches

1.   Where there are insufficient liquid assets in a given currency for credit institutions to meet the liquidity coverage ratio laid down in Article 4, one or more of the following provisions shall apply:

| (a) | the requirement on currency consistency set out in Article 8(6) shall not apply in relation to that currency; |
| --- | --- |

(a)

the requirement on currency consistency set out in Article 8(6) shall not apply in relation to that currency;

| (b) | the credit institution may cover the deficit of liquid assets in a currency with credit facilities from the central bank in a Member State or third country of that currency, provided that the facility complies with all the following requirements:






  (i) | it is contractually irrevocably committed for the next 30 calendar days; |
| --- | --- | --- |

(b)

the credit institution may cover the deficit of liquid assets in a currency with credit facilities from the central bank in a Member State or third country of that currency, provided that the facility complies with all the following requirements:

(i)

it is contractually irrevocably committed for the next 30 calendar days;

| (ii) | it is priced with a fee which is payable regardless of the amount, if any, drawn down against that facility; |
| --- | --- |

(ii)

it is priced with a fee which is payable regardless of the amount, if any, drawn down against that facility;

| (iii) | the fee is set in an amount such that the net yield on the assets used to secure the facility must not be higher than the net yield on a representative portfolio of liquidity assets, after adjusting for any material differences in credit risk. |
| --- | --- |

(iii)

the fee is set in an amount such that the net yield on the assets used to secure the facility must not be higher than the net yield on a representative portfolio of liquidity assets, after adjusting for any material differences in credit risk.

| (c) | where there is a deficit of level 1 assets but there are sufficient level 2A assets, the credit institution may hold additional level 2A assets in the liquidity buffer and the caps by asset level set out in Article 17 shall be deemed amended accordingly. These additional level 2A assets shall be subject to a minimum haircut equal to 20 %. Any level 2B assets held by the credit institution shall remain subject to the haircuts applicable in each case in accordance with this Chapter. |
| --- | --- |

(c)

where there is a deficit of level 1 assets but there are sufficient level 2A assets, the credit institution may hold additional level 2A assets in the liquidity buffer and the caps by asset level set out in Article 17 shall be deemed amended accordingly. These additional level 2A assets shall be subject to a minimum haircut equal to 20 %. Any level 2B assets held by the credit institution shall remain subject to the haircuts applicable in each case in accordance with this Chapter.

2.   Credit institutions shall apply the derogations provided for in paragraph 1 on an inversely proportional basis with regard to the availability of the relevant liquid assets. Credit institutions shall assess their liquidity needs for the application of this Article taking into account their ability to reduce, by sound liquidity management, the need for those liquid assets and the holdings of those assets by other market participants.

3.   The currencies which may benefit from the derogations laid down in paragraph 1 and the extent to which one or more derogations may be available in total for a given currency shall be determined by the implementing regulation to be adopted by the Commission in accordance with Article 419(4) of Regulation (EU) No 575/2013.

4.   The detailed conditions applicable to the use of the derogations laid down in paragraph 1(a) and (b) shall be determined by the delegated act to be adopted by the Commission in accordance with Article 419(5) of Regulation (EU) No 575/2013.

TITLE III

LIQUIDITY OUTFLOWS AND INFLOWS

CHAPTER 1

Net Liquidity outflows

Article 20

Definition of net liquidity outflows

1.   The net liquidity outflows shall be the sum of liquidity outflows in point (a) reduced by the sum of liquidity inflows in point (b), but shall not be less than zero, and shall be calculated as follows:

| (a) | the sum of the liquidity outflows as defined in Chapter 2; |
| --- | --- |

(a)

the sum of the liquidity outflows as defined in Chapter 2;

| (b) | the sum of liquidity inflows as defined in Chapter 3, calculated as follows:






  (i) | the inflows exempted from the cap as referred to in Article 33(2) and (3); |
| --- | --- | --- |

(b)

the sum of liquidity inflows as defined in Chapter 3, calculated as follows:

(i)

the inflows exempted from the cap as referred to in Article 33(2) and (3);

| (ii) | the lower of the inflows referred to in Article 33(4) and 90 % of the outflows referred to in (a) reduced by the exempt inflows in Article 33(2) and (3), but not less than zero; |
| --- | --- |

(ii)

the lower of the inflows referred to in Article 33(4) and 90 % of the outflows referred to in (a) reduced by the exempt inflows in Article 33(2) and (3), but not less than zero;

| (iii) | the lower of the inflows other than those referred to in Article 33(2), (3) and (4) and 75 % of the outflows referred to in (a) reduced by the exempt inflows in Article 33(2) and (3) and the inflows in Article 33(4) divided by 0,9 to allow for the effect of the 90 % cap, but not less than zero. |
| --- | --- |

(iii)

the lower of the inflows other than those referred to in Article 33(2), (3) and (4) and 75 % of the outflows referred to in (a) reduced by the exempt inflows in Article 33(2) and (3) and the inflows in Article 33(4) divided by 0,9 to allow for the effect of the 90 % cap, but not less than zero.

2.   Liquidity inflows and liquidity outflows shall be assessed over a 30 calendar day stress period, under the assumption of a combined idiosyncratic and market-wide stress scenario as referred to in Article 5.

3.   The calculation laid down in paragraph 1 shall be performed in accordance with the formula set out in Annex II.

Article 21

Requirements for assessing the effect of collateral received in derivatives transactions

Credit institutions shall calculate liquidity outflows and inflows expected over a 30 calendar day period for the contracts listed in Annex II of Regulation (EU) No 575/2013 on a net basis by counterparty subject to the existence of bilateral netting agreements in accordance with Article 295 of that Regulation. For the purposes of this Article, net basis shall be considered to be net of collateral to be received provided that it qualifies as a liquid asset under Title II of this Regulation. Cash outflows and inflows arising from foreign currency derivative transactions that involve a full exchange of principal amounts on a simultaneous basis (or within the same day) shall be calculated on a net basis, even where those transactions are not covered by a bilateral netting agreement.

CHAPTER 2

Liquidity outflows

Article 22

Definition of liquidity outflows

1.   Liquidity outflows shall be calculated by multiplying the outstanding balances of various categories or types of liabilities and off-balance sheet commitments by the rates at which they are expected to run off or be drawn down as indicated in this Chapter.

2.   Liquidity outflows referred to in paragraph 1 shall include, in each case multiplied by the applicable outflow rate:

| (a) | the current outstanding amount for stable retail deposits and other retail deposits in accordance with Articles 24, 25 and 26; |
| --- | --- |

(a)

the current outstanding amount for stable retail deposits and other retail deposits in accordance with Articles 24, 25 and 26;

| (b) | the current outstanding amounts of other liabilities that become due, can be called for pay-out by the issuer or by the provider of the funding or entail an expectation by the provider of the funding that the credit institution would repay the liability during the next 30 calendar days determined in accordance with Articles 27 and 28; |
| --- | --- |

(b)

the current outstanding amounts of other liabilities that become due, can be called for pay-out by the issuer or by the provider of the funding or entail an expectation by the provider of the funding that the credit institution would repay the liability during the next 30 calendar days determined in accordance with Articles 27 and 28;

| (c) | the additional outflows determined in accordance with Article 30; |
| --- | --- |

(c)

the additional outflows determined in accordance with Article 30;

| (d) | the maximum amount that can be drawn down during the next 30 calendar days from undrawn committed credit and liquidity facilities determined in accordance with Article 31; |
| --- | --- |

(d)

the maximum amount that can be drawn down during the next 30 calendar days from undrawn committed credit and liquidity facilities determined in accordance with Article 31;

| (e) | the additional outflows identified in the assessment in accordance with Article 23. |
| --- | --- |

(e)

the additional outflows identified in the assessment in accordance with Article 23.

Article 23

Additional liquidity outflows for other products and services

1.   Credit institutions shall regularly assess the likelihood and potential volume of liquidity outflows during 30 calendar days for products or services which are not referred to in Articles 27 to 31 and which they offer or sponsor or which potential purchasers would consider associated with them. Those products or services shall include, but not be limited to, the liquidity outflows resulting from any of the contractual arrangements referred to in Article 429 and in Annex I of Regulation (EU) No 575/2013, such as:

| (a) | other off-balance sheet and contingent funding obligations, including, but not limited to uncommitted funding facilities, |
| --- | --- |

(a)

other off-balance sheet and contingent funding obligations, including, but not limited to uncommitted funding facilities,

| (b) | undrawn loans and advances to wholesale counterparties; |
| --- | --- |

(b)

undrawn loans and advances to wholesale counterparties;

| (c) | mortgage loans that have been agreed but not yet drawn down; |
| --- | --- |

(c)

mortgage loans that have been agreed but not yet drawn down;

| (d) | credit cards; |
| --- | --- |

(d)

credit cards;

| (e) | overdrafts; |
| --- | --- |

(e)

overdrafts;

| (f) | planned outflows related to renewal or extension of new retail or wholesale loans; |
| --- | --- |

(f)

planned outflows related to renewal or extension of new retail or wholesale loans;

| (g) | planned derivatives payables; |
| --- | --- |

(g)

planned derivatives payables;

| (h) | trade finance off-balance sheet related products. |
| --- | --- |

(h)

trade finance off-balance sheet related products.

2.   The outflows referred to in paragraph 1 shall be assessed under the assumption of a combined idiosyncratic and market-wide stress as referred to in Article 5. For that assessment, credit institutions shall particularly take into account material reputational damage that could result from not providing liquidity support to such products or services. Credit institutions shall report at least once a year to the competent authorities those products and services for which the likelihood and potential volume of the liquidity outflows referred to in paragraph 1 are material and the competent authorities shall determine the outflows to be assigned. The competent authorities may apply an outflow rate of up to 5 % for trade finance off-balance sheet related products as referred to in Article 429 and Annex I of Regulation (EU) No 575/2013.

3.   The competent authorities shall at least once a year report to the EBA the types of products or services for which they have determined outflows on the basis of the reports from credit institutions, and shall include in that report an explanation of the methodology applied to determine the outflows.

Article 24

Outflows from stable retail deposits

1.   Unless the criteria for a higher outflow rate under Article 25(2), (3) or (5) are fulfilled, the amount of retail deposits covered by a deposit guarantee scheme in accordance with Directive 94/19/EC of the European Parliament and of the Council (9) or Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country shall be considered as stable and multiplied by 5 % where the deposit is either:

| (a) | part of an established relationship making withdrawal highly unlikely; or |
| --- | --- |

(a)

part of an established relationship making withdrawal highly unlikely; or

| (b) | held in a transactional account. |
| --- | --- |

(b)

held in a transactional account.

2.   For the purpose of paragraph 1(a) a retail deposit shall be considered to be part of an established relationship where the depositor meets at least one of the following criteria:

| (a) | has an active contractual relationship with the credit institution of at least 12 months duration; |
| --- | --- |

(a)

has an active contractual relationship with the credit institution of at least 12 months duration;

| (b) | has a borrowing relationship with the credit institution for residential loans or other long term loans; |
| --- | --- |

(b)

has a borrowing relationship with the credit institution for residential loans or other long term loans;

| (c) | has at least one other active product, other than a loan, with the credit institution. |
| --- | --- |

(c)

has at least one other active product, other than a loan, with the credit institution.

3.   For the purposes of paragraph 1(b) a retail deposit shall be considered as being held in a transactional account where salaries, income or transactions are regularly credited and debited respectively against that account.

4.   By way of derogation from paragraph 1, from 1 January 2019 competent authorities may authorise credit institutions to multiply by 3 % the amount of the stable retail deposits referred to in paragraph 1 covered by a deposit guarantee scheme in accordance with Directive 2014/49/EU up to a maximum level of EUR 100 000 as specified in Article 6(1) of that Directive, provided that the Commission has confirmed that the officially recognised deposit guarantee scheme meets all of the following criteria:

| (a) | the deposit guarantee scheme has available financial means, as referred to in Article 10 of Directive 2014/49/EU, raised ex ante by contributions made by members at least annually; |
| --- | --- |

(a)

the deposit guarantee scheme has available financial means, as referred to in Article 10 of Directive 2014/49/EU, raised ex ante by contributions made by members at least annually;

| (b) | the deposit guarantee scheme has adequate means of ensuring ready access to additional funding in the event of a large call on its reserves, including access to extraordinary contributions from member credit institutions and adequate alternative funding arrangements to obtain short-term funding from public or private third parties; |
| --- | --- |

(b)

the deposit guarantee scheme has adequate means of ensuring ready access to additional funding in the event of a large call on its reserves, including access to extraordinary contributions from member credit institutions and adequate alternative funding arrangements to obtain short-term funding from public or private third parties;

| (c) | the deposit guarantee scheme ensures a seven working day repayment period as referred to in Article 8(1) of Directive 2014/49/EU from the date of application of the 3 % outflow rate. |
| --- | --- |

(c)

the deposit guarantee scheme ensures a seven working day repayment period as referred to in Article 8(1) of Directive 2014/49/EU from the date of application of the 3 % outflow rate.

5.   Competent authorities shall only grant the authorisation referred to in paragraph 4 after having obtained prior approval from the Commission. Such approval shall be requested by means of a reasoned notification, which shall include evidence that the run-off rates for stable retail deposits would be below 3 % during any stress period experienced consistent with the scenarios referred to in Article 5. The reasoned notification shall be submitted to the Commission at least three months prior to the date from which authorisation is requested. The Commission shall assess the compliance of the relevant deposit guarantee scheme with the conditions set out in paragraph 4(a), (b) and (c). Where those conditions are fulfilled, the Commission shall approve the competent authority's request to grant authorisation unless there exist overriding grounds for withholding approval having regard to the functioning of the internal market for retail deposits. All credit institutions affiliated to such an approved deposit guarantee scheme shall be entitled to apply the 3 % outflow rate. The Commission shall seek the opinion of the EBA on the conformity of the relevant deposit guarantee scheme with the conditions set out in paragraph 4(a), (b) and (c).

6.   Credit institutions may be authorised by their competent authority to multiply by 3 % the amount of the retail deposits covered by a deposit guarantee scheme in a third country equivalent to the scheme referred to in paragraph 1 if the third country allows this treatment.

Article 25

Outflows from other retail deposits

1.   Credit institutions shall multiply by 10 % other retail deposits, including that part of retail deposits not covered by Article 24, unless the conditions laid down in paragraph 2 apply.

2.   Other retail deposits shall be subject to higher outflow rates, as determined by the credit institution, in accordance with paragraph 3, where the following conditions are met:

| (a) | the total deposit balance, including all the client's deposit accounts at that credit institution or group, exceeds EUR 500 000; |
| --- | --- |

(a)

the total deposit balance, including all the client's deposit accounts at that credit institution or group, exceeds EUR 500 000;

| (b) | the deposit is an internet only account; |
| --- | --- |

(b)

the deposit is an internet only account;

| (c) | the deposit offers an interest rate that fulfils any of the following conditions:






  (i) | the rate significantly exceeds the average rate for similar retail products; |
| --- | --- | --- |

(c)

the deposit offers an interest rate that fulfils any of the following conditions:

(i)

the rate significantly exceeds the average rate for similar retail products;

| (ii) | its return is derived from the return on a market index or set of indices; |
| --- | --- |

(ii)

its return is derived from the return on a market index or set of indices;

| (iii) | its return is derived from any market variable other than a floating interest rate; |
| --- | --- |

(iii)

its return is derived from any market variable other than a floating interest rate;

| (d) | the deposit was originally placed as fixed-term with an expiry date maturing within the 30 calendar day period or the deposit presents a fixed notice period shorter than 30 calendar days, in accordance with contractual arrangements, other than those deposits that qualify for the treatment provided for in paragraph 4; |
| --- | --- |

(d)

the deposit was originally placed as fixed-term with an expiry date maturing within the 30 calendar day period or the deposit presents a fixed notice period shorter than 30 calendar days, in accordance with contractual arrangements, other than those deposits that qualify for the treatment provided for in paragraph 4;

| (e) | for credit institutions established in the Union, the depositor is resident in a third country or the deposit is denominated in a currency other than the euro or the domestic currency of a Member State. For credit institutions or branches in third countries, the depositor is a non-resident in the third country or the deposit is denominated in another currency than the domestic currency of the third country; |
| --- | --- |

(e)

for credit institutions established in the Union, the depositor is resident in a third country or the deposit is denominated in a currency other than the euro or the domestic currency of a Member State. For credit institutions or branches in third countries, the depositor is a non-resident in the third country or the deposit is denominated in another currency than the domestic currency of the third country;

3.   Credit institutions shall apply a higher outflow rate determined as follows:

| (a) | where the retail deposits fulfil the criterion in point (a) or two of the criteria in points (b) to (e) of paragraph 2, an outflow rate of between 10 % and 15 % shall be applied; |
| --- | --- |

(a)

where the retail deposits fulfil the criterion in point (a) or two of the criteria in points (b) to (e) of paragraph 2, an outflow rate of between 10 % and 15 % shall be applied;

| (b) | where the retail deposits fulfil point (a) of paragraph 2 and at least another criterion referred to in paragraph 2, or three or more criteria of paragraph 2, an outflow rate of between 15 % and 20 % shall be applied. |
| --- | --- |

(b)

where the retail deposits fulfil point (a) of paragraph 2 and at least another criterion referred to in paragraph 2, or three or more criteria of paragraph 2, an outflow rate of between 15 % and 20 % shall be applied.

On a case by case basis, competent authorities may apply a higher outflow rate where justified by the specific circumstances of the credit institution. Credit institutions shall apply the outflow rate referred to in paragraph 3(b) to retail deposits where the assessment referred to paragraph 2 has not been carried out or is not completed.

4.   Credit institutions may exclude from the calculation of outflows certain clearly circumscribed categories of retail deposits as long as in each and every instance the credit institution rigorously applies the following provisions for the whole category of those deposits, unless an exception can be justified on the basis of circumstances of hardship for the depositor:

| (a) | within 30 calendar days, the depositor is not allowed to withdraw the deposit; or |
| --- | --- |

(a)

within 30 calendar days, the depositor is not allowed to withdraw the deposit; or

| (b) | for early withdrawals within 30 calendar days, the depositor has to pay a penalty that includes the loss of interest between the date of withdrawal and the contractual maturity date plus a material penalty that does not have to exceed the interest due for the time that elapsed between the date of deposit and the date of withdrawal. |
| --- | --- |

(b)

for early withdrawals within 30 calendar days, the depositor has to pay a penalty that includes the loss of interest between the date of withdrawal and the contractual maturity date plus a material penalty that does not have to exceed the interest due for the time that elapsed between the date of deposit and the date of withdrawal.

If a portion of the deposit referred to in the first subparagraph can be withdrawn without incurring such a penalty, only that portion shall be treated as a demand deposit and the remaining balance shall be treated as a term deposit as referred to in this paragraph. An outflow rate of 100 % shall be applied to cancelled deposits with a residual maturity of less than 30 calendar days and where pay-out has been agreed to another credit institution.

5.   By derogation from paragraphs 1 to 4 and Article 24, credit institutions shall multiply retail deposits that they have taken in third countries by a higher percentage outflow rate if such a percentage is provided for by the national law establishing liquidity requirements in that third country.

Article 26

Outflows with inter-dependent inflows

Subject to prior approval of the competent authority, credit institutions may calculate the liquidity outflow net of an interdependent inflow which meets all the following conditions:

| (a) | the interdependent inflow is directly linked to the outflow and is not considered in the calculation of liquidity inflows in Chapter 3; |
| --- | --- |

(a)

the interdependent inflow is directly linked to the outflow and is not considered in the calculation of liquidity inflows in Chapter 3;

| (b) | the interdependent inflow is required pursuant to a legal, regulatory or contractual commitment; |
| --- | --- |

(b)

the interdependent inflow is required pursuant to a legal, regulatory or contractual commitment;

| (c) | the interdependent inflow meets one of the following conditions:






  (i) | it arises compulsorily before the outflow; |
| --- | --- | --- |

(c)

the interdependent inflow meets one of the following conditions:

(i)

it arises compulsorily before the outflow;

| (ii) | it is received within 10 days and is guaranteed by the central government of a Member State. |
| --- | --- |

(ii)

it is received within 10 days and is guaranteed by the central government of a Member State.

Article 27

Outflows from operational deposits

1.   Credit institutions shall multiply by 25 % liabilities resulting from deposits that are maintained as follows:

| (a) | by the depositor in order to obtain clearing, custody, cash management or other comparable services in the context of an established operational relationship from the credit institution; |
| --- | --- |

(a)

by the depositor in order to obtain clearing, custody, cash management or other comparable services in the context of an established operational relationship from the credit institution;

| (b) | in the context of common task sharing within an institutional protection scheme meeting the requirements of Article 113(7) of Regulation (EU) No 575/2013 or within a group of cooperative credit institutions permanently affiliated to a central body meeting the requirements of Article 113(6) of that Regulation, or as a legal or contractually established deposit by another credit institution that is a Member of the same institutional protection scheme or cooperative network, provided those deposits are not recognised as liquid assets for the depositing credit institution as referred to in paragraph 3 and Article 16; |
| --- | --- |

(b)

in the context of common task sharing within an institutional protection scheme meeting the requirements of Article 113(7) of Regulation (EU) No 575/2013 or within a group of cooperative credit institutions permanently affiliated to a central body meeting the requirements of Article 113(6) of that Regulation, or as a legal or contractually established deposit by another credit institution that is a Member of the same institutional protection scheme or cooperative network, provided those deposits are not recognised as liquid assets for the depositing credit institution as referred to in paragraph 3 and Article 16;

| (c) | by the depositor in the context of an established operational relationship other than that mentioned in point (a); |
| --- | --- |

(c)

by the depositor in the context of an established operational relationship other than that mentioned in point (a);

| (d) | by the depositor to obtain cash clearing and central institution services and where the credit institution belongs to one of the networks or schemes referred to in Article 16. |
| --- | --- |

(d)

by the depositor to obtain cash clearing and central institution services and where the credit institution belongs to one of the networks or schemes referred to in Article 16.

2.   By derogation from paragraph 1, credit institutions shall multiply by 5 % the portion of liabilities resulting from deposits referred to in paragraph 1(a) which is covered by a deposit guarantee scheme in accordance with Directive 94/19/EC or Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country.

3.   Deposits from credit institutions placed at the central institution that are considered as liquid assets for the depositing credit institution in accordance with Article 16 shall be multiplied by a 100 % outflow rate for the central institution on the amount of these liquid assets after haircut. These liquid assets shall not be counted to cover outflows other than the outflow referred to in the first sentence of this paragraph and shall be disregarded for the purposes of the calculations of the composition of the remaining liquidity buffer under Article 17 for the central institution at individual level.

4.   Clearing, custody, cash management or other comparable services referred to in points (a) and (d) of paragraph 1 only cover such services to the extent that they are rendered in the context of an established relationship which is critically important to the depositor. Deposits referred to in points (a), (c) and (d) of paragraph 1 shall have significant legal or operational limitations that make significant withdrawals within 30 calendar days unlikely. Funds in excess of those required for the provision of operational services shall be treated as non-operational deposits.

5.   Deposits arising out of a correspondent banking relationship or from the provision of prime brokerage services shall not be treated as an operational deposit and shall receive a 100 % outflow rate.

6.   In order to identify the deposits referred to in point (c) of paragraph 1, a credit institution shall consider that there is an established operational relationship with a non-financial customer, excluding term deposits, savings deposits and brokered deposits, where all of the following criteria are met:

| (a) | the remuneration of the account is priced at least 5 basis points below the prevailing rate for wholesale deposits with comparable characteristics, but need not be negative; |
| --- | --- |

(a)

the remuneration of the account is priced at least 5 basis points below the prevailing rate for wholesale deposits with comparable characteristics, but need not be negative;

| (b) | the deposit is held in specifically designated accounts and priced without creating economic incentives for the depositor to maintain funds in the deposit in excess of what is needed for the operational relationship; |
| --- | --- |

(b)

the deposit is held in specifically designated accounts and priced without creating economic incentives for the depositor to maintain funds in the deposit in excess of what is needed for the operational relationship;

| (c) | material transactions are credited and debited on a frequent basis on the account considered; |
| --- | --- |

(c)

material transactions are credited and debited on a frequent basis on the account considered;

| (d) | one of the following criteria is met:






  (i) | the relationship with the depositor has existed for at least 24 months; |
| --- | --- | --- |

(d)

one of the following criteria is met:

(i)

the relationship with the depositor has existed for at least 24 months;

| (ii) | the deposit is used for a minimum of 2 active services. These services may include direct or indirect access to national or international payment services, security trading or depository services. |
| --- | --- |

(ii)

the deposit is used for a minimum of 2 active services. These services may include direct or indirect access to national or international payment services, security trading or depository services.

Only that part of the deposit which is necessary to make use of the service of which the deposit is a by-product shall be treated as an operational deposit. The excess shall be treated as non-operational.

Article 28

Outflows from other liabilities

1.   Credit institutions shall multiply liabilities resulting from deposits by clients that are non-financial customers, sovereigns, central banks, multilateral development banks, public sector entities, credit unions authorised by a competent authority, personal investment companies or by clients that are deposit brokers, to the extent they do not fall under Article 27 by 40 %.

By derogation from the first subparagraph, where the liabilities referred to in that subparagraph are covered by a deposit guarantee scheme in accordance with Directive 94/19/EC or Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country they shall be multiplied by 20 %.

2.   Credit institutions shall multiply liabilities resulting from the institution's own operating expenses by 0 %.

3.   Credit institutions shall multiply liabilities resulting from secured lending and capital market-driven transactions maturing within 30 calendar days as defined in Article 192(2) and (3) of Regulation (EC) No 575/2013 by:

| (a) | 0 % if they are collateralised by assets that would qualify as level 1 assets in accordance with Article 10, with the exception of extremely high quality covered bonds referred to in Article 10(1)(f), or if the lender is a central bank; |
| --- | --- |

(a)

0 % if they are collateralised by assets that would qualify as level 1 assets in accordance with Article 10, with the exception of extremely high quality covered bonds referred to in Article 10(1)(f), or if the lender is a central bank;

| (b) | 7 % if they are collateralised by assets that would qualify as extremely high quality covered bonds referred to in Article 10(1)(f); |
| --- | --- |

(b)

7 % if they are collateralised by assets that would qualify as extremely high quality covered bonds referred to in Article 10(1)(f);

| (c) | 15 % if they are collateralised by assets that would qualify as level 2A assets in accordance with Article 11; |
| --- | --- |

(c)

15 % if they are collateralised by assets that would qualify as level 2A assets in accordance with Article 11;

| (d) | 25 %:






  (i) | if they are collateralised by the assets referred to in points (i), (ii) or (iv) of Article 13(2)(g); |
| --- | --- | --- |

(d)

25 %:

(i)

if they are collateralised by the assets referred to in points (i), (ii) or (iv) of Article 13(2)(g);

| (ii) | if they are collateralised by assets that would not qualify as liquid assets in accordance with Articles 10 and 11 and the lender is the central government, a public sector entity of the Member State or of a third country in which the credit institution has been authorised or has established a branch, or a multilateral development bank. Public sector entities that receive that treatment shall be limited to those that have a risk weight of 20 % or lower in accordance with Article 116(4) and (5) of Regulation (EU) No 575/2013; |
| --- | --- |

(ii)

if they are collateralised by assets that would not qualify as liquid assets in accordance with Articles 10 and 11 and the lender is the central government, a public sector entity of the Member State or of a third country in which the credit institution has been authorised or has established a branch, or a multilateral development bank. Public sector entities that receive that treatment shall be limited to those that have a risk weight of 20 % or lower in accordance with Article 116(4) and (5) of Regulation (EU) No 575/2013;

| (e) | 35 % if they are collateralised by the subcategories of assets referred to in points (iii) or (v) of Article 13(2)(g); |
| --- | --- |

(e)

35 % if they are collateralised by the subcategories of assets referred to in points (iii) or (v) of Article 13(2)(g);

| (f) | 50 % if they are collateralised by:






  (i) | corporate debt securities that would qualify as level 2B assets in accordance with Article 12(1)(b); |
| --- | --- | --- |

(f)

50 % if they are collateralised by:

(i)

corporate debt securities that would qualify as level 2B assets in accordance with Article 12(1)(b);

| (ii) | shares that would qualify as level 2B assets in accordance with Article 12(1)(c); |
| --- | --- |

(ii)

shares that would qualify as level 2B assets in accordance with Article 12(1)(c);

| (g) | 100 % where they are collateralised by assets that would not qualify as liquid assets in accordance with Title II, with the exception of transactions covered by point (d)(ii) of this paragraph or if the lender is a central bank. |
| --- | --- |

(g)

100 % where they are collateralised by assets that would not qualify as liquid assets in accordance with Title II, with the exception of transactions covered by point (d)(ii) of this paragraph or if the lender is a central bank.

4.   Collateral swaps that mature within the next 30 days shall lead to an outflow for the excess liquidity value of the assets borrowed compared to the liquidity value of the assets lent unless the counterparty is a central bank in which case a 0 % outflow shall apply.

5.   The offsetting balances held in segregated accounts related to client protection regimes imposed by national regulations shall be treated as inflows in accordance with Article 32 and shall be excluded from the stock of liquid assets.

6.   Credit institutions shall apply a 100 % outflow rate to all notes, bonds and other debt securities issued by the credit institution, unless the bond is sold exclusively in the retail market and held in a retail account, in which case those instruments can be treated as the appropriate retail deposit category. Limitations shall be placed such that those instruments cannot be bought and held by parties other than retail customers.

Article 29

Outflows within a group or an institutional protection scheme

1.   By way of derogation from Article 31 competent authorities may authorise the application of a lower outflow rate on a case by case basis for undrawn credit or liquidity facilities when all of the following conditions are fulfilled:

| (a) | there are reasons to expect a lower outflow even under a combined market and idiosyncratic stress of the provider; |
| --- | --- |

(a)

there are reasons to expect a lower outflow even under a combined market and idiosyncratic stress of the provider;

| (b) | the counterparty is the parent or subsidiary institution of the credit institution or another subsidiary of the same parent institution or linked to the institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC (10) or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of that Regulation; |
| --- | --- |

(b)

the counterparty is the parent or subsidiary institution of the credit institution or another subsidiary of the same parent institution or linked to the institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC (10) or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of that Regulation;

| (c) | the lower outflow rate does not fall below the inflow rate applied by the counterparty; |
| --- | --- |

(c)

the lower outflow rate does not fall below the inflow rate applied by the counterparty;

| (d) | the credit institution and the counterparty are established in the same Member State. |
| --- | --- |

(d)

the credit institution and the counterparty are established in the same Member State.

2.   Competent authorities may waive the condition set out in point (d) of paragraph 1 where Article 20(1)(b) of Regulation (EU) No 575/2013 is applied. In that case, the following additional objective criteria have to be met:

| (a) | the liquidity provider and receiver shall present a low liquidity risk profile; |
| --- | --- |

(a)

the liquidity provider and receiver shall present a low liquidity risk profile;

| (b) | there are legally binding agreements and commitments between the group entities regarding the undrawn credit or liquidity line; |
| --- | --- |

(b)

there are legally binding agreements and commitments between the group entities regarding the undrawn credit or liquidity line;

| (c) | the liquidity risk profile of the liquidity receiver shall be taken into account adequately in the liquidity risk management of the liquidity provider, |
| --- | --- |

(c)

the liquidity risk profile of the liquidity receiver shall be taken into account adequately in the liquidity risk management of the liquidity provider,

Where such a lower outflow rate is permitted to be applied, the competent authority shall inform EBA about the result of the process referred to in Article 20(1)(b) of Regulation (EU) No 575/2013. Fulfilment of the conditions for such lower outflows shall be regularly reviewed by the competent authority.

Article 30

Additional outflows

1.   Collateral other than cash and assets referred to in Article 10 which is posted by the credit institution for contracts listed in Annex II of Regulation (EU) No 575/2013 and credit derivatives, shall be subject to an additional outflow of 20 %.

Collateral in assets referred to in Article 10(1)(f) which is posted by the credit institution for contracts listed in Annex II of Regulation (EU) No 575/2013 and credit derivatives shall be subject to an additional outflow of 10 %.

2.   Credit institutions shall calculate and notify to the competent authorities an additional outflow for all contracts entered into the contractual conditions of which lead within 30 calendar days and following a material deterioration of the credit quality of the credit institution to additional liquidity outflows or collateral needs. Credit institutions shall notify the competent authorities of this outflow no later than the submission of the reporting in accordance with Article 415 of Regulation (EU) No 575/2013. Where competent authorities consider such outflows material in relation to the potential liquidity outflows of the credit institution, they shall require the credit institution to add an additional outflow for those contracts corresponding to the additional collateral needs or cash outflows resulting from a material deterioration in the credit quality of the credit institution corresponding to a downgrade in its external credit assessment by three notches. The credit institution shall apply a 100 % outflow rate to those additional collateral or cash outflows. The credit institution shall regularly review the extent of this material deterioration in the light of what is relevant under the contracts it has entered into and shall notify the result of its review to the competent authorities.

3.   The credit institution shall add an additional outflow corresponding to collateral needs that would result from the impact of an adverse market scenario on the credit institution's derivatives transactions, financing transactions and other contracts if material. This calculation shall be made in accordance with the delegated act to be adopted by the Commission pursuant to Article 423(3) of Regulation (EU) No 575/2013.

4.   Credit institutions shall take outflows and inflows expected over 30 calendar days from the contracts listed in Annex II of Regulation (EU) No 575/2013 into account on a net basis in accordance with Article 21. In the case of a net outflow, the credit institution shall multiply the result by 100 % outflow rate. Credit institutions shall exclude from such calculations those liquidity requirements that would result from the application of paragraphs 1, 2 and 3.

5.   The credit institution shall add an additional outflow corresponding to 100 % of the market value of securities or other assets sold short and to be delivered within 30 calendar days unless the credit institution owns the securities to be delivered or has borrowed them at terms requiring their return only after 30 calendar days and the securities do not form part of the liquid assets of credit institutions. If the short position is being covered by a collateralised securities financing transaction, the credit institution shall assume the short position will be maintained throughout the 30 calendar day period and receive a 0 % outflow.

6.   The credit institution shall add an additional outflow corresponding to 100 % of:

| (a) | the excess collateral the credit institution holds that can be contractually called at any times by the counterparty; |
| --- | --- |

(a)

the excess collateral the credit institution holds that can be contractually called at any times by the counterparty;

| (b) | collateral that is due to be posted to a counterparty within 30 calendar days; |
| --- | --- |

(b)

collateral that is due to be posted to a counterparty within 30 calendar days;

| (c) | collateral that corresponds to assets that would qualify as liquid assets for the purposes of Title II that can be substituted for assets corresponding to assets that would not qualify as liquid assets for the purposes of Title II without the consent of the credit institution. |
| --- | --- |

(c)

collateral that corresponds to assets that would qualify as liquid assets for the purposes of Title II that can be substituted for assets corresponding to assets that would not qualify as liquid assets for the purposes of Title II without the consent of the credit institution.

7.   Deposits received as collateral shall not be considered as liabilities for the purposes of Article 27 or 29 but shall be subject to the provisions of paragraphs 1 to 6 of this Article where applicable.

8.   Credit institutions shall assume a 100 % outflow for loss of funding on asset-backed securities, covered bonds and other structured financing instruments maturing within 30 calendar days, when these instruments are issued by the credit institution itself or by conduits or SPVs sponsored by the credit institution.

9.   Credit institutions shall assume a 100 % outflow for loss of funding on asset-backed commercial papers, conduits, securities investment vehicles and other such financing facilities. This 100 % outflow rate shall apply to the maturing amount or to the amount of assets that could potentially be returned or the liquidity required.

10.   For that portion of financing programs under paragraphs 8 and 9, credit institutions that are providers of associated liquidity facilities do not need to double count the maturing financing instrument and the liquidity facility for consolidated programs.

11.   Assets borrowed on an unsecured basis and maturing within 30 calendar days shall be assumed to run-off in full, leading to a 100 % outflow of liquid assets unless the credit institution owns the securities and they do not form part of the credit institution's liquidity buffer.

12.   In relation to the provision of prime brokerage services, where a credit institution has financed the assets of one client by internally netting them against the short sales of another client, such transactions shall be subject to a 50 % outflow for the contingent obligation, since in the event of client withdrawals the credit institution may be obliged to find additional sources of funding to cover these positions.

Article 31

Outflows from credit and liquidity facilities

1.   For the purpose of this Article, a liquidity facility shall be understood to mean any committed, undrawn back-up facility that would be utilised to refinance the debt obligations of a customer in situations where such a customer is unable to rollover that debt in financial markets. Its amount shall be calculated as the amount of the debt issued by the customer currently outstanding and maturing within 30 calendar days that is backstopped by the facility. The portion of the liquidity facility that is backing a debt that does not mature within 30 calendar days shall be excluded from the scope of the definition of the facility. Any additional capacity of the facility shall be treated as a committed credit facility with the associated drawdown rate as specified in this Article. General working capital facilities for corporate entities will not be classified as liquidity facilities, but as credit facilities.

2.   Credit institutions shall calculate outflows for credit and liquidity facilities by multiplying the amount of the credit and liquidity facilities by the corresponding outflow rates set out in paragraphs 3 to 5. Outflows from committed credit and liquidity facilities shall be determined as a percentage of the maximum amount that can be drawn down within 30 calendar days, net of any liquidity requirement that would be applicable under Article 23 for the trade finance off-balance sheet items and net of any collateral made available to the credit institution and valued in accordance with Article 9, provided that the collateral fulfils all of the following conditions:

| (a) | it may be reused or hypothecated by the credit institution; |
| --- | --- |

(a)

it may be reused or hypothecated by the credit institution;

| (b) | it is held in the form of liquid assets, but is not recognised as part of the liquidity buffer; and |
| --- | --- |

(b)

it is held in the form of liquid assets, but is not recognised as part of the liquidity buffer; and

| (c) | it does not consist in assets issued by the counterparty of the facility or one of its affiliated entities. |
| --- | --- |

(c)

it does not consist in assets issued by the counterparty of the facility or one of its affiliated entities.

If the necessary information is available to the credit institution, the maximum amount that can be drawn down for credit and liquidity facilities shall be determined as the maximum amount that could be drawn down given the counterparty's own obligations or given the pre-defined contractual drawdown schedule coming due over 30 calendar days.

3.   The maximum amount that can be drawn down from undrawn committed credit facilities and undrawn committed liquidity facilities within the next 30 calendar days shall be multiplied by 5 % if they qualify for the retail deposit exposure class.

4.   The maximum amount that can be drawn down from undrawn committed credit facilities within 30 calendar days shall be multiplied by 10 % where they meet the following conditions:

| (a) | they do not qualify for the retail deposit exposure class; |
| --- | --- |

(a)

they do not qualify for the retail deposit exposure class;

| (b) | they have been provided to clients that are not financial customers, including non-financial corporates, sovereigns, central banks, multilateral development banks and public sector entities; |
| --- | --- |

(b)

they have been provided to clients that are not financial customers, including non-financial corporates, sovereigns, central banks, multilateral development banks and public sector entities;

| (c) | they have not been provided for the purpose of replacing funding of the client in situations where the client is unable to obtain funding requirements in the financial markets. |
| --- | --- |

(c)

they have not been provided for the purpose of replacing funding of the client in situations where the client is unable to obtain funding requirements in the financial markets.

5.   The maximum amount that can be drawn down from undrawn committed liquidity facilities within the next 30 calendar days shall be multiplied by 30 % where they meet the conditions referred to in paragraph 4 points (a) and (b), and by 40 % when they are provided to personal investment companies.

6.   The undrawn committed amount of a liquidity facility that has been provided to an SSPE for the purpose of enabling such an SSPE to purchase assets, other than securities from clients that are not financial customers, shall be multiplied by 10 % to the extent that it exceeds the amount of assets currently purchased from clients and where the maximum amount that can be drawn down is contractually limited to the amount of assets currently purchased.

7.   The central institution of a scheme or network referred to in Article 16 shall multiply by a 75 % outflow rate the liquidity funding committed to a member credit institution where such member credit institution may treat the liquidity funding as a liquid asset in accordance with Article 16(2). The 75 % outflow rate shall be applied on the committed principal amount of the liquidity funding.

8.   The credit institution shall multiply the maximum amount that can be drawn down from other undrawn committed credit and undrawn committed liquidity facilities within 30 calendar days by the corresponding outflow rate as follows:

| (a) | 40 % for credit and liquidity facilities extended to credit institutions and for credit facilities extended to other regulated financial institutions, including insurance undertakings and investment firms, CIUs or non-open ended investment scheme; |
| --- | --- |

(a)

40 % for credit and liquidity facilities extended to credit institutions and for credit facilities extended to other regulated financial institutions, including insurance undertakings and investment firms, CIUs or non-open ended investment scheme;

| (b) | 100 % for liquidity facilities that the credit institution has granted to SSPEs other than those referred to in paragraph 6 and for arrangements under which the institution is required to buy or swap assets from an SSPE; |
| --- | --- |

(b)

100 % for liquidity facilities that the credit institution has granted to SSPEs other than those referred to in paragraph 6 and for arrangements under which the institution is required to buy or swap assets from an SSPE;

| (c) | 100 % for credit and liquidity facilities to financial customers not referred to in points (a) and (b) and paragraphs 1 to 7. |
| --- | --- |

(c)

100 % for credit and liquidity facilities to financial customers not referred to in points (a) and (b) and paragraphs 1 to 7.

9.   By way of derogation from paragraphs 1 to 8, credit institutions which have been set up and are sponsored by the central or regional government of at least one Member State may apply the treatments set out in paragraphs 3 and 4 to credit and liquidity facilities that are extended to promotional lenders for the sole purpose of directly or indirectly funding promotional loans, provided that those loans meet the requirements for the outflow rates referred to in paragraphs 3 and 4.

By way of derogation from Article 32(3)(g), where those promotional loans are extended as pass through loans via another credit institution acting as an intermediary, a symmetric inflow and outflow may be applied by credit institutions.

The promotional loans referred to in this paragraph shall be available only to persons who are not financial customers on a non-competitive, not for profit basis in order to promote public policy objectives of the Union or that Member State's central or regional government. It shall only be possible to draw on such facilities following the reasonably expected demand for a promotional loan and up to the amount of such demand provided there is a subsequent reporting on the use of the funds distributed.

10.   Credit institutions shall multiply by 100 % any liquidity outflows resulting from liabilities that become due in 30 calendar days other than those referred to in Articles 23 to 31.

CHAPTER 3

Liquidity inflows

Article 32

Inflows

1.   Liquidity inflows shall be assessed over a period of 30 calendar days. They shall comprise only contractual inflows from exposures that are not past due and for which the credit institution has no reason to expect non-performance within 30 calendar days.

2.   Liquidity inflows shall receive a 100 % inflow rate, including in particular the following inflows:

| (a) | monies due from central banks and financial customers. In relation to the latter, inflows from the following transactions in particular shall be regarded as subject to the 100 % inflow rate:






  (i) | securities maturing within 30 calendar days; |
| --- | --- | --- |

(a)

monies due from central banks and financial customers. In relation to the latter, inflows from the following transactions in particular shall be regarded as subject to the 100 % inflow rate:

(i)

securities maturing within 30 calendar days;

| (ii) | trade finance transactions referred to in point (b) of the second subparagraph of Article 162(3) of Regulation (EU) No 575/2013 with a residual maturity of less than 30 calendar days; |
| --- | --- |

(ii)

trade finance transactions referred to in point (b) of the second subparagraph of Article 162(3) of Regulation (EU) No 575/2013 with a residual maturity of less than 30 calendar days;

| (b) | monies due from positions in major indexes of equity instruments, provided there is no double counting with liquid assets. Those monies shall include monies contractually due within 30 calendar days, such as cash dividends from such major indexes and cash due from such equity instruments sold but not yet settled, if they are not recognised as liquid assets in accordance with Title II; |
| --- | --- |

(b)

monies due from positions in major indexes of equity instruments, provided there is no double counting with liquid assets. Those monies shall include monies contractually due within 30 calendar days, such as cash dividends from such major indexes and cash due from such equity instruments sold but not yet settled, if they are not recognised as liquid assets in accordance with Title II;

3.   By derogation from paragraph 2, the inflows set out in this paragraph shall be subject to the following requirements:

| (a) | monies due from non-financial customers shall be reduced for the purposes of principal payment by 50 % of their value or by the contractual commitments to those customers to extend funding, whichever is higher. For the purposes of this point, non-financial customers shall include corporates, sovereigns, multilateral development banks and public sector entities; By derogation credit institutions that have received a commitment referred to in Article 31(9) in order for them to disburse a promotional loan to a final recipient, or have received a similar commitment from a multilateral development bank or a public sector entity, may take an inflow into account up to the amount of the outflow they apply to the corresponding commitment to extend those promotional loans. |
| --- | --- |

(a)

monies due from non-financial customers shall be reduced for the purposes of principal payment by 50 % of their value or by the contractual commitments to those customers to extend funding, whichever is higher. For the purposes of this point, non-financial customers shall include corporates, sovereigns, multilateral development banks and public sector entities; By derogation credit institutions that have received a commitment referred to in Article 31(9) in order for them to disburse a promotional loan to a final recipient, or have received a similar commitment from a multilateral development bank or a public sector entity, may take an inflow into account up to the amount of the outflow they apply to the corresponding commitment to extend those promotional loans.

| (b) | monies due from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 collateralised by liquid assets, shall not be taken into account up to the value of the liquid assets net of the haircuts applicable in accordance with Title II. Monies due for the remaining value or where they are collateralised by assets that do not qualify as liquid assets in accordance with Title II shall be taken into account in full. No inflow shall be allowed if the collateral is used to cover a short position according to Article 30(5); |
| --- | --- |

(b)

monies due from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 collateralised by liquid assets, shall not be taken into account up to the value of the liquid assets net of the haircuts applicable in accordance with Title II. Monies due for the remaining value or where they are collateralised by assets that do not qualify as liquid assets in accordance with Title II shall be taken into account in full. No inflow shall be allowed if the collateral is used to cover a short position according to Article 30(5);

| (c) | monies due from contractual maturing margin loans made against non-liquid assets collateral may receive a 50 % inflow rate. Such inflows may only be considered if the credit institution is not using the collateral it originally received against the loans to cover any short positions; |
| --- | --- |

(c)

monies due from contractual maturing margin loans made against non-liquid assets collateral may receive a 50 % inflow rate. Such inflows may only be considered if the credit institution is not using the collateral it originally received against the loans to cover any short positions;

| (d) | monies due that the credit institution owing those monies treats in accordance with Article 27, with the exception of deposits at the central institution referred to in Article 27(3), shall be multiplied by a corresponding symmetrical inflow rate. Where the corresponding rate cannot be established, a 5 % inflow rate shall be applied; |
| --- | --- |

(d)

monies due that the credit institution owing those monies treats in accordance with Article 27, with the exception of deposits at the central institution referred to in Article 27(3), shall be multiplied by a corresponding symmetrical inflow rate. Where the corresponding rate cannot be established, a 5 % inflow rate shall be applied;

| (e) | collateral swaps that mature within 30 calendar days shall lead to an inflow for the excess liquidty value of the assets lent compared to the liquidity value of the assets borrowed; |
| --- | --- |

(e)

collateral swaps that mature within 30 calendar days shall lead to an inflow for the excess liquidty value of the assets lent compared to the liquidity value of the assets borrowed;

| (f) | if the collateral obtained through reverse repo, securities borrowing, or collateral swaps, which matures within the 30-day horizon, is rehypothecated and used to cover short positions that can be extended beyond 30 days, a credit institution shall assume that such reverse repo or securities borrowing arrangements will be rolled-over and will not give rise to any cash inflows reflecting its need to continue to cover the short position or to re-purchase the relevant securities. Short positions include both instances where in a matched book the credit institution sold short a security outright as part of a trading or hedging strategy and instances where the credit institution is short a security in the matched repo book and has borrowed a security for a given period and lent the security out for a longer period; |
| --- | --- |

(f)

if the collateral obtained through reverse repo, securities borrowing, or collateral swaps, which matures within the 30-day horizon, is rehypothecated and used to cover short positions that can be extended beyond 30 days, a credit institution shall assume that such reverse repo or securities borrowing arrangements will be rolled-over and will not give rise to any cash inflows reflecting its need to continue to cover the short position or to re-purchase the relevant securities. Short positions include both instances where in a matched book the credit institution sold short a security outright as part of a trading or hedging strategy and instances where the credit institution is short a security in the matched repo book and has borrowed a security for a given period and lent the security out for a longer period;

| (g) | any undrawn credit or liquidity facilities and any other commitments received from entities other than central banks and those referred to in Article 34 shall not be taken into account. Undrawn committed liquidity facilities from the central bank which are recognised as liquid assets in accordance with Article 14 shall not be taken into account as an inflow; |
| --- | --- |

(g)

any undrawn credit or liquidity facilities and any other commitments received from entities other than central banks and those referred to in Article 34 shall not be taken into account. Undrawn committed liquidity facilities from the central bank which are recognised as liquid assets in accordance with Article 14 shall not be taken into account as an inflow;

| (h) | monies due from securities issued by the credit institution itself or by a related entity shall be taken into account on a net basis with an inflow rate applied on the basis of the inflow rate applicable to the underlying asset pursuant to this Article; |
| --- | --- |

(h)

monies due from securities issued by the credit institution itself or by a related entity shall be taken into account on a net basis with an inflow rate applied on the basis of the inflow rate applicable to the underlying asset pursuant to this Article;

| (i) | assets with an undefined contractual end date shall be taken into account with a 20 % inflow rate, provided that the contract allows the credit institution to withdraw or to request payment within 30 days. |
| --- | --- |

(i)

assets with an undefined contractual end date shall be taken into account with a 20 % inflow rate, provided that the contract allows the credit institution to withdraw or to request payment within 30 days.

4.   Point (a) of paragraph 3 shall not apply to monies due from secured lending and capital market-driven transactions as defined in points (2) and (3) of Article 192 of Regulation (EU) No 575/2013 that are collateralised by liquid assets in accordance with Title II as referred to in point (b) of paragraph 3. Inflows from the release of balances held in segregated accounts in accordance with regulatory requirements for the protection of customer trading assets shall be taken into account in full, provided that those segregated balances are maintained in liquid assets as defined in Title II.

5.   Outflows and inflows expected over 30 calendar days from the contracts listed in Annex II of Regulation (EU) No 575/2013 shall be calculated on a net basis as referred to in Article 21 and shall be multiplied by 100 % in the event of a net inflow.

6.   Credit institutions shall not take into account any inflows from any of the liquid assets referred to in Title II other than payments due on the assets that are not reflected in the market value of the asset.

7.   Credit institutions shall not take into account inflows from any new obligations entered into.

8.   Credit institutions shall take liquidity inflows which are to be received in third countries where there are transfer restrictions or which are denominated in non-convertible currencies into account only to the extent that they correspond to outflows respectively in the third country or currency in question.

Article 33

Cap on Inflows

1.   Credit institutions shall limit the recognition of liquidity inflows to 75 % of total liquidity outflows as defined in Chapter 2 unless a specific inflow is exempted as referred to in paragraphs 2, 3 or 4.

2.   Subject to the prior approval of the competent authority, the credit institution may fully or partially exempt from the cap referred to in paragraph 1 the following liquidity inflows:

| (a) | inflows where the provider is a parent or a subsidiary of the credit institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC; |
| --- | --- |

(a)

inflows where the provider is a parent or a subsidiary of the credit institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC;

| (b) | inflows from deposits placed with other credit institutions within a group of entities qualifying for the treatment set out in Article 113(6) or (7) of Regulation (EU) No 575/2013; |
| --- | --- |

(b)

inflows from deposits placed with other credit institutions within a group of entities qualifying for the treatment set out in Article 113(6) or (7) of Regulation (EU) No 575/2013;

| (c) | inflows referred to in Article 26, including inflows from loans related to mortgage lending, or promotional loans referred to in Article 31(9) or from a multilateral development bank or a public sector entity that the credit institution has passed-through. |
| --- | --- |

(c)

inflows referred to in Article 26, including inflows from loans related to mortgage lending, or promotional loans referred to in Article 31(9) or from a multilateral development bank or a public sector entity that the credit institution has passed-through.

3.   Subject to the prior approval of the competent authority, specialised credit institutions may be exempted from the cap on inflows when their main activities are leasing and factoring business, excluding the activities described in paragraph 4, and the conditions laid down in paragraph 5 are met.

4.   Subject to the prior approval of the competent authority, specialised credit institutions may be subject to a cap on inflows of 90 % when the conditions laid down in paragraph 5 are met and their main activities are the following:

| (a) | financing for the acquisition of motor vehicles; |
| --- | --- |

(a)

financing for the acquisition of motor vehicles;

| (b) | consumer credit as defined in Directive 2008/48/EC of the European Parliament and of the Council. |
| --- | --- |

(b)

consumer credit as defined in Directive 2008/48/EC of the European Parliament and of the Council.

5.   Credit institutions referred to in paragraph 3 may be exempted from the cap on inflows and credit institutions referred to in paragraph 4 may apply a higher cap of 90 % provided they meet the following conditions:

| (a) | the business activities exhibit a low liquidity risk profile, taking into account the following factors:






  (i) | the timing of inflows matches the timing of outflows; |
| --- | --- | --- |

(a)

the business activities exhibit a low liquidity risk profile, taking into account the following factors:

(i)

the timing of inflows matches the timing of outflows;

| (ii) | at individual level the credit institution is not significantly financed by retail deposits; |
| --- | --- |

(ii)

at individual level the credit institution is not significantly financed by retail deposits;

| (b) | at individual level, the ratio of their main activities as referred to in paragraph 3 or 4 exceeds 80 % of the total balance sheet; |
| --- | --- |

(b)

at individual level, the ratio of their main activities as referred to in paragraph 3 or 4 exceeds 80 % of the total balance sheet;

| (c) | the derogations are disclosed in annual reports. |
| --- | --- |

(c)

the derogations are disclosed in annual reports.

Competent authorities shall inform the EBA which specialised credit institutions have been exempted or are subject to a higher cap along with a justification. The EBA shall publish and maintain a list of the specialised credit institutions exempted or subject to a higher cap. The EBA may request supporting documentation.

6.   The exemptions laid down in paragraphs 2, 3 4, when approved by the competent authority, may be applied at both the individual and consolidated levels subject to Article 2(3)(e).

7.   Credit institutions shall determine the amount of the net liquidity outflows under the application of the inflow cap in accordance with the formula laid down in Annex II to this Regulation

Article 34

Inflows within a group or an institutional protection scheme

1.   By way of derogation from Article 32(3)(g), competent authorities may authorise the application of a higher inflow rate on a case by case basis for undrawn credit and liquidity facilities when all of the following conditions are fulfilled:

| (a) | there are reasons to expect a higher inflow even under a combined market and idiosyncratic stress of the provider; |
| --- | --- |

(a)

there are reasons to expect a higher inflow even under a combined market and idiosyncratic stress of the provider;

| (b) | the counterparty is the parent or a subsidiary of the credit institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013; |
| --- | --- |

(b)

the counterparty is the parent or a subsidiary of the credit institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013;

| (c) | where the inflow rate exceeds 40 %, a corresponding symmetric outflow rate is applied by the counterparty by way of derogation from Article 31; |
| --- | --- |

(c)

where the inflow rate exceeds 40 %, a corresponding symmetric outflow rate is applied by the counterparty by way of derogation from Article 31;

| (d) | the credit institution and the counterparty are established in the same Member State. |
| --- | --- |

(d)

the credit institution and the counterparty are established in the same Member State.

2.   Where the credit institution and the counterparty credit institution are established in different Member States, competent authorities may waive the condition set out in point (d) of paragraph 1 where, in addition to the criteria in paragraph 1, the following additional objective criteria (a) to (c) are fulfilled:

| (a) | the liquidity provider and receiver present a low liquidity risk profile; |
| --- | --- |

(a)

the liquidity provider and receiver present a low liquidity risk profile;

| (b) | there are legally binding agreements and commitments between group entities regarding the credit or liquidity line; |
| --- | --- |

(b)

there are legally binding agreements and commitments between group entities regarding the credit or liquidity line;

| (c) | the liquidity risk profile of the liquidity receiver has been adequately taken into account in the liquidity risk management of the liquidity provider. |
| --- | --- |

(c)

the liquidity risk profile of the liquidity receiver has been adequately taken into account in the liquidity risk management of the liquidity provider.

The competent authorities shall work together in full consultation in accordance with Article 20(1)(b) of Regulation (EU) No 575/2013 to determine whether the additional criteria set out in this paragraph are met.

3.   Where the additional criteria laid down in paragraph 2 are met, the competent authority of the liquidity receiver shall be allowed to apply a preferential inflow rate of up to 40 %. However, the approval of both competent authorities shall be required for any preferential rate higher than 40 %, which shall be applied on a symmetric basis.

Where the application of a preferential inflow rate above 40 % is authorised, the competent authorities shall inform EBA about the result of the process referred to in paragraph 2. The competent authorities shall review regularly that the conditions for such higher inflows continue to be fulfilled.

TITLE IV

FINAL PROVISIONS

Article 35

Grandfathering of Member State-guaranteed bank assets

1.   Assets issued by credit institutions which benefit from a guarantee from the central government of a Member State shall qualify as level 1 assets only where the guarantee:

| (a) | was granted or committed to for a maximum amount prior to 30 June 2014; |
| --- | --- |

(a)

was granted or committed to for a maximum amount prior to 30 June 2014;

| (b) | is a direct, explicit, irrevocable and unconditional guarantee and covers the failure to pay principal and interest when due. |
| --- | --- |

(b)

is a direct, explicit, irrevocable and unconditional guarantee and covers the failure to pay principal and interest when due.

2.   Where the guarantor is a regional government or local authority in a Member State, the guaranteed asset shall qualify as level 1 only where exposures to such regional government or local authority are treated as exposures to their central government in accordance with Article 115(2) of Regulation (EU) No 575/2013 and the guarantee complies with the requirements laid down in paragraph 1.

3.   The assets referred to in paragraphs 1 and 2 shall continue to qualify as level 1 assets for as long as the guarantee remains in force in relation to the relevant issuer or its assets, as applicable, as amended or replaced from time to time. Where the amount of a guarantee in favour of an issuer or its assets is increased at any time after 30 June 2014, the assets shall only qualify as liquid assets up to the maximum amount of the guarantee that was committed prior to that date.

4.   The assets referred to in this Article shall be subject to the same requirements applicable under this Regulation to level 1 assets representing claims on or guaranteed by the central or regional governments, local authorities or public sector entities referred to in Article 10(1)(c).

5.   Where a credit institution or its assets benefit from a guarantee scheme, the scheme as a whole shall be regarded as a guarantee for the purposes of this Article.

Article 36

Transitional provision for Member State-sponsored impaired asset management agencies

1.   The senior bonds issued by the following Member State-sponsored impaired assets management agencies shall qualify as level 1 assets until 31 December 2023:

| (a) | in Ireland, the National Asset Management Agency (NAMA); |
| --- | --- |

(a)

in Ireland, the National Asset Management Agency (NAMA);

| (b) | in Spain, the Sociedad de Gestión de Activos Procedentes de la Reestructuración Bancaria, S.A. (SAREB); |
| --- | --- |

(b)

in Spain, the Sociedad de Gestión de Activos Procedentes de la Reestructuración Bancaria, S.A. (SAREB);

| (c) | in Slovenia, the Bank Asset Management Company as established under the Measures of the Republic of Slovenia to Strengthen the Stability of Banks Act (MSSBA); |
| --- | --- |

(c)

in Slovenia, the Bank Asset Management Company as established under the Measures of the Republic of Slovenia to Strengthen the Stability of Banks Act (MSSBA);

2.   The assets referred to in paragraph 1 shall be subject to the same requirements applicable under this Regulation to level 1 assets representing claims on or guaranteed by the central or regional governments, local authorities or public sector entities referred to in Article 10(1)(c).

Article 37

Transitional provision for securitisations backed by residential loans

1.   By derogation from Article 13, securitisations issued before 1 October 2015, where the underlying exposures are residential loans as referred to in point (g)(i) of Article 13(2), shall qualify as Level 2B assets if they meet all the requirements set out in Article 13 other than the loan-to-value or loan-to-income requirements set out in that point (g)(i) of Article 13(2).

2.   By derogation from Article 13, securitisations issued after 1 October 2015, where the underlying exposures are residential loans as referred to in point (g)(i) of Article 13(2) that do not meet the average loan-to-value or the loan-to-income requirements set out in that point, shall qualify as Level 2B assets until 1 October 2025, provided that the underlying exposures include residential loans that were not subject to a national law regulating loan-to-income limits at the time they were granted and such residential loans were granted at any time prior to 1 October 2015.

Article 38

Transitional provision for the introduction of the liquidity coverage ratio

1.   In accordance with Article 460(2) of Regulation (EU) No 575/2013, the liquidity coverage ratio laid down in Article 4 shall be introduced as follows:

| (a) | 60 % of the liquidity coverage requirement as from 1 October 2015; |
| --- | --- |

(a)

60 % of the liquidity coverage requirement as from 1 October 2015;

| (b) | 70 % as from1 January 2016; |
| --- | --- |

(b)

70 % as from1 January 2016;

| (c) | 80 % as from 1 January 2017; |
| --- | --- |

(c)

80 % as from 1 January 2017;

| (d) | 100 % as from 1 January 2018. |
| --- | --- |

(d)

100 % as from 1 January 2018.

2.   In accordance with Article 412(5) of Regulation (EU) No 575/2013, Member States or competent authorities may require domestically authorised credit institutions or a subset of such credit institutions to maintain a higher liquidity coverage requirement up to 100 % until the binding minimum standard is fully introduced at a rate of 100 % in accordance with this Regulation.

Article 39

Entry into force

This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.

Official Journal of the European Union

It shall apply from 1 October 2015.

This Regulation shall be binding in its entirety and directly applicable in all Member States.

Done at Brussels, 10 October 2014.

For the Commission

The President

José Manuel BARROSO

---

(1)  
  OJ L 176, 27.6.2013, p. 1.

1

(2)  Regulation (EC) No 1060/2009 of the European Parliament and of the Council of 16 September 2009 on credit rating agencies (OJ L 302, 17.11.2009, p. 1).

2

(3)  Directive 2014/49/EU of the European Parliament and of the Council of 16 April 2014 on deposit guarantee schemes (OJ L 173, 12.6.2014, p. 149).

3

(4)  Directive 2013/36/EU of the European Parliament and of the Council of 26 June 2013 on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms, amending Directive 2002/87/EC and repealing Directives 2006/48/EC and 2006/49/EC (OJ L 176, 27.6.2013, p. 338).

4

(5)  Commission Recommendation 2003/361/EC of 6 May 2003 concerning the definition of micro, small and medium-sized enterprises (OJ L 124, 20.5.2003, p. 36).

5

(6)  Commission Implementing Regulation (EU) No 680/2014 of 16 April 2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (OJ L 191, 28.6.2014, p. 1).

6

(7)  Directive 2014/17/EU of the European Parliament and of the Council of 4 February 2014 on credit agreements for consumers relating to residential immovable property and amending Directives 2008/48/EC and 2013/36/EU and Regulation (EU) No 1093/2010 (OJ L 60, 28.2.2014, p. 34).

7

(8)  Directive 2008/48/EC of the European Parliament and of the Council of 23 April 2008 on credit agreements for consumers and repealing Council Directive 87/102/EEC (OJ L 133, 22.5.2008, p. 66).

8

(9)  Directive 94/19/EC of the European Parliament and of the Council of 30 May 1994 on deposit-guarantee schemes (OJ L 135, 31.5.1994, p. 5).

9

(10)  Seventh Council Directive 83/349/EEC of 13 June 1983 based on the Article 54 (3) (g) of the Treaty on consolidated accounts (OJ L 193, 18.7.1983, p. 1).

10

---

ANNEX I

Formulae for the determination of the liquidity buffer composition

| 1. | Credit institution shall use the formulae laid down in this Annex to determine the composition of their liquidity buffer in accordance with Article 17. |
| --- | --- |

1.

| 2. | Calculation of the liquidity buffer: as of the calculation date, the liquidity buffer of the credit institution shall be equal to:






  (a) | the level 1 asset amount; plus |
| --- | --- | --- |

2.

(a)

the level 1 asset amount; plus

| (b) | the level 2A asset amount; plus |
| --- | --- |

(b)

the level 2A asset amount; plus

| (c) | the level 2B asset amount; |
| --- | --- |

(c)

the level 2B asset amount;

minus the lesser of:

| (d) | the sum of (a), (b), and (c); or |
| --- | --- |

(d)

the sum of (a), (b), and (c); or

| (e) | the ‘excess liquid assets amount’ as calculated in accordance with paragraphs 3 and 4 of this Annex. |
| --- | --- |

(e)

the ‘excess liquid assets amount’ as calculated in accordance with paragraphs 3 and 4 of this Annex.

| 3. | ‘Excess liquid assets’ amount: this amount shall be comprised of the components defined herein:






  (a) | an adjusted non-covered bond level 1 assets amount, which shall be equal to the value of all level 1 liquid assets, excluding level 1 covered bonds, that would be held by the credit institution upon the unwind of any secured funding transaction, secured lending transaction, asset exchange or collateralised derivatives transaction that matures within 30 calendar days from the calculation date and where the credit institution and the counterparty exchange liquid assets on at least one leg of the transaction; |
| --- | --- | --- |

3.

(a)

an adjusted non-covered bond level 1 assets amount, which shall be equal to the value of all level 1 liquid assets, excluding level 1 covered bonds, that would be held by the credit institution upon the unwind of any secured funding transaction, secured lending transaction, asset exchange or collateralised derivatives transaction that matures within 30 calendar days from the calculation date and where the credit institution and the counterparty exchange liquid assets on at least one leg of the transaction;

| (b) | an adjusted level 1 covered bonds amount, which shall be equal to the value post-haircuts of all level 1 covered bonds that would be held by the credit institution upon the unwind of any secured funding transaction, secured lending transaction, asset exchange or collateralised derivatives transaction that matures within 30 calendar days from the calculation date and where the credit institution and the counterparty exchange liquid assets on at least one leg of the transaction; |
| --- | --- |

(b)

an adjusted level 1 covered bonds amount, which shall be equal to the value post-haircuts of all level 1 covered bonds that would be held by the credit institution upon the unwind of any secured funding transaction, secured lending transaction, asset exchange or collateralised derivatives transaction that matures within 30 calendar days from the calculation date and where the credit institution and the counterparty exchange liquid assets on at least one leg of the transaction;

| (c) | adjusted level 2A asset amount, which shall be equal to the value post-haircuts of all level 2A assets that would be held by the credit institution upon the unwind of any secured funding transaction, secured lending transaction, asset exchange or collateralised derivatives transaction that matures within 30 calendar days from the calculation date and where the credit institution and the counterparty exchange liquid assets on at least one leg of the transaction; and |
| --- | --- |

(c)

adjusted level 2A asset amount, which shall be equal to the value post-haircuts of all level 2A assets that would be held by the credit institution upon the unwind of any secured funding transaction, secured lending transaction, asset exchange or collateralised derivatives transaction that matures within 30 calendar days from the calculation date and where the credit institution and the counterparty exchange liquid assets on at least one leg of the transaction; and

| (d) | adjusted level 2B asset amount, which shall be equal to the value post-haircuts of all level 2B assets that would be held by the credit institution upon the unwind of any secured funding transaction, secured lending transaction, asset exchange or collateralised derivatives transaction that matures within 30 calendar days from the calculation date and where the credit institution and the counterparty exchange liquid assets on at least one leg of the transaction. |
| --- | --- |

(d)

adjusted level 2B asset amount, which shall be equal to the value post-haircuts of all level 2B assets that would be held by the credit institution upon the unwind of any secured funding transaction, secured lending transaction, asset exchange or collateralised derivatives transaction that matures within 30 calendar days from the calculation date and where the credit institution and the counterparty exchange liquid assets on at least one leg of the transaction.

| 4. | Calculation of the ‘excess liquid assets amount’: this amount shall be equal to:






  (a) | the adjusted non-covered bond level 1 asset amount; plus |
| --- | --- | --- |

4.

(a)

the adjusted non-covered bond level 1 asset amount; plus

| (b) | the adjusted level 1 covered bond amount; plus |
| --- | --- |

(b)

the adjusted level 1 covered bond amount; plus

| (c) | the adjusted level 2A asset amount; plus |
| --- | --- |

(c)

the adjusted level 2A asset amount; plus

| (d) | the adjusted level 2B asset amount; |
| --- | --- |

(d)

the adjusted level 2B asset amount;

minus the lesser of:

| (e) | the sum of (a),(b),(c) and (d); |
| --- | --- |

(e)

the sum of (a),(b),(c) and (d);

| (f) | 100/30 times (a); |
| --- | --- |

(f)

100/30 times (a);

| (g) | 100/60 times the sum of (a) and (b); |
| --- | --- |

(g)

100/60 times the sum of (a) and (b);

| (h) | 100/85 times the sum of (a), (b) and (c). |
| --- | --- |

(h)

100/85 times the sum of (a), (b) and (c).

| 5. | The composition of the liquidity buffer after taking into account the unwind of any secured funding transaction, secured lending transaction, asset exchange or collateralised derivatives transaction and the application of the above caps in accordance with Article 17 shall be determined as follows: | a′′ (the adjusted non-covered bond level 1 asset amount after cap application)
  = a (the adjusted non-covered bond level 1 asset amount before cap application) |
| --- | --- | --- |

5.

a′′ (the adjusted non-covered bond level 1 asset amount after cap application)

= a (the adjusted non-covered bond level 1 asset amount before cap application)

| | b′′ (the adjusted covered bond level 1asset amount after cap application)
  = MIN(b, a70/30)
  where b = the adjusted covered bond level 1 asset amount before cap application |
| --- | --- |

b′′ (the adjusted covered bond level 1asset amount after cap application)

= MIN(b, a70/30)

where b = the adjusted covered bond level 1 asset amount before cap application

| | c′′ (the adjusted level 2A asset amount after cap application)
  = MIN(c, (a + b′′)40/60, MAX(a70/30 – b′′, 0))
  where c = the adjusted level 2A asset amount before cap application |
| --- | --- |

c′′ (the adjusted level 2A asset amount after cap application)

= MIN(c, (a + b′′)40/60, MAX(a70/30 – b′′, 0))

where c = the adjusted level 2A asset amount before cap application

| | d′′ (the adjusted level 2B asset amount after cap application)
  = MIN (d, (a + b′′ + c′′)15/85, MAX((a + b′′)40/60 – c′′, 0), MAX(70/30a – b′′ – c′′, 0))
  Where d = the adjusted level 2B asset amount before cap application) |
| --- | --- |

d′′ (the adjusted level 2B asset amount after cap application)

= MIN (d, (a + b′′ + c′′)15/85, MAX((a + b′′)40/60 – c′′, 0), MAX(70/30a – b′′ – c′′, 0))

Where d = the adjusted level 2B asset amount before cap application)

---

ANNEX II

Formula for the calculation of the net liquidity outflow

| NLO | = | Net liquidity outflow |
| --- | --- | --- |
| TO | = | Total outflows |
| TI | = | Total inflows |
| FEI | = | Fully exempted inflows |
| IHC | = | Inflows subject to higher cap of 90 % outflows |
| IC | = | Inflows subject to cap of 75 % of outflows |

NLO

=

Net liquidity outflow

TO

=

Total outflows

TI

=

Total inflows

FEI

=

Fully exempted inflows

IHC

=

Inflows subject to higher cap of 90 % outflows

IC

=

Inflows subject to cap of 75 % of outflows

Net liquidity outflows equals total outflows less the reduction for fully exempt inflows less the reduction for inflows subject to the 90 % cap less the reduction for inflows subject to the 75 % cap

NLO = TO – MIN(FEI, TO) – MIN(IHC, 0,9*MAX(TO – FEI, 0)) – MIN(IC, 0,75*MAX(TO – FEI – IHC/0,9, 0))

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| 17.1.2015 | EN | Official Journal of the European Union | L 11/37 |
| --- | --- | --- | --- |

17.1.2015

EN

Official Journal of the European Union

L 11/37

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COMMISSION DELEGATED REGULATION (EU) 2015/62

of 10 October 2014

amending Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to the leverage ratio

(Text with EEA relevance)

THE EUROPEAN COMMISSION,

Having regard to the Treaty on the Functioning of the European Union,

Having regard to Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (1), and in particular Article 456(1)(j) thereof,

Whereas:

| (1) | The leverage ratio calculated in accordance with Article 429 of Regulation (EU) No 575/2013 is to be disclosed by institutions from 1 January 2015 onwards and before that date, the Commission is empowered to adopt a delegated act amending the exposure and capital measure for calculating the leverage ratio to correct any shortcomings detected on the basis of reporting by institutions. |
| --- | --- |

(1)

The leverage ratio calculated in accordance with Article 429 of Regulation (EU) No 575/2013 is to be disclosed by institutions from 1 January 2015 onwards and before that date, the Commission is empowered to adopt a delegated act amending the exposure and capital measure for calculating the leverage ratio to correct any shortcomings detected on the basis of reporting by institutions.

| (2) | Differences have been observed in the reported leverage ratios referred to in Article 429(2) of Regulation (EU) No 575/2013 due to diverging interpretation by institutions of the netting of collateral in securities financing and repurchase transactions. These differences in interpretation and reporting have become manifest following the analytical report published on 4 March 2014 by the European Banking Authority (EBA). |
| --- | --- |

(2)

Differences have been observed in the reported leverage ratios referred to in Article 429(2) of Regulation (EU) No 575/2013 due to diverging interpretation by institutions of the netting of collateral in securities financing and repurchase transactions. These differences in interpretation and reporting have become manifest following the analytical report published on 4 March 2014 by the European Banking Authority (EBA).

| (3) | Given that the provisions of Regulation (EU) No 575/2013 mirrored those of the Basel standards, the solutions found to the shortcomings of the Basel rules are also fit for the purpose of addressing the corresponding shortcomings of the relevant provisions of that Regulation. |
| --- | --- |

(3)

Given that the provisions of Regulation (EU) No 575/2013 mirrored those of the Basel standards, the solutions found to the shortcomings of the Basel rules are also fit for the purpose of addressing the corresponding shortcomings of the relevant provisions of that Regulation.

| (4) | The Basel Committee adopted on 14 January 2014 a revised rules text on the leverage ratio with in particular additional measurement and netting arrangements for repurchase transactions and securities financing transactions. Alignment of the provisions of Regulation (EU) No 575/2013 concerning the calculation of the leverage ratio with the internationally agreed rules should address diverging interpretations by institutions for the netting of collateral of securities financing and repurchase transactions and should also enhance international comparability as well as create a level playing field for institutions that are established in the Union and operate internationally. |
| --- | --- |

(4)

The Basel Committee adopted on 14 January 2014 a revised rules text on the leverage ratio with in particular additional measurement and netting arrangements for repurchase transactions and securities financing transactions. Alignment of the provisions of Regulation (EU) No 575/2013 concerning the calculation of the leverage ratio with the internationally agreed rules should address diverging interpretations by institutions for the netting of collateral of securities financing and repurchase transactions and should also enhance international comparability as well as create a level playing field for institutions that are established in the Union and operate internationally.

| (5) | Clearing via central counter parties under the principal model commonly used in the Union creates a double counting of leverage in the exposure measure of an institution acting as a clearing member. |
| --- | --- |

(5)

Clearing via central counter parties under the principal model commonly used in the Union creates a double counting of leverage in the exposure measure of an institution acting as a clearing member.

| (6) | Clearing of securities financing transactions, especially repurchase transactions, through qualifying central counterparties (QCCPs) can bring advantages such as multilateral netting and robust collateral management processes which enhance financial stability. Cash receivables and payables for repurchase and reverse repurchase transactions via the same QCCP should therefore be allowed to be netted. |
| --- | --- |

(6)

Clearing of securities financing transactions, especially repurchase transactions, through qualifying central counterparties (QCCPs) can bring advantages such as multilateral netting and robust collateral management processes which enhance financial stability. Cash receivables and payables for repurchase and reverse repurchase transactions via the same QCCP should therefore be allowed to be netted.

| (7) | Repurchase transactions that can be terminated at any day subject to an agreed recall notice period should be considered equivalent to having an explicit maturity equal to the recall notice period and the ‘same explicit final settlement date’ should be deemed to be met so that such transactions are eligible for the netting of cash receivables and payables of repurchase transactions and reverse repurchase transactions with the same counterparty. |
| --- | --- |

(7)

Repurchase transactions that can be terminated at any day subject to an agreed recall notice period should be considered equivalent to having an explicit maturity equal to the recall notice period and the ‘same explicit final settlement date’ should be deemed to be met so that such transactions are eligible for the netting of cash receivables and payables of repurchase transactions and reverse repurchase transactions with the same counterparty.

| (8) | The revised leverage ratio should lead to a more accurate measure of leverage and should serve as a proportionate constraint on the accumulation of leverage in institutions established in the Union. |
| --- | --- |

(8)

The revised leverage ratio should lead to a more accurate measure of leverage and should serve as a proportionate constraint on the accumulation of leverage in institutions established in the Union.

| (9) | Point in time reporting of the leverage ratio at the end of the quarterly reporting period rather than reporting on the basis of a three-month average better aligns the leverage ratio with solvency reporting. |
| --- | --- |

(9)

Point in time reporting of the leverage ratio at the end of the quarterly reporting period rather than reporting on the basis of a three-month average better aligns the leverage ratio with solvency reporting.

| (10) | Using gross notional amounts for written credit protection issued by an institution more appropriately reflects leverage as compared to using the mark to market method for those instruments. |
| --- | --- |

(10)

Using gross notional amounts for written credit protection issued by an institution more appropriately reflects leverage as compared to using the mark to market method for those instruments.

| (11) | The scope of consolidation for calculating the leverage ratio should be aligned with the regulatory scope of consolidation used for determining the risk weighted capital ratios. |
| --- | --- |

(11)

The scope of consolidation for calculating the leverage ratio should be aligned with the regulatory scope of consolidation used for determining the risk weighted capital ratios.

| (12) | The changes introduced by this Regulation should lead to better comparability of the leverage ratio disclosed by institutions and should help to avoid misleading market participants as to the real leverage of institutions. It is therefore necessary that this Regulation enters into force as soon as possible. |
| --- | --- |

(12)

The changes introduced by this Regulation should lead to better comparability of the leverage ratio disclosed by institutions and should help to avoid misleading market participants as to the real leverage of institutions. It is therefore necessary that this Regulation enters into force as soon as possible.

| (13) | Regulation (EU) No 575/2013 should therefore be amended accordingly, |
| --- | --- |

(13)

Regulation (EU) No 575/2013 should therefore be amended accordingly,

HAS ADOPTED THIS REGULATION:

Article 1

Regulation (EU) No 575/2013 is amended as follows:

| (1) | Article 429 is replaced by the following:

  ‘Article 429
  Calculation of the leverage ratio

  1.   Institutions shall calculate their leverage ratio in accordance with the methodology set out in paragraphs 2 to 13.


  2.   The leverage ratio shall be calculated as an institution's capital measure divided by that institution's total exposure measure and shall be expressed as a percentage.
  Institutions shall calculate the leverage ratio at the reporting reference date.


  3.   For the purposes of paragraph 2, the capital measure shall be the Tier 1 capital.


  4.   The total exposure measure shall be the sum of the exposure values of:






  (a) | assets referred to in paragraph 5 unless they are deducted when determining the capital measure referred to in paragraph 3; |
| --- | --- | --- |

(1)

Article 429 is replaced by the following:

‘Article 429

Calculation of the leverage ratio

1.   Institutions shall calculate their leverage ratio in accordance with the methodology set out in paragraphs 2 to 13.

2.   The leverage ratio shall be calculated as an institution's capital measure divided by that institution's total exposure measure and shall be expressed as a percentage.

Institutions shall calculate the leverage ratio at the reporting reference date.

3.   For the purposes of paragraph 2, the capital measure shall be the Tier 1 capital.

4.   The total exposure measure shall be the sum of the exposure values of:

(a)

assets referred to in paragraph 5 unless they are deducted when determining the capital measure referred to in paragraph 3;

| (b) | derivatives referred to in paragraph 9; |
| --- | --- |

(b)

derivatives referred to in paragraph 9;

| (c) | add-ons for counterparty credit risk of repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions including those that are off-balance sheet referred to in Article 429b; |
| --- | --- |

(c)

add-ons for counterparty credit risk of repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions including those that are off-balance sheet referred to in Article 429b;

| (d) | off-balance sheet items referred to in paragraph 10. |
| --- | --- |

(d)

off-balance sheet items referred to in paragraph 10.

5.   Institutions shall determine the exposure value of assets, excluding contracts listed in Annex II and credit derivatives, in accordance with the following principles:

| (a) | the exposure values of assets means exposure values in accordance with the first sentence of Article 111(1); |
| --- | --- |

(a)

the exposure values of assets means exposure values in accordance with the first sentence of Article 111(1);

| (b) | physical or financial collateral, guarantees or credit risk mitigation purchased shall not be used to reduce exposure values of assets; |
| --- | --- |

(b)

physical or financial collateral, guarantees or credit risk mitigation purchased shall not be used to reduce exposure values of assets;

| (c) | loans shall not be netted with deposits; |
| --- | --- |

(c)

loans shall not be netted with deposits;

| (d) | repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions shall not be netted. |
| --- | --- |

(d)

repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions shall not be netted.

6.   Institutions may deduct from the exposure measure set out in paragraph 4 of this Article the amounts deducted from Common equity Tier 1 capital in accordance with Article 36(1)(d).

7.   Competent authorities may permit an institution not to include in the exposure measure exposures that can benefit from the treatment laid down in Article 113(6). Competent authorities may grant that permission only where all the conditions set out in points (a) to (e) of Article 113(6) are met and where they have given the approval laid down in Article 113(6).

8.   By way of derogation from point (d) of paragraph 5, institutions may determine the exposure value of cash receivables and cash payables of repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions with the same counterparty on a net basis only if all the following conditions are met:

| (a) | the transactions have the same explicit final settlement date; |
| --- | --- |

(a)

the transactions have the same explicit final settlement date;

| (b) | the right to set off the amount owed to the counterparty with the amount owed by the counterparty is legally enforceable in all the following situations:






  (i) | in the normal course of business; |
| --- | --- | --- |

(b)

the right to set off the amount owed to the counterparty with the amount owed by the counterparty is legally enforceable in all the following situations:

(i)

in the normal course of business;

| (ii) | in the event of default, insolvency and bankruptcy; |
| --- | --- |

(ii)

in the event of default, insolvency and bankruptcy;

| (c) | the counterparties intend to settle net, settle simultaneously, or the transactions are subject to a settlement mechanism that results in the functional equivalent of net settlement. |
| --- | --- |

(c)

the counterparties intend to settle net, settle simultaneously, or the transactions are subject to a settlement mechanism that results in the functional equivalent of net settlement.

For the purposes of point (c) of the first subparagraph, a settlement mechanism results in the functional equivalent of net settlement if, on the settlement date, the net result of the cash flows of the transactions under that mechanism is equal to the single net amount under net settlement.

9.   Institutions shall determine the exposure value of contracts listed in Annex II and of credit derivatives including those that are off-balance sheet, in accordance with Article 429a.

10.   Institutions shall determine the exposure value of off-balance-sheet items, excluding contracts listed in Annex II, credit derivatives, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions, in accordance with Article 111(1). However, institutions shall not reduce the nominal value of those items by specific credit risk adjustments.

In accordance with Article 166(9), where a commitment refers to the extension of another commitment, the lower of the two conversion factors associated with the individual commitment shall be used. The exposure value of low risk off- balance sheet items referred to in Article 111(1)(d) shall be subject to a floor equal to 10 % of their nominal value.

11.   An institution that is a clearing member of a QCCP may exclude from the calculation of the exposure measure trade exposures of the following items, provided that those trade exposures are cleared with that QCCP and meet, at the same time, the conditions laid down in Article 306(1)(c):

| (a) | contracts listed in Annex II; |
| --- | --- |

(a)

contracts listed in Annex II;

| (b) | credit derivatives; |
| --- | --- |

(b)

credit derivatives;

| (c) | repurchase transactions; |
| --- | --- |

(c)

repurchase transactions;

| (d) | securities or commodities lending or borrowing transactions; |
| --- | --- |

(d)

securities or commodities lending or borrowing transactions;

| (e) | long settlement transactions; |
| --- | --- |

(e)

long settlement transactions;

| (f) | margin lending transactions. |
| --- | --- |

(f)

margin lending transactions.

12.   Where an institution that is a clearing member of a QCCP guarantees to the QCCP the performance of a client that enters directly into derivative transactions with the QCCP, it shall include in the exposure measure the exposure resulting from the guarantee as a derivative exposure to the client in accordance with Article 429a.

13.   Where national generally accepted accounting principles recognise fiduciary assets on balance sheet, in accordance with Article 10 of Directive 86/635/EEC, those assets may be excluded from the leverage ratio total exposure measure provided that they meet the criteria for non-recognition set out in International Accounting Standard (IAS) 39, as applicable under Regulation (EC) No 1606/2002, and, where applicable, the criteria for non-consolidation set out in International Financial Reporting Standard (IFRS) 10, as applicable under Regulation (EC) No 1606/2002.

14.   Competent authorities may permit an institution to exclude from the exposure measure exposures that meet all of the following conditions:

| (a) | they are exposures to a public sector entity; |
| --- | --- |

(a)

they are exposures to a public sector entity;

| (b) | they are treated in accordance with Article 116(4); |
| --- | --- |

(b)

they are treated in accordance with Article 116(4);

| (c) | they arise from deposits that the institution is legally obliged to transfer to the public sector entity referred to in point (a) for the purposes of funding general interest investments.’ |
| --- | --- |

(c)

they arise from deposits that the institution is legally obliged to transfer to the public sector entity referred to in point (a) for the purposes of funding general interest investments.’

| (2) | The following Articles 429a and 429b are inserted:

  ‘Article 429a
  Exposure value of derivatives

  1.   Institutions shall determine the exposure value of contracts listed in Annex II and of credit derivatives, including those that are off-balance sheet, in accordance with the method set out in Article 274. Institutions shall apply Article 299(2)(a) for the determination of the potential future credit exposure for credit derivatives.
  When determining the potential future credit exposure of credit derivatives, institutions shall apply the principles laid down in Article 299(2)(a) to all their credit derivatives, not only those assigned to the trading book.
  In determining the exposure value, institutions may take into account the effects of contracts for novation and other netting agreements in accordance with Article 295. Cross-product netting shall not apply. However, institutions may net within the product category referred to in point (25)(c) of Article 272 and credit derivatives when they are subject to a contractual cross-product netting agreement referred to in Article 295(c).


  2.   Where the provision of collateral related to derivatives contracts reduces the amount of assets under the applicable accounting framework, institutions shall reverse that reduction.


  3.   For the purposes of paragraph 1, institutions may deduct variation margin received in cash from the counterparty from the current replacement cost portion of the exposure value in so far as under the applicable accounting framework the variation margin has not already been recognised as a reduction of the exposure value and when all the following conditions are met:






  (a) | for trades not cleared through a QCCP, the cash received by the recipient counterparty is not segregated; |
| --- | --- | --- |

(2)

The following Articles 429a and 429b are inserted:

‘Article 429a

Exposure value of derivatives

1.   Institutions shall determine the exposure value of contracts listed in Annex II and of credit derivatives, including those that are off-balance sheet, in accordance with the method set out in Article 274. Institutions shall apply Article 299(2)(a) for the determination of the potential future credit exposure for credit derivatives.

When determining the potential future credit exposure of credit derivatives, institutions shall apply the principles laid down in Article 299(2)(a) to all their credit derivatives, not only those assigned to the trading book.

In determining the exposure value, institutions may take into account the effects of contracts for novation and other netting agreements in accordance with Article 295. Cross-product netting shall not apply. However, institutions may net within the product category referred to in point (25)(c) of Article 272 and credit derivatives when they are subject to a contractual cross-product netting agreement referred to in Article 295(c).

2.   Where the provision of collateral related to derivatives contracts reduces the amount of assets under the applicable accounting framework, institutions shall reverse that reduction.

3.   For the purposes of paragraph 1, institutions may deduct variation margin received in cash from the counterparty from the current replacement cost portion of the exposure value in so far as under the applicable accounting framework the variation margin has not already been recognised as a reduction of the exposure value and when all the following conditions are met:

(a)

for trades not cleared through a QCCP, the cash received by the recipient counterparty is not segregated;

| (b) | the variation margin is calculated and exchanged on a daily basis based on mark-to-market valuation of derivatives positions; |
| --- | --- |

(b)

the variation margin is calculated and exchanged on a daily basis based on mark-to-market valuation of derivatives positions;

| (c) | the variation margin received in cash is in the same currency as the currency of settlement of the derivative contract; |
| --- | --- |

(c)

the variation margin received in cash is in the same currency as the currency of settlement of the derivative contract;

| (d) | the variation margin exchanged is the full amount that would be necessary to fully extinguish the mark-to-market exposure of the derivative subject to the threshold and minimum transfer amounts applicable to the counterparty; |
| --- | --- |

(d)

the variation margin exchanged is the full amount that would be necessary to fully extinguish the mark-to-market exposure of the derivative subject to the threshold and minimum transfer amounts applicable to the counterparty;

| (e) | the derivative contract and the variation margin between the institution and the counterparty to that contract are covered by a single netting agreement that the institution may treat as risk-reducing in accordance with Article 295. |
| --- | --- |

(e)

the derivative contract and the variation margin between the institution and the counterparty to that contract are covered by a single netting agreement that the institution may treat as risk-reducing in accordance with Article 295.

For the purposes of point (c) of the first subparagraph, where the derivative contract is subject to a qualifying master netting agreement, the currency of settlement means any currency of settlement specified in the derivative contract, the governing qualifying master netting agreement or the credit support annex to the qualifying master netting agreement.

Where under the applicable accounting framework an institution recognises the variation margin paid in cash to the counterparty as a receivable asset, it may exclude that asset from the exposure measure provided that the conditions in points (a) to (e) are met.

4.   For the purposes of paragraph 3 the following shall apply:

| (a) | the deduction of variation margin received shall be limited to the positive current replacement cost portion of the exposure value; |
| --- | --- |

(a)

the deduction of variation margin received shall be limited to the positive current replacement cost portion of the exposure value;

| (b) | an institution shall not use variation margin received in cash to reduce the potential future credit exposure amount, including for the purposes of Article 298(1)(c)(ii); |
| --- | --- |

(b)

an institution shall not use variation margin received in cash to reduce the potential future credit exposure amount, including for the purposes of Article 298(1)(c)(ii);

5.   In addition to the treatment laid down in paragraph 1, for written credit derivatives institutions shall include in the exposure value the effective notional amounts referenced by the written credit derivatives reduced by any negative fair value changes that have been incorporated in Tier 1 capital with respect to the written credit derivative. The resulting exposure value may be further reduced by the effective notional amount of a purchased credit derivative on the same reference name provided that all the following conditions are met:

| (a) | for single name credit derivatives, the credit derivatives purchased must be on a reference name which ranks pari passu with or is junior to the underlying reference obligation of the written credit derivative and a credit event on the senior reference asset would result in a credit event on the subordinated asset; |
| --- | --- |

(a)

for single name credit derivatives, the credit derivatives purchased must be on a reference name which ranks pari passu with or is junior to the underlying reference obligation of the written credit derivative and a credit event on the senior reference asset would result in a credit event on the subordinated asset;

| (b) | where an institution purchases protection on a pool of reference names, the purchased protection may offset sold protection on a pool of reference names only if the pool of reference entities and the level of subordination in both transactions are identical; |
| --- | --- |

(b)

where an institution purchases protection on a pool of reference names, the purchased protection may offset sold protection on a pool of reference names only if the pool of reference entities and the level of subordination in both transactions are identical;

| (c) | the remaining maturity of the credit derivative purchased is equal to or greater than the remaining maturity of the written credit derivative; |
| --- | --- |

(c)

the remaining maturity of the credit derivative purchased is equal to or greater than the remaining maturity of the written credit derivative;

| (d) | in determining the additional exposure value for written credit derivatives, the notional amount of the purchased credit derivative is reduced by any positive fair value change that has been incorporated in Tier 1 capital with respect to the credit derivative purchased; |
| --- | --- |

(d)

in determining the additional exposure value for written credit derivatives, the notional amount of the purchased credit derivative is reduced by any positive fair value change that has been incorporated in Tier 1 capital with respect to the credit derivative purchased;

| (e) | for tranched products, the credit derivative purchased as protection is on a reference obligation which ranks equal to the underlying reference obligation of the written credit derivative. |
| --- | --- |

(e)

for tranched products, the credit derivative purchased as protection is on a reference obligation which ranks equal to the underlying reference obligation of the written credit derivative.

Where the notional amount of a written credit derivative is not reduced by the notional amount of a purchased credit derivative, institutions may deduct the individual potential future exposure of that written credit derivative from the total potential future exposure determined according to paragraph 1 of this Article in conjunction with Article 274(2) or Article 299(2)(a) as applicable. In case that the potential future credit exposure shall be determined in conjunction with Article 298(1)(c)(ii), PCEgross may be reduced by the individual potential future exposure of written credit derivatives with no adjustment made to the NGR.

6.   Institutions shall not reduce the written credit derivative effective notional amount where they buy credit protection through a total return swap and record the net payments received as net income, but do not record any offsetting deterioration in the value of the written credit derivative reflected in Tier 1 capital.

7.   In case of purchased credit derivatives on a pool of reference entities, institutions may recognise a reduction according to paragraph 5 on written credit derivatives on individual reference names only if the protection purchased is economically equivalent to buying protection separately on each of the individual names in the pool. If an institution purchases a credit derivative on a pool of reference names, it may only recognise a reduction on a pool of written credit derivatives when the pool of reference entities and the level of subordination in both transactions are identical.

8.   By way of derogation from paragraph 1 of this Article, institutions may use the method set out in Article 275 to determine the exposure value of contracts listed in points 1 and 2 of Annex II only where they also use that method for determining the exposure value of those contracts for the purposes of meeting the own funds requirements set out in Article 92.

When institutions apply the method set out in Article 275, they shall not reduce the exposure measure by the amount of variation margin received in cash.

Article 429b

Counterparty credit risk add-on for repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions

1.   In addition to the exposure value of repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions including those that are off-balance sheet in accordance with Article 429(5), institutions shall include in the exposure measure an add-on for counterparty credit risk determined in accordance to paragraph 2 or 3 of this Article, as applicable.

2.   For the purposes of paragraph 1, for transactions with a counterparty which are not subject to a master netting agreement that meets the conditions laid down in Article 206 the add-on (Ei*)shall be determined on a transaction-by-transaction basis in accordance with the following formula:

Formula

where:

| | Ei is the fair value of securities or cash lent to the counterparty under transaction i; |
| --- | --- |

Ei is the fair value of securities or cash lent to the counterparty under transaction i;

| | Ci is the fair value of cash or securities received from the counterparty under transaction i. |
| --- | --- |

Ci is the fair value of cash or securities received from the counterparty under transaction i.

3.   For the purposes of paragraph 1, for transactions with a counterparty that are subject to a master netting agreement that meets the conditions laid down in Article 206, the add-on for those transactions (Ei*) shall be determined on an agreement-by-agreement basis in accordance with the following formula:

Formula

where:

| | Ei is the fair value of securities or cash lent to the counterparty for the transactions subject to master netting agreement i; |
| --- | --- |

Ei is the fair value of securities or cash lent to the counterparty for the transactions subject to master netting agreement i;

| | Ci is the fair value of cash or securities received from the counterparty subject to master netting agreement i. |
| --- | --- |

Ci is the fair value of cash or securities received from the counterparty subject to master netting agreement i.

4.   By way of derogation from paragraph 1 of this Article, institutions may use the method set out in Article 222, subject to a 20 % floor for the applicable risk weight, to determine the add on for repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions including those that are off-balance sheet. Institutions may use this method only where they also use it for determining the exposure value of those transactions for the purpose of meeting the own funds requirements as set out in Article 92.

5.   Where sale accounting is achieved for a repurchase transaction under its applicable accounting framework, the institution shall reverse all sales-related accounting entries.

6.   Where an institution acts as an agent between two parties in repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions including those that are off-balance sheet, the following apply:

| (a) | where the institution provides an indemnity or guarantee to a customer or counterparty limited to any difference between the value of the security or cash the customer has lent and the value of collateral the borrower has provided it shall only include in the exposure measure the add-on determined in accordance with paragraph 2 or 3, as applicable; |
| --- | --- |

(a)

where the institution provides an indemnity or guarantee to a customer or counterparty limited to any difference between the value of the security or cash the customer has lent and the value of collateral the borrower has provided it shall only include in the exposure measure the add-on determined in accordance with paragraph 2 or 3, as applicable;

| (b) | where the institution does not provide an indemnity or guarantee to any of the involved parties, the transaction shall not be included in the exposure measure; |
| --- | --- |

(b)

where the institution does not provide an indemnity or guarantee to any of the involved parties, the transaction shall not be included in the exposure measure;

| (c) | where the institution is economically exposed to the underlying security or cash in the transaction beyond the exposure covered by the add-on, it shall include also in the exposure measure an exposure equal to the full amount of the security or cash.’ |
| --- | --- |

(c)

where the institution is economically exposed to the underlying security or cash in the transaction beyond the exposure covered by the add-on, it shall include also in the exposure measure an exposure equal to the full amount of the security or cash.’

Article 2

This Regulation shall enter into force on the day following that of its publication in the Official Journal of the European Union.

This Regulation shall be binding in its entirety and directly applicable in all Member States.

Done at Brussels, 10 October 2014.

For the Commission

The President

José Manuel BARROSO

---

(1)  
  OJ L 176, 27.6.2013, p. 1.

1

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| 17.1.2015 | EN | Official Journal of the European Union | L 11/44 |
| --- | --- | --- | --- |

17.1.2015

EN

Official Journal of the European Union

L 11/44

---

COMMISSION DELEGATED REGULATION (EU) 2015/63

of 21 October 2014

supplementing Directive 2014/59/EU of the European Parliament and of the Council with regard to ex ante contributions to resolution financing arrangements

THE EUROPEAN COMMISSION,

Having regard to the Treaty on the Functioning of the European Union,

Having regard to Directive 2014/59/EU of the European Parliament and of the Council of 15 May 2014 establishing a framework for the recovery and resolution of credit institutions and investment firms and amending Council Directive 82/891/EEC, and Directives 2001/24/EC, 2002/47/EC, 2004/25/EC, 2005/56/EC, 2007/36/EC, 2011/35/EU, 2012/30/EU and 2013/36/EU, and Regulations (EU) No 1093/2010 and (EU) No 648/2012 of the European Parliament and of the Council (1), and in particular Article 103(7) and (8) thereof,

Whereas:

| (1) | Directive 2014/59/EU requires Member States to establish resolution financing arrangements for the purpose of ensuring the effective application by the resolution authority of the resolution tools and powers. Those resolution financing arrangements should have adequate financial resources to allow for an effective functioning of the resolution framework and are therefore empowered to raise ex-ante contributions from the institutions authorised in their territory including Union branches (institutions). |
| --- | --- |

(1)

Directive 2014/59/EU requires Member States to establish resolution financing arrangements for the purpose of ensuring the effective application by the resolution authority of the resolution tools and powers. Those resolution financing arrangements should have adequate financial resources to allow for an effective functioning of the resolution framework and are therefore empowered to raise ex-ante contributions from the institutions authorised in their territory including Union branches (institutions).

| (2) | Member States are obliged to raise ex ante contributions to resolution financing arrangements not only from institutions, but in accordance with Article 103(1) of that Directive also from Union branches. Union branches are also covered by the empowerments of the Commission to adopt delegated acts pursuant to Article 103(7) and (8) of that Directive. However, in consideration of the fact, by virtue of Article 47 of Directive 2013/36/EU of the European Parliament and of the Council (2), that the prudential requirements and supervisory treatment of Union branches fall under the responsibility of Member States, many of the risk adjustment metrics set out in this Delegated Regulation are not appropriate to apply directly to the Union branches. Therefore, while Union branches do not fall within the scope of this Regulation, they may be subject to a specific regime developed by the Commission in a future Delegated Act. |
| --- | --- |

(2)

Member States are obliged to raise ex ante contributions to resolution financing arrangements not only from institutions, but in accordance with Article 103(1) of that Directive also from Union branches. Union branches are also covered by the empowerments of the Commission to adopt delegated acts pursuant to Article 103(7) and (8) of that Directive. However, in consideration of the fact, by virtue of Article 47 of Directive 2013/36/EU of the European Parliament and of the Council (2), that the prudential requirements and supervisory treatment of Union branches fall under the responsibility of Member States, many of the risk adjustment metrics set out in this Delegated Regulation are not appropriate to apply directly to the Union branches. Therefore, while Union branches do not fall within the scope of this Regulation, they may be subject to a specific regime developed by the Commission in a future Delegated Act.

| (3) | Pursuant to Articles 6, 15, 16, 95 and 96 of Regulation (EU) No 575/2013 of the European Parliament and of the Council (3), certain investment firms which are authorized to carry out only limited services and activities are not subject or may be exempted from certain capital and liquidity requirements. Consequently, many of the risk adjustment metrics that should be set out would not apply to them. Whilst Member States are subject to the obligation to raise ex ante contributions from these investment firms in accordance with Article 103(1) of Directive 2014/59/EU, it is appropriate to leave to Member States the power of establishing the risk adjustment in order not to disproportionately burden these firms. Those investment firms should therefore not fall within the scope of this Regulation. |
| --- | --- |

(3)

Pursuant to Articles 6, 15, 16, 95 and 96 of Regulation (EU) No 575/2013 of the European Parliament and of the Council (3), certain investment firms which are authorized to carry out only limited services and activities are not subject or may be exempted from certain capital and liquidity requirements. Consequently, many of the risk adjustment metrics that should be set out would not apply to them. Whilst Member States are subject to the obligation to raise ex ante contributions from these investment firms in accordance with Article 103(1) of Directive 2014/59/EU, it is appropriate to leave to Member States the power of establishing the risk adjustment in order not to disproportionately burden these firms. Those investment firms should therefore not fall within the scope of this Regulation.

| (4) | In accordance with Article 102(1) of Directive 2014/59/EU, Member States should ensure that, within a period starting from the entry into force of the Directive until 31 December 2024, the available financial means of their financing arrangements reach at least 1 % of the amount of covered deposits of all the institutions authorised in their territory. During that period of time, contributions to the financing arrangements should be spread out in time as evenly as possible until the target level is reached, by taking into account of the phase of the business cycle and the impact that pro-cyclical contributions may have on the financial position of contributing institutions. |
| --- | --- |

(4)

In accordance with Article 102(1) of Directive 2014/59/EU, Member States should ensure that, within a period starting from the entry into force of the Directive until 31 December 2024, the available financial means of their financing arrangements reach at least 1 % of the amount of covered deposits of all the institutions authorised in their territory. During that period of time, contributions to the financing arrangements should be spread out in time as evenly as possible until the target level is reached, by taking into account of the phase of the business cycle and the impact that pro-cyclical contributions may have on the financial position of contributing institutions.

| (5) | Article 103(1) of Directive 2014/59/EU requires that contributions be raised at least annually in order to reach the target level specified in Article 102 of that Directive. Pursuant to Article 103(2) of Directive 2014/59/EU, annual contribution should reflect an institution's size, as the contribution should be based on a fixed amount determined on the basis of that institution's liabilities (basic annual contribution); second, it reflects the risk level of the relevant activities of an institution as the basic annual contribution should be adjusted in proportion to the risk profile of that institution (additional risk adjustment). The size of an institution represents a first indicator of the risk posed by an institution. The larger an institution is, the more likely it is that, in case of distress, the resolution authority would consider it in the public interest to resolve that institution and to make use of the resolution financing arrangement to ensure an effective application of the resolution tools. |
| --- | --- |

(5)

Article 103(1) of Directive 2014/59/EU requires that contributions be raised at least annually in order to reach the target level specified in Article 102 of that Directive. Pursuant to Article 103(2) of Directive 2014/59/EU, annual contribution should reflect an institution's size, as the contribution should be based on a fixed amount determined on the basis of that institution's liabilities (basic annual contribution); second, it reflects the risk level of the relevant activities of an institution as the basic annual contribution should be adjusted in proportion to the risk profile of that institution (additional risk adjustment). The size of an institution represents a first indicator of the risk posed by an institution. The larger an institution is, the more likely it is that, in case of distress, the resolution authority would consider it in the public interest to resolve that institution and to make use of the resolution financing arrangement to ensure an effective application of the resolution tools.

| (6) | To clarify how resolution authorities should adjust the contributions in proportion to the risk profile of institutions it is necessary to specify the risk pillars and indicators which should be used to determine the risk profile of institutions, the mechanism for applying the risk adjustment to the basic annual contribution, and the basic annual contribution, as the starting point for the risk adjustment. Those elements which would supplement the risk criteria provided for in Article 103(7) of Directive 2014/59/EU should be established in a way to preserve a level playing field among the Member States and a strong internal market by avoiding discrepancies between Member States' approaches to the calculation of contributions to their respective resolution financing arrangements. This allows contributions paid by institutions to the resolution financing arrangements to be comparable and predictable across types of banks, which is an important element of a level playing field in the internal market. |
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(6)

To clarify how resolution authorities should adjust the contributions in proportion to the risk profile of institutions it is necessary to specify the risk pillars and indicators which should be used to determine the risk profile of institutions, the mechanism for applying the risk adjustment to the basic annual contribution, and the basic annual contribution, as the starting point for the risk adjustment. Those elements which would supplement the risk criteria provided for in Article 103(7) of Directive 2014/59/EU should be established in a way to preserve a level playing field among the Member States and a strong internal market by avoiding discrepancies between Member States' approaches to the calculation of contributions to their respective resolution financing arrangements. This allows contributions paid by institutions to the resolution financing arrangements to be comparable and predictable across types of banks, which is an important element of a level playing field in the internal market.

| (7) | Article 5(1) of Regulation (EU) No 806/2014 of the European Parliament and of the Council (4) provides that the Single Resolution Board (the Board) established by Article 42(1) of that Regulation is considered, for the application of that Regulation and of Directive 2014/59/EU, as the relevant national resolution authority where it performs tasks and exercises powers which, pursuant to that Directive are to be performed or exercised by the national resolution authority. Considering that Article 70(7) of Regulation (EU) No 806/2014 empowers the Board to calculate the contributions of institutions to the Single Resolution Fund which would replace the financing arrangements of the participant Member States in the Single Resolution Mechanism as of 1 January 2016 by applying this Regulation based on Article 103(7) of Directive 2014/59/EU, the notion of resolution authority under this Regulation should also include the Board. |
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(7)

Article 5(1) of Regulation (EU) No 806/2014 of the European Parliament and of the Council (4) provides that the Single Resolution Board (the Board) established by Article 42(1) of that Regulation is considered, for the application of that Regulation and of Directive 2014/59/EU, as the relevant national resolution authority where it performs tasks and exercises powers which, pursuant to that Directive are to be performed or exercised by the national resolution authority. Considering that Article 70(7) of Regulation (EU) No 806/2014 empowers the Board to calculate the contributions of institutions to the Single Resolution Fund which would replace the financing arrangements of the participant Member States in the Single Resolution Mechanism as of 1 January 2016 by applying this Regulation based on Article 103(7) of Directive 2014/59/EU, the notion of resolution authority under this Regulation should also include the Board.

| (8) | The calculation of contributions at individual level would lead, in case of groups, to the double counting of certain liabilities when determining the basic annual contribution of the different group entities, since the liabilities related to the agreements that the entities of the same group conclude with each other would be, part of the total liabilities to be considered to determine the basic annual contribution of each entity of the group. Therefore, the determination of the basic annual contribution should be further specified in case of groups to reflect the interconnectedness of the group entities and avoid double counting intragroup exposures. In order to ensure a level playing field between entities which are part of a group and institutions which are members of the same IPS or are permanently affiliated to the same central body, the same treatment should apply to the latters. |
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(8)

The calculation of contributions at individual level would lead, in case of groups, to the double counting of certain liabilities when determining the basic annual contribution of the different group entities, since the liabilities related to the agreements that the entities of the same group conclude with each other would be, part of the total liabilities to be considered to determine the basic annual contribution of each entity of the group. Therefore, the determination of the basic annual contribution should be further specified in case of groups to reflect the interconnectedness of the group entities and avoid double counting intragroup exposures. In order to ensure a level playing field between entities which are part of a group and institutions which are members of the same IPS or are permanently affiliated to the same central body, the same treatment should apply to the latters.

| (9) | For the purpose of calculating the basic annual contribution of a group entity, the total liabilities to be considered should not include the liabilities arisen from any contract which that group entity concluded with any other entity which is part of the same group. However, such exclusion should only be possible where each group entity is established in the Union, is included in the same consolidation on a full basis, is subject to an appropriate centralized risk evaluation, measurement and control procedures, and if there are no current or foreseen material practical or legal impediments to the prompt repayment of the relevant liabilities when due. This should prevent liabilities from being excluded from the basis of calculation of the contributions if there are no guarantees that intragroup lending exposures would be covered where the financial health of the group deteriorates. Moreover, to avoid that the exclusion of intragroup liabilities grants an advantage to group entities which benefit from this exemption, such exclusion should not allow the institutions concerned to benefit from the simplified contribution system granted to small institutions, where, following the exclusion of intragroup liabilities, an institution would qualify for the simplified system. In order to ensure a level playing field between entities which are part of a group and institutions which are members of the same IPS or are permanently affiliated to the same central body, the same treatment should apply to the latters. |
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(9)

For the purpose of calculating the basic annual contribution of a group entity, the total liabilities to be considered should not include the liabilities arisen from any contract which that group entity concluded with any other entity which is part of the same group. However, such exclusion should only be possible where each group entity is established in the Union, is included in the same consolidation on a full basis, is subject to an appropriate centralized risk evaluation, measurement and control procedures, and if there are no current or foreseen material practical or legal impediments to the prompt repayment of the relevant liabilities when due. This should prevent liabilities from being excluded from the basis of calculation of the contributions if there are no guarantees that intragroup lending exposures would be covered where the financial health of the group deteriorates. Moreover, to avoid that the exclusion of intragroup liabilities grants an advantage to group entities which benefit from this exemption, such exclusion should not allow the institutions concerned to benefit from the simplified contribution system granted to small institutions, where, following the exclusion of intragroup liabilities, an institution would qualify for the simplified system. In order to ensure a level playing field between entities which are part of a group and institutions which are members of the same IPS or are permanently affiliated to the same central body, the same treatment should apply to the latters.

| (10) | By way of derogation from the rule that the calculation of contributions should be performed at individual level, in the case of a central body with credit institutions affiliated to it that are wholly or partially exempted from prudential requirements in national law in accordance with Article 10 of Regulation (EU) No 575/2013 of the European Parliament and of the Council, the rules on ex ante contributions should only apply to the central body and the affiliated credit institutions as a whole on a consolidated basis because the solvency and liquidity of the central body and of all the affiliated institutions are monitored as a whole on the basis of consolidated accounts of these institutions. |
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(10)

By way of derogation from the rule that the calculation of contributions should be performed at individual level, in the case of a central body with credit institutions affiliated to it that are wholly or partially exempted from prudential requirements in national law in accordance with Article 10 of Regulation (EU) No 575/2013 of the European Parliament and of the Council, the rules on ex ante contributions should only apply to the central body and the affiliated credit institutions as a whole on a consolidated basis because the solvency and liquidity of the central body and of all the affiliated institutions are monitored as a whole on the basis of consolidated accounts of these institutions.

| (11) | The determination of the basic annual contribution should also be further specified in case of financial market infrastructures (FMIs). Some FMIs such as central counterparties (CCPs) or central securities depositories (CSDs) are also authorized as credit institutions. Notably some CSDs provide banking-type services which are ancillary to their activity as market infrastructures. Contrary to credit institutions, CSDs do not hold covered deposits but mostly intraday or overnight balances resulting from the settlement of the securities transactions they provide to financial institutions or central banks. Generally these do not result in cash balances which could be assimilated to funding raised in order to perform banking activities. As the banking-type services performed by FMIs are ancillary to their main activities of clearing or settlement for which those entities are subject to strict prudential requirements under Regulations (EU) No 648/2012 (5) and (EU) No 909/2014 (6) of the European Parliament and of the Council, as well as the relevant provisions under Regulation (EU) No 575/2013 and Directive 2013/36/EU, and as the business model of the FMIs does not entail risks comparable to those of a credit institution, only the liabilities related to the banking-type activities of those entities should be taken into account when determining the amount of their total liabilities for the purpose of calculating their basic annual contribution. |
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(11)

The determination of the basic annual contribution should also be further specified in case of financial market infrastructures (FMIs). Some FMIs such as central counterparties (CCPs) or central securities depositories (CSDs) are also authorized as credit institutions. Notably some CSDs provide banking-type services which are ancillary to their activity as market infrastructures. Contrary to credit institutions, CSDs do not hold covered deposits but mostly intraday or overnight balances resulting from the settlement of the securities transactions they provide to financial institutions or central banks. Generally these do not result in cash balances which could be assimilated to funding raised in order to perform banking activities. As the banking-type services performed by FMIs are ancillary to their main activities of clearing or settlement for which those entities are subject to strict prudential requirements under Regulations (EU) No 648/2012 (5) and (EU) No 909/2014 (6) of the European Parliament and of the Council, as well as the relevant provisions under Regulation (EU) No 575/2013 and Directive 2013/36/EU, and as the business model of the FMIs does not entail risks comparable to those of a credit institution, only the liabilities related to the banking-type activities of those entities should be taken into account when determining the amount of their total liabilities for the purpose of calculating their basic annual contribution.

| (12) | Accounting of derivatives is not harmonized in the Union with respect to individual accounts and therefore this could have an implication in the amount of liabilities to be considered for the calculation of the contributions of each bank. The leverage ratio methodology referred to in Article 429(6) and (7) of Regulation (EU) No 575/2013 applies to all banks and ensures that the same derivative contract, and in particular the netting between derivative contracts, will be considered in the same manner irrespective of the accounting framework to which that bank is subject. Therefore, to ensure a harmonised treatment of derivatives in the determination of the basic annual contribution allowing for the comparability of their valuation between institutions and for a level playing field across the Union, derivatives should be valued in accordance with Article 429(6) and (7) of Regulation (EU) No 575/2013. However, to ensure the predictability of the valuation of derivatives under Regulation (EU) No 575/2013, it should be foreseen that such valuation may not lead to a value which is less than 75 % of the value of the derivatives concerned under the relevant accounting framework. |
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(12)

Accounting of derivatives is not harmonized in the Union with respect to individual accounts and therefore this could have an implication in the amount of liabilities to be considered for the calculation of the contributions of each bank. The leverage ratio methodology referred to in Article 429(6) and (7) of Regulation (EU) No 575/2013 applies to all banks and ensures that the same derivative contract, and in particular the netting between derivative contracts, will be considered in the same manner irrespective of the accounting framework to which that bank is subject. Therefore, to ensure a harmonised treatment of derivatives in the determination of the basic annual contribution allowing for the comparability of their valuation between institutions and for a level playing field across the Union, derivatives should be valued in accordance with Article 429(6) and (7) of Regulation (EU) No 575/2013. However, to ensure the predictability of the valuation of derivatives under Regulation (EU) No 575/2013, it should be foreseen that such valuation may not lead to a value which is less than 75 % of the value of the derivatives concerned under the relevant accounting framework.

| (13) | Some credit institutions are promotional banks whose purpose is to advance the public policy objectives of a Member State's central or regional government, or local authority predominantly through the provision of promotional loans on a non-competitive, not for profit basis. The loans that such institutions grant are directly or indirectly partially guaranteed by the central or regional government or the local authority. Promotional loans are granted on a non-competitive, not for profit basis in order to promote public policy objectives of the Union or a Member State's central or regional government. The promotional loans are sometimes extended via another institution as intermediary (pass through loans). In such cases, the intermediary credit institution receives promotional loans from a multilateral development bank or a public sector entity and extends them to other credit institutions which would provide them to the final clients. As the intermediary credit institutions pass through liquidity of these loans from the originating promotional bank towards a lending institution or another intermediary institution, such liabilities should not be included in the total liabilities to be considered for the purpose of calculating the basic annual contribution. |
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(13)

Some credit institutions are promotional banks whose purpose is to advance the public policy objectives of a Member State's central or regional government, or local authority predominantly through the provision of promotional loans on a non-competitive, not for profit basis. The loans that such institutions grant are directly or indirectly partially guaranteed by the central or regional government or the local authority. Promotional loans are granted on a non-competitive, not for profit basis in order to promote public policy objectives of the Union or a Member State's central or regional government. The promotional loans are sometimes extended via another institution as intermediary (pass through loans). In such cases, the intermediary credit institution receives promotional loans from a multilateral development bank or a public sector entity and extends them to other credit institutions which would provide them to the final clients. As the intermediary credit institutions pass through liquidity of these loans from the originating promotional bank towards a lending institution or another intermediary institution, such liabilities should not be included in the total liabilities to be considered for the purpose of calculating the basic annual contribution.

| (14) | Article 103(1) of Directive 2014/59/EU requires all institutions to contribute to the resolution financing arrangements. However, a proportionate and fair balance needs to be found between the obligation of any institution to contribute to a resolution financing arrangement, and its size, risk profile, the scope and complexity of its activities, its interconnectedness to the other institutions or to the financial system in general, the impact of its failure on the financial markets, on other institutions, on funding conditions, or on the wider economy, and therefore the probability that an institution enters into resolution and makes use of the financing arrangement. Such elements are taken into account by the resolution authorities, pursuant to Article 4 of Directive 2014/59/EU, when deciding whether certain institutions should benefit from simplified obligations as regards the requirements to prepare recovery and resolution plans. Also, the administrative burden deriving for certain institutions and resolution authorities from the calculation of the annual contributions should be taken into account when assessing the right balance between complying with the requirements set out in Directive 2014/59/EU and the specificities of the various institutions subject to that Directive. |
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(14)

Article 103(1) of Directive 2014/59/EU requires all institutions to contribute to the resolution financing arrangements. However, a proportionate and fair balance needs to be found between the obligation of any institution to contribute to a resolution financing arrangement, and its size, risk profile, the scope and complexity of its activities, its interconnectedness to the other institutions or to the financial system in general, the impact of its failure on the financial markets, on other institutions, on funding conditions, or on the wider economy, and therefore the probability that an institution enters into resolution and makes use of the financing arrangement. Such elements are taken into account by the resolution authorities, pursuant to Article 4 of Directive 2014/59/EU, when deciding whether certain institutions should benefit from simplified obligations as regards the requirements to prepare recovery and resolution plans. Also, the administrative burden deriving for certain institutions and resolution authorities from the calculation of the annual contributions should be taken into account when assessing the right balance between complying with the requirements set out in Directive 2014/59/EU and the specificities of the various institutions subject to that Directive.

| (15) | Small institutions do not generally have a high risk profile, are often less systemically risky compared to large institutions, and, in many cases, the impact of their failure on the wider economy is lower than that of large institutions. At the same time, the potential impact of the failure of small institutions on the financial stability cannot be ruled out as even small institutions can create systemic risk because of their role in the wider banking system, the cumulative effects of their networks, or the contagion effect that they might create through the loss of confidence in the banking system. |
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(15)

Small institutions do not generally have a high risk profile, are often less systemically risky compared to large institutions, and, in many cases, the impact of their failure on the wider economy is lower than that of large institutions. At the same time, the potential impact of the failure of small institutions on the financial stability cannot be ruled out as even small institutions can create systemic risk because of their role in the wider banking system, the cumulative effects of their networks, or the contagion effect that they might create through the loss of confidence in the banking system.

| (16) | Considering that in most cases small institutions do not pose systemic risk and are less likely to be placed under resolution, which consequently decreases the likelihood that they benefit from the resolution financing arrangements, compared to large institutions, the methodology for calculating their annual contributions to the resolution financing arrangements should be simplified. The annual contributions of small institutions should consist of a lump-sum based only on their basic annual contribution, proportioned to their size. Such a methodology should allow for a proportionate system of annual contributions as, in determining the annual contribution of each institution, the resolution authority has to comply with an annual target level of the financing arrangement. Therefore, a lump-sum reflects the fact that, in many cases, small institutions are less risky and allows for a wider adjustment of the contribution of larger institutions, which are generally more systemic, in proportion to their risk profile. |
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(16)

Considering that in most cases small institutions do not pose systemic risk and are less likely to be placed under resolution, which consequently decreases the likelihood that they benefit from the resolution financing arrangements, compared to large institutions, the methodology for calculating their annual contributions to the resolution financing arrangements should be simplified. The annual contributions of small institutions should consist of a lump-sum based only on their basic annual contribution, proportioned to their size. Such a methodology should allow for a proportionate system of annual contributions as, in determining the annual contribution of each institution, the resolution authority has to comply with an annual target level of the financing arrangement. Therefore, a lump-sum reflects the fact that, in many cases, small institutions are less risky and allows for a wider adjustment of the contribution of larger institutions, which are generally more systemic, in proportion to their risk profile.

| (17) | To determine which institutions are considered small, a double threshold should be used whereby the first threshold based on total liabilities (excluding own funds) less covered deposits should be equal or less to EUR 300 million, and the second threshold based on the total assets should not exceed EUR 1 billion. The latter should prevent larger institutions which meet the first threshold related to the amount of liabilities from benefitting from the simplified system. |
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(17)

To determine which institutions are considered small, a double threshold should be used whereby the first threshold based on total liabilities (excluding own funds) less covered deposits should be equal or less to EUR 300 million, and the second threshold based on the total assets should not exceed EUR 1 billion. The latter should prevent larger institutions which meet the first threshold related to the amount of liabilities from benefitting from the simplified system.

| (18) | A distinction should be made within the category of small institutions as some are very small, while others are close to the maximum thresholds allowing them to benefit from the simplified system. Under a single lump-sum system, the annual contributions of very small institutions would be disproportionately higher than those of the small institutions which are close to reaching the maximum thresholds. At the same time, it should be avoided that the simplified system leads to a disproportionate difference in terms of annual contributions between the biggest among small institutions and the institutions which do not qualify for the simplified system as they are just above the thresholds. To avoid such unwanted effects it is therefore appropriate to foresee a system of several categories of small institutions whose annual contributions should consist of different lump sum amounts. This should allow for a progression of contributions within the simplified system, and between the highest lump sum and the lowest contribution pursuant to the method whereby the basic annual contribution is adjusted according to the risk profile of the institution. |
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(18)

A distinction should be made within the category of small institutions as some are very small, while others are close to the maximum thresholds allowing them to benefit from the simplified system. Under a single lump-sum system, the annual contributions of very small institutions would be disproportionately higher than those of the small institutions which are close to reaching the maximum thresholds. At the same time, it should be avoided that the simplified system leads to a disproportionate difference in terms of annual contributions between the biggest among small institutions and the institutions which do not qualify for the simplified system as they are just above the thresholds. To avoid such unwanted effects it is therefore appropriate to foresee a system of several categories of small institutions whose annual contributions should consist of different lump sum amounts. This should allow for a progression of contributions within the simplified system, and between the highest lump sum and the lowest contribution pursuant to the method whereby the basic annual contribution is adjusted according to the risk profile of the institution.

| (19) | Where the resolution authority determines that a small institution has a particularly high risk profile, the resolution authority should have the ability to decide that the institution concerned should no longer benefit from the simplified system, but its contribution should instead be calculated pursuant to the method whereby the basic annual contribution is adjusted according to risk factors other than the institution's size. |
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(19)

Where the resolution authority determines that a small institution has a particularly high risk profile, the resolution authority should have the ability to decide that the institution concerned should no longer benefit from the simplified system, but its contribution should instead be calculated pursuant to the method whereby the basic annual contribution is adjusted according to risk factors other than the institution's size.

| (20) | Institutions referred to in Article 45(3) of Directive 2014/59/EU will not be recapitalized through the use of the resolution financing arrangements in accordance with Articles 44 and 101 of Directive 2014/59/EU because they will be wound-up through national insolvency procedures, or other types of procedure implemented in accordance with Article 38, 40 or 42 of Directive 2014/59/EU and will cease their activities. These procedures ensure that creditors of those institutions, including holders of covered bonds where relevant, will bear the losses in a way that meets the resolution objectives. Therefore, their contributions to the resolution financing arrangements should reflect these specificities. The resolution financing arrangements could, however, be used for the other purposes referred to in Article 101 of Directive 2014/59/EU. In case any such institution uses the resolution financing arrangement for any of such purposes, the resolution authority should be able to compare the risk profile of all other institutions covered by Article 45(3) of Directive 2014/59/EU with that of the institution which used the resolution financing arrangement and apply the methodology set out this Delegated Act to those institutions which present a risk profile similar or higher than that of the institutions which used the resolution financing arrangement. It is also appropriate to establish a list of elements that the resolution authority should take into account when carrying out the comparison of risk profiles. |
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(20)

Institutions referred to in Article 45(3) of Directive 2014/59/EU will not be recapitalized through the use of the resolution financing arrangements in accordance with Articles 44 and 101 of Directive 2014/59/EU because they will be wound-up through national insolvency procedures, or other types of procedure implemented in accordance with Article 38, 40 or 42 of Directive 2014/59/EU and will cease their activities. These procedures ensure that creditors of those institutions, including holders of covered bonds where relevant, will bear the losses in a way that meets the resolution objectives. Therefore, their contributions to the resolution financing arrangements should reflect these specificities. The resolution financing arrangements could, however, be used for the other purposes referred to in Article 101 of Directive 2014/59/EU. In case any such institution uses the resolution financing arrangement for any of such purposes, the resolution authority should be able to compare the risk profile of all other institutions covered by Article 45(3) of Directive 2014/59/EU with that of the institution which used the resolution financing arrangement and apply the methodology set out this Delegated Act to those institutions which present a risk profile similar or higher than that of the institutions which used the resolution financing arrangement. It is also appropriate to establish a list of elements that the resolution authority should take into account when carrying out the comparison of risk profiles.

| (21) | In order to enable the resolution authorities of the Member States to have a harmonised interpretation of the criteria set out in Article 103(7) of Directive 2014/59/EU so that the determination of the risk indicator of institutions for the purpose of calculating the individual contributions to the resolution financing arrangements is carried out in a similar manner across the Union, a number of risk pillars, and corresponding risk indicators for each of those risk pillars, should be provided for, to be taken into account by the resolution authorities when assessing the risk profile of institutions. To ensure consistency with the supervisory practices, the risk indicators should consist of current regulatory benchmarks already available or in the course of being established. |
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(21)

In order to enable the resolution authorities of the Member States to have a harmonised interpretation of the criteria set out in Article 103(7) of Directive 2014/59/EU so that the determination of the risk indicator of institutions for the purpose of calculating the individual contributions to the resolution financing arrangements is carried out in a similar manner across the Union, a number of risk pillars, and corresponding risk indicators for each of those risk pillars, should be provided for, to be taken into account by the resolution authorities when assessing the risk profile of institutions. To ensure consistency with the supervisory practices, the risk indicators should consist of current regulatory benchmarks already available or in the course of being established.

| (22) | Where the relevant legislation provides for waivers that exempt institutions from setting some of the risk indicators at the institution's level, and provided, where applicable, that the competent authorities authorise the application of such waivers, the resolution authorities should assess the relevant indicators at consolidated level or sub-consolidated, as applicable, in order to be consistent with the supervisory practice and ensure that groups that make use of those waivers are not unduly penalized. |
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(22)

Where the relevant legislation provides for waivers that exempt institutions from setting some of the risk indicators at the institution's level, and provided, where applicable, that the competent authorities authorise the application of such waivers, the resolution authorities should assess the relevant indicators at consolidated level or sub-consolidated, as applicable, in order to be consistent with the supervisory practice and ensure that groups that make use of those waivers are not unduly penalized.

| (23) | In order to enable the resolution authorities to have a consistent approach as to the importance of the risk pillars and indicators that they should take into account for the purpose of determining the risk profile of institutions, this Regulation should also determine the relative weight of each risk pillar and indicator. It is important, however, that resolution authorities be granted enough flexibility in assessing the risk profile of institutions by being able to modulate the application of risk pillars and indicators in accordance to the specificities of each institution. As this cannot be achieved exclusively by providing for a range for assessing the risk profile, but requires a certain degree of discretion in deciding upon the importance of certain risk indicators on a case by case basis, the weight of some risk indicators should only be indicative, or a range should be set out in their respect to allow the resolution authorities to decide upon the relevance of those indicators in a given case. |
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(23)

In order to enable the resolution authorities to have a consistent approach as to the importance of the risk pillars and indicators that they should take into account for the purpose of determining the risk profile of institutions, this Regulation should also determine the relative weight of each risk pillar and indicator. It is important, however, that resolution authorities be granted enough flexibility in assessing the risk profile of institutions by being able to modulate the application of risk pillars and indicators in accordance to the specificities of each institution. As this cannot be achieved exclusively by providing for a range for assessing the risk profile, but requires a certain degree of discretion in deciding upon the importance of certain risk indicators on a case by case basis, the weight of some risk indicators should only be indicative, or a range should be set out in their respect to allow the resolution authorities to decide upon the relevance of those indicators in a given case.

| (24) | When determining the importance of the various indicators corresponding to a given pillar, aggregation within pillars should be done by means of an arithmetic weighted average of the individual indicators. As regards the calculation of final composite risk indicator corresponding to each institution, to avoid compensation effects between pillars whereby an institution performing moderately well under several pillars and very poorly under another would generally be given a middle score pursuant to an arithmetic average of the different pillars, such calculation should be based on the geometric weighted average of the individual pillars. |
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(24)

When determining the importance of the various indicators corresponding to a given pillar, aggregation within pillars should be done by means of an arithmetic weighted average of the individual indicators. As regards the calculation of final composite risk indicator corresponding to each institution, to avoid compensation effects between pillars whereby an institution performing moderately well under several pillars and very poorly under another would generally be given a middle score pursuant to an arithmetic average of the different pillars, such calculation should be based on the geometric weighted average of the individual pillars.

| (25) | The range for assessing the degree of risk posed by an institution should be such to allow for a sufficient modulation of the risk profile of institutions according to the various risk pillars and indicators set out in this Regulation, while offering at the same time enough certainty and predictability as regards the annual amounts that institutions would have to contribute pursuant to Directive 2014/59/EU and this Regulation. |
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(25)

The range for assessing the degree of risk posed by an institution should be such to allow for a sufficient modulation of the risk profile of institutions according to the various risk pillars and indicators set out in this Regulation, while offering at the same time enough certainty and predictability as regards the annual amounts that institutions would have to contribute pursuant to Directive 2014/59/EU and this Regulation.

| (26) | In order to ensure that contributions are effectively paid, it is necessary to specify the conditions and means of payment. In particular, for contributions which are not paid in cash but in irrevocable payment commitments in accordance with Article 103 of Directive 2014/59/EU, it is necessary to specify the share of irrevocable payment commitments that each institution can use and the kind of collateral which is accepted to back these irrevocable payment commitments, so as to allow the resolution authority to ensure the actual payment when executing the irrevocable payment commitment where the resolution authority encounters difficulties in executing the irrevocable payment commitment. In order to ensure that the annual contributions are effectively paid, it is necessary to provide for the specific power of resolution authorities to impose administrative penalties and other administrative measures on institutions which breach the requirements set out in this Regulation for the calculation and adjustment of the contributions such non-compliance with the obligation to provide the information requested by the resolution authority. The resolution authority should also have the power to impose a daily penalty to an institution where the institution concerned only partially pays the annual contribution which is due, or where it does not pay it, or where that institution does not comply with the requirements set out in the notification made by the resolution authority. In addition, it is necessary to provide for specific obligations of information sharing between competent authorities and resolution authorities. |
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(26)

In order to ensure that contributions are effectively paid, it is necessary to specify the conditions and means of payment. In particular, for contributions which are not paid in cash but in irrevocable payment commitments in accordance with Article 103 of Directive 2014/59/EU, it is necessary to specify the share of irrevocable payment commitments that each institution can use and the kind of collateral which is accepted to back these irrevocable payment commitments, so as to allow the resolution authority to ensure the actual payment when executing the irrevocable payment commitment where the resolution authority encounters difficulties in executing the irrevocable payment commitment. In order to ensure that the annual contributions are effectively paid, it is necessary to provide for the specific power of resolution authorities to impose administrative penalties and other administrative measures on institutions which breach the requirements set out in this Regulation for the calculation and adjustment of the contributions such non-compliance with the obligation to provide the information requested by the resolution authority. The resolution authority should also have the power to impose a daily penalty to an institution where the institution concerned only partially pays the annual contribution which is due, or where it does not pay it, or where that institution does not comply with the requirements set out in the notification made by the resolution authority. In addition, it is necessary to provide for specific obligations of information sharing between competent authorities and resolution authorities.

| (27) | In order to ensure that the risk adjustment continues to reflect developments in the banking sector and therefore meets the requirements of Directive 2014/59/EU on an ongoing basis, based on the experience gained with its application the Commission will review the risk adjustment for the calculation of the annual contributions and, in particular, the appropriateness of the risk adjustment multiplier set out in this Regulation and the need for a possible increase of the upper limit the risk adjustment multiplier before 1 June 2016. |
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(27)

In order to ensure that the risk adjustment continues to reflect developments in the banking sector and therefore meets the requirements of Directive 2014/59/EU on an ongoing basis, based on the experience gained with its application the Commission will review the risk adjustment for the calculation of the annual contributions and, in particular, the appropriateness of the risk adjustment multiplier set out in this Regulation and the need for a possible increase of the upper limit the risk adjustment multiplier before 1 June 2016.

| (28) | Since according to Article 130(1) of Directive 2014/59/EU, the obligation of Member States to raise annual contributions from institutions authorised on their territory applies from 1 January 2015, this Regulation should also apply from 1 January 2015, |
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(28)

Since according to Article 130(1) of Directive 2014/59/EU, the obligation of Member States to raise annual contributions from institutions authorised on their territory applies from 1 January 2015, this Regulation should also apply from 1 January 2015,

HAS ADOPTED THIS REGULATION:

SECTION 1

GENERAL PROVISIONS

Article 1

Subject matter

This Regulation lays down rules specifying:

| (a) | the methodology for the calculation and for the adjustment to the risk profile of institutions, of the contributions to be paid by institutions to resolution financing arrangements; |
| --- | --- |

(a)

the methodology for the calculation and for the adjustment to the risk profile of institutions, of the contributions to be paid by institutions to resolution financing arrangements;

| (b) | the obligations of institutions as regards the information to provide for the purposes of the calculation of the contributions and as regards the payment of the contributions to resolution financing arrangements; |
| --- | --- |

(b)

the obligations of institutions as regards the information to provide for the purposes of the calculation of the contributions and as regards the payment of the contributions to resolution financing arrangements;

| (c) | the measures to ensure the verification by the resolution authorities that the contributions have been paid correctly. |
| --- | --- |

(c)

the measures to ensure the verification by the resolution authorities that the contributions have been paid correctly.

Article 2

Scope

1.   This Regulation applies to the institutions referred to in Article 103(1) of Directive 2014/59/EU and defined in Article 2(1)(23). It also applies to a central body and its affiliated institutions on a consolidated basis, where the affiliated institutions are wholly or partially exempted from prudential requirements in national law in accordance with Article 10 of Regulation (EU) No 575/2013.

2.   Any reference to a group should include a central body and all credit institutions permanently affiliated to the central body as referred to in Article 10 of Regulation (EU) No 575/2013 and their subsidiaries.

Article 3

Definitions

For the purposes of this Regulation, the definitions contained in Directive 2014/49/EU of the European Parliament and of the Council (7) and Directive 2014/59/EU shall apply. For the purpose of this Regulation, the following definitions shall also apply:

7

| (1) | ‘institutions’ means credit institutions, as defined in point (2) of Article 2(1) of Directive 2014/59/EU, or investment firms as defined in point (2) of this Article, as well as a central body and all credit institutions permanently affiliated to the central body as referred to in Article 10 of Regulation (EU) No 575/2013 as a whole on a consolidated basis, where the conditions provided for in Article 2(1) are met; |
| --- | --- |

(1)

‘institutions’ means credit institutions, as defined in point (2) of Article 2(1) of Directive 2014/59/EU, or investment firms as defined in point (2) of this Article, as well as a central body and all credit institutions permanently affiliated to the central body as referred to in Article 10 of Regulation (EU) No 575/2013 as a whole on a consolidated basis, where the conditions provided for in Article 2(1) are met;

| (2) | ‘investment firms’ means investment firms as defined in point (3) of Article 2(1) of Directive 2014/59/EU, excluding investment firms which fall within the definition of Article 96(1)(a) or (b) of Regulation (EU) No 575/2013 or investment firms which carry out activity 8 of Annex I Section A of Directive 2004/39/EC of the European Parliament and of the Council (8) but which do not carry out activities 3 or 6 of Annex I Section A of that Directive; |
| --- | --- |

(2)

‘investment firms’ means investment firms as defined in point (3) of Article 2(1) of Directive 2014/59/EU, excluding investment firms which fall within the definition of Article 96(1)(a) or (b) of Regulation (EU) No 575/2013 or investment firms which carry out activity 8 of Annex I Section A of Directive 2004/39/EC of the European Parliament and of the Council (8) but which do not carry out activities 3 or 6 of Annex I Section A of that Directive;

8

| (3) | ‘annual target level’ means the total amount of annual contributions determined for each contribution period by the resolution authority to reach the target level referred to in Article 102(1) of Directive 2014/59/EU; |
| --- | --- |

(3)

‘annual target level’ means the total amount of annual contributions determined for each contribution period by the resolution authority to reach the target level referred to in Article 102(1) of Directive 2014/59/EU;

| (4) | ‘financing arrangement’ means an arrangement for the purpose of ensuring the effective application by the resolution authority of the resolution tools and powers as referred to in Article 100(1) of Directive 2014/59/EU; |
| --- | --- |

(4)

‘financing arrangement’ means an arrangement for the purpose of ensuring the effective application by the resolution authority of the resolution tools and powers as referred to in Article 100(1) of Directive 2014/59/EU;

| (5) | ‘annual contribution’ means the amount referred to in Article 103 of Directive 2014/59/EU raised by the resolution authority for the national financing arrangement during the contribution period from each of the institutions referred to in Article 2 of this Regulation; |
| --- | --- |

(5)

‘annual contribution’ means the amount referred to in Article 103 of Directive 2014/59/EU raised by the resolution authority for the national financing arrangement during the contribution period from each of the institutions referred to in Article 2 of this Regulation;

| (6) | ‘contribution period’ means a calendar year; |
| --- | --- |

(6)

‘contribution period’ means a calendar year;

| (7) | ‘resolution authority’ means the authority referred to in point (18) of Article 2(1) of Directive 2014/59/EU, or any other relevant authority appointed by the Member States for the purposes of Article 100(2) and (6) of Directive 2014/59/EU; |
| --- | --- |

(7)

‘resolution authority’ means the authority referred to in point (18) of Article 2(1) of Directive 2014/59/EU, or any other relevant authority appointed by the Member States for the purposes of Article 100(2) and (6) of Directive 2014/59/EU;

| (8) | ‘competent authority’ means a competent authority as defined in Article 4(1)(40) of Regulation (EU) No 575/2013; |
| --- | --- |

(8)

‘competent authority’ means a competent authority as defined in Article 4(1)(40) of Regulation (EU) No 575/2013;

| (9) | ‘deposit guarantee schemes’ (DGS) means schemes referred to in point (a), (b), or (c) of Article 1(2) of Directive 2014/49/EU; |
| --- | --- |

(9)

‘deposit guarantee schemes’ (DGS) means schemes referred to in point (a), (b), or (c) of Article 1(2) of Directive 2014/49/EU;

| (10) | ‘covered deposits’ means the deposits referred to in Article 6(1) of Directive 2014/49/EU, excluding temporary high balances as defined in Article 6(2) of that Directive; |
| --- | --- |

(10)

‘covered deposits’ means the deposits referred to in Article 6(1) of Directive 2014/49/EU, excluding temporary high balances as defined in Article 6(2) of that Directive;

| (11) | ‘total liabilities’ means total liabilities as defined in Section 3 of Council Directive 86/635/EEC (9), or as defined in accordance with the International Financial Reporting Standards referred to in Regulation (EC) No 1606/2002 of the European Parliament and of the Council (10); |
| --- | --- |

(11)

‘total liabilities’ means total liabilities as defined in Section 3 of Council Directive 86/635/EEC (9), or as defined in accordance with the International Financial Reporting Standards referred to in Regulation (EC) No 1606/2002 of the European Parliament and of the Council (10);

9

10

| (12) | ‘total assets’ means total assets as defined in Section 3 of Directive 86/635/EEC, or defined in accordance with the International Financial Reporting Standards referred to in Regulation (EC) No 1606/2002; |
| --- | --- |

(12)

‘total assets’ means total assets as defined in Section 3 of Directive 86/635/EEC, or defined in accordance with the International Financial Reporting Standards referred to in Regulation (EC) No 1606/2002;

| (13) | ‘Total Risk Exposure’ (TRE) means the total risk exposure amount as defined in Article 92(3) of Regulation (EU) No 575/2013; |
| --- | --- |

(13)

‘Total Risk Exposure’ (TRE) means the total risk exposure amount as defined in Article 92(3) of Regulation (EU) No 575/2013;

| (14) | ‘Common Equity Tier 1 Capital Ratio’ means the ratio as referred to in Article 92(2)(a) of Regulation (EU) No 575/2013; |
| --- | --- |

(14)

‘Common Equity Tier 1 Capital Ratio’ means the ratio as referred to in Article 92(2)(a) of Regulation (EU) No 575/2013;

| (15) | ‘MREL’ means the minimum requirement for own funds and eligible liabilities as defined in Article 45(1) of Directive 2014/59/EU; |
| --- | --- |

(15)

‘MREL’ means the minimum requirement for own funds and eligible liabilities as defined in Article 45(1) of Directive 2014/59/EU;

| (16) | ‘own funds’ means own funds as defined in point (118) of Article 4(1) of Regulation (EU) No 575/2013; |
| --- | --- |

(16)

‘own funds’ means own funds as defined in point (118) of Article 4(1) of Regulation (EU) No 575/2013;

| (17) | ‘eligible liabilities’ means liabilities and capital instruments as defined in point (71) of Article 2(1) of Directive 2014/59/EU; |
| --- | --- |

(17)

‘eligible liabilities’ means liabilities and capital instruments as defined in point (71) of Article 2(1) of Directive 2014/59/EU;

| (18) | ‘Leverage Ratio’ means leverage ratio as defined in Article 429 of Regulation (EU) No 575/2013; |
| --- | --- |

(18)

‘Leverage Ratio’ means leverage ratio as defined in Article 429 of Regulation (EU) No 575/2013;

| (19) | ‘Liquidity Coverage Ratio’ (LCR) means a liquidity coverage ratio as defined in Article 412 of Regulation (EU) No 575/2013 and further specified in Commission Delegated Regulation (EU) 2015/61 (11); |
| --- | --- |

(19)

‘Liquidity Coverage Ratio’ (LCR) means a liquidity coverage ratio as defined in Article 412 of Regulation (EU) No 575/2013 and further specified in Commission Delegated Regulation (EU) 2015/61 (11);

11

| (20) | ‘Net Stable Funding Ratio’ (NSFR) means a net stable funding ratio as reported in accordance with Article 415 of Regulation (EU) No 575/2013; |
| --- | --- |

(20)

‘Net Stable Funding Ratio’ (NSFR) means a net stable funding ratio as reported in accordance with Article 415 of Regulation (EU) No 575/2013;

| (21) | ‘central counterparty’ (CCP) means a legal person as defined in Article 2(1) of Regulation (EU) No 648/2012; |
| --- | --- |

(21)

‘central counterparty’ (CCP) means a legal person as defined in Article 2(1) of Regulation (EU) No 648/2012;

| (22) | ‘derivatives’ means derivatives according to Annex II of Regulation (EU) No 575/2013; |
| --- | --- |

(22)

‘derivatives’ means derivatives according to Annex II of Regulation (EU) No 575/2013;

| (23) | ‘central securities depository’ (CSD) means a legal person as defined in point (1) of Article 2(1) and in Article 54 of Regulation (EU) No 909/2014 of the European Parliament and of the Council (12); |
| --- | --- |

(23)

‘central securities depository’ (CSD) means a legal person as defined in point (1) of Article 2(1) and in Article 54 of Regulation (EU) No 909/2014 of the European Parliament and of the Council (12);

12

| (24) | ‘settlement’ means the completion of a securities transaction as defined in point (2) of Article 2(1) of Regulation (EU) No 909/2014; |
| --- | --- |

(24)

‘settlement’ means the completion of a securities transaction as defined in point (2) of Article 2(1) of Regulation (EU) No 909/2014;

| (25) | ‘clearing’ means the process of establishing positions as defined in Article 2(3) of Regulation (EU) No 648/2012; |
| --- | --- |

(25)

‘clearing’ means the process of establishing positions as defined in Article 2(3) of Regulation (EU) No 648/2012;

| (26) | ‘financial market infrastructure’ means, for the purpose of this Regulation, a CCP as referred to in point 21 of this Article or a CSD as referred to in point 23 of this Article that are authorised as institutions in accordance with Article 8 of Directive 2013/36/EU; |
| --- | --- |

(26)

‘financial market infrastructure’ means, for the purpose of this Regulation, a CCP as referred to in point 21 of this Article or a CSD as referred to in point 23 of this Article that are authorised as institutions in accordance with Article 8 of Directive 2013/36/EU;

| (27) | ‘promotional bank’ means any undertaking or entity set up by a Member State, central or regional government, which grants promotional loans on a non-competitive, not for profit basis in order to promote that government's public policy objectives, provided that that government has an obligation to protect the economic basis of the undertaking or entity and maintain its viability throughout its lifetime, or that at least 90 % of its original funding or the promotional loan it grants is directly or indirectly guaranteed by the Member State's central or regional government; |
| --- | --- |

(27)

‘promotional bank’ means any undertaking or entity set up by a Member State, central or regional government, which grants promotional loans on a non-competitive, not for profit basis in order to promote that government's public policy objectives, provided that that government has an obligation to protect the economic basis of the undertaking or entity and maintain its viability throughout its lifetime, or that at least 90 % of its original funding or the promotional loan it grants is directly or indirectly guaranteed by the Member State's central or regional government;

| (28) | ‘promotional loan’ means a loan granted by a promotional bank or through an intermediate bank on a non-competitive, non for profit basis, in order to promote the public policy objectives of central or regional governments in a Member State; |
| --- | --- |

(28)

‘promotional loan’ means a loan granted by a promotional bank or through an intermediate bank on a non-competitive, non for profit basis, in order to promote the public policy objectives of central or regional governments in a Member State;

| (29) | ‘intermediary institution’ means a credit institution which intermediates promotional loans provided that it does not give them as credit to a final customer. |
| --- | --- |

(29)

‘intermediary institution’ means a credit institution which intermediates promotional loans provided that it does not give them as credit to a final customer.

SECTION 2

METHODOLOGY

Article 4

Determination of the annual contributions

1.   The resolution authorities shall determine the annual contributions to be paid by each institution in proportion to its risk profile on the basis of information provided by the institution in accordance with Article 14 and by applying the methodology set out in this Section.

2.   The resolution authority shall determine the annual contribution referred to in paragraph 1 on the basis of the annual target level of the resolution financing arrangement by taking into account the target level to be reached by 31 December 2024 in accordance with paragraph 1 of Article 102 of Directive 2014/59/EU and on the basis of the average amount of covered deposits in the previous year, calculated quarterly, of all the institutions authorized in its territory.

Article 5

Risk adjustment of the basic annual contribution

1.   The contributions referred to in Article 103(2) of Directive 2014/59/EU shall be calculated by excluding the following liabilities:

| (a) | the intragroup liabilities arising from transactions entered into by an institution with an institution which is part of the same group, provided that all the following conditions are met:






  (i) | each institution is established in the Union; |
| --- | --- | --- |

(a)

the intragroup liabilities arising from transactions entered into by an institution with an institution which is part of the same group, provided that all the following conditions are met:

(i)

each institution is established in the Union;

| (ii) | each institution is included in the same consolidated supervision in accordance with Articles 6 to 17 of Regulation (EU) No 575/2013 on a full basis and is subject to an appropriate centralised risk evaluation, measurement and control procedures; and |
| --- | --- |

(ii)

each institution is included in the same consolidated supervision in accordance with Articles 6 to 17 of Regulation (EU) No 575/2013 on a full basis and is subject to an appropriate centralised risk evaluation, measurement and control procedures; and

| (iii) | there is no current or foreseen material practical or legal impediment to the prompt repayment of the liability when due; |
| --- | --- |

(iii)

there is no current or foreseen material practical or legal impediment to the prompt repayment of the liability when due;

| (b) | the liabilities created by an institution, which is member of an IPS as referred to in point (8) of Article 2(1) of Directive 2014/59/EU and which has been allowed by the competent authority to apply Article 113(7) of Regulation (EU) No 575/2013, through an agreement entered into with another institution which is member of the same IPS; |
| --- | --- |

(b)

the liabilities created by an institution, which is member of an IPS as referred to in point (8) of Article 2(1) of Directive 2014/59/EU and which has been allowed by the competent authority to apply Article 113(7) of Regulation (EU) No 575/2013, through an agreement entered into with another institution which is member of the same IPS;

| (c) | in the case of a central counterparty established in a Member State having availed itself of the option in Article 14(5) of Regulation (EU) No 648/2012, liabilities related to clearing activities as defined in Article 2(3) of that Regulation, including those arising from any measures the central counterparty takes to meet margin requirements, to set up a default fund and to maintain sufficient pre-funded financial resources to cover potential losses as part of the default waterfall in accordance with that Regulation, as well as to invest its financial resources in accordance with Article 47 of that Regulation; |
| --- | --- |

(c)

in the case of a central counterparty established in a Member State having availed itself of the option in Article 14(5) of Regulation (EU) No 648/2012, liabilities related to clearing activities as defined in Article 2(3) of that Regulation, including those arising from any measures the central counterparty takes to meet margin requirements, to set up a default fund and to maintain sufficient pre-funded financial resources to cover potential losses as part of the default waterfall in accordance with that Regulation, as well as to invest its financial resources in accordance with Article 47 of that Regulation;

| (d) | in the case of a central securities depository, the liabilities related to the activities of a central securities depository, including liabilities to participants or service providers of the central securities depository with a maturity of less than seven days arising from activities for which it has obtained an authorisation to provide banking-type ancillary services in accordance with Title IV of Regulation (EU) No 909/2014, but excluding other liabilities arising from such banking-type activities; |
| --- | --- |

(d)

in the case of a central securities depository, the liabilities related to the activities of a central securities depository, including liabilities to participants or service providers of the central securities depository with a maturity of less than seven days arising from activities for which it has obtained an authorisation to provide banking-type ancillary services in accordance with Title IV of Regulation (EU) No 909/2014, but excluding other liabilities arising from such banking-type activities;

| (e) | in the case of investment firms, the liabilities that arise by virtue of holding client assets or client money including client assets or client money held on behalf of UCITS as defined in Article 1(2) of Directive 2009/65/EC of the European Parliament and of the Council (13) or of AIFs as defined in point (a) of Article 4(1) of Directive 2011/61/EU of the European Parliament and of the Council (14), provided that such a client is protected under the applicable insolvency law; |
| --- | --- |

(e)

in the case of investment firms, the liabilities that arise by virtue of holding client assets or client money including client assets or client money held on behalf of UCITS as defined in Article 1(2) of Directive 2009/65/EC of the European Parliament and of the Council (13) or of AIFs as defined in point (a) of Article 4(1) of Directive 2011/61/EU of the European Parliament and of the Council (14), provided that such a client is protected under the applicable insolvency law;

| (f) | in case of institutions operating promotional loans, the liabilities of the intermediary institution towards the originating or another promotional bank or another intermediary institution and the liabilities of the original promotional bank towards its funding parties in so far as the amount of these liabilities is matched by the promotional loans of that institution. |
| --- | --- |

(f)

in case of institutions operating promotional loans, the liabilities of the intermediary institution towards the originating or another promotional bank or another intermediary institution and the liabilities of the original promotional bank towards its funding parties in so far as the amount of these liabilities is matched by the promotional loans of that institution.

2.   The liabilities referred to in paragraph 1(a) and (b) shall be evenly deducted on a transaction by transaction basis from the amount of total liabilities of the institutions which are parties of the transactions or agreements referred to in paragraph 1(a) and (b).

3.   For the purpose of this Section, the yearly average amount, calculated on a quarterly basis, of liabilities referred to in paragraph 1 arising from derivative contracts shall be valued in accordance with Article 429(6) and (7) of Regulation (EU) No 575/2013.

However, the value assigned to liabilities arising from derivative contracts may not be less than 75 % of the value of the same liabilities resulting from the application of the accounting provisions applicable to the institution concerned for the purposes of financial reporting.

If, under national accounting standards applying to an institution, there is no accounting measure of exposure for certain derivative instruments because they are held off-balance sheet, the institution shall report to the resolution authority the sum of positive fair values of those derivatives as the replacement cost and add them to its on-balance sheet accounting values.

4.   For the purpose of this Section, the total liabilities referred to in paragraph 1 shall exclude the accounting value of liabilities arising from derivative contracts and include the corresponding value determined in accordance with paragraph 3.

5.   For verifying whether all conditions and requirements referred to in paragraphs 1 to 4 are met, the resolution authority shall be based on the relevant assessments conducted by competent authorities that are made available in accordance with Article 90 of Directive 2014/59/EU.

Article 6

Risk pillars and indicators

1.   The resolution authority shall assess the risk profile of institutions on the basis of the following four risk pillars:

| (a) | Risk exposure; |
| --- | --- |

(a)

Risk exposure;

| (b) | Stability and variety of sources of funding; |
| --- | --- |

(b)

Stability and variety of sources of funding;

| (c) | Importance of an institution to the stability of the financial system or economy; |
| --- | --- |

(c)

Importance of an institution to the stability of the financial system or economy;

| (d) | Additional risk indicators to be determined by the resolution authority. |
| --- | --- |

(d)

Additional risk indicators to be determined by the resolution authority.

2.   The ‘Risk exposure’ pillar shall consist of the following risk indicators:

| (a) | Own funds and eligible liabilities held by the institution in excess of MREL; |
| --- | --- |

(a)

Own funds and eligible liabilities held by the institution in excess of MREL;

| (b) | Leverage Ratio; |
| --- | --- |

(b)

Leverage Ratio;

| (c) | Common Equity Tier 1 Capital Ratio; |
| --- | --- |

(c)

Common Equity Tier 1 Capital Ratio;

| (d) | Total Risk Exposure divided by Total Assets. |
| --- | --- |

(d)

Total Risk Exposure divided by Total Assets.

3.   The ‘Stability and variety of sources of funding’ pillar shall consist of the following risk indicators:

| (a) | Net Stable Funding Ratio; |
| --- | --- |

(a)

Net Stable Funding Ratio;

| (b) | LCR. |
| --- | --- |

(b)

LCR.

4.   The ‘Importance of an institution to the stability of the financial system or economy’ pillar shall consist of the indicator ‘Share of interbank loans and deposits in the European Union, capturing the importance of the institution to the economy of the Member State of establishment’.

5.   The ‘Additional risk indicators to be determined by the resolution authority’ pillar shall consist of the following indicators:

| (a) | Trading activities, off-balance sheet exposures, derivatives, complexity and resolvability; |
| --- | --- |

(a)

Trading activities, off-balance sheet exposures, derivatives, complexity and resolvability;

| (b) | Membership in an Institutional Protection Scheme; |
| --- | --- |

(b)

Membership in an Institutional Protection Scheme;

| (c) | Extent of previous extraordinary public financial support. |
| --- | --- |

(c)

Extent of previous extraordinary public financial support.

When determining the various risk indicators in the ‘Additional risk indicators to be determined by the resolution authority’ pillar, the resolution authority shall take into account the importance of those indicators in the light of the probability that the institution concerned would enter resolution and of the consequent probability of making use of the resolution financing arrangement where the institution would be resolved.

6.   When determining the indicators ‘Trading activities, off-balance sheet exposures, derivatives, complexity and resolvability’ referred to in paragraph 5(a), the resolution authority shall take into account the following elements:

| (a) | The increase in the risk profile of the institution due to:






  (i) | the importance of trading activities relative to the balance sheet size, the level of own funds, the riskiness of the exposures, and the overall business model; |
| --- | --- | --- |

(a)

The increase in the risk profile of the institution due to:

(i)

the importance of trading activities relative to the balance sheet size, the level of own funds, the riskiness of the exposures, and the overall business model;

| (ii) | the importance of the off-balance sheet exposures relative to the balance sheet size, the level of own funds, and the riskiness of the exposures; |
| --- | --- |

(ii)

the importance of the off-balance sheet exposures relative to the balance sheet size, the level of own funds, and the riskiness of the exposures;

| (iii) | the importance of the amount of derivatives relative to the balance sheet size, the level of own funds, the riskiness of the exposures, and the overall business model; |
| --- | --- |

(iii)

the importance of the amount of derivatives relative to the balance sheet size, the level of own funds, the riskiness of the exposures, and the overall business model;

| (iv) | the extent to which in accordance with Chapter II of Title II of Directive 2014/59/EU the business model and organizational structure of an institution are deemed complex. |
| --- | --- |

(iv)

the extent to which in accordance with Chapter II of Title II of Directive 2014/59/EU the business model and organizational structure of an institution are deemed complex.

| (b) | The decrease of the risk profile of the institution due to:






  (i) | relative amount of derivatives which are cleared through a central counterparty (CCP); |
| --- | --- | --- |

(b)

The decrease of the risk profile of the institution due to:

(i)

relative amount of derivatives which are cleared through a central counterparty (CCP);

| (ii) | the extent to which in accordance with Chapter II of Title II of Directive 2014/59/EU an institution can be resolved promptly and without legal impediments. |
| --- | --- |

(ii)

the extent to which in accordance with Chapter II of Title II of Directive 2014/59/EU an institution can be resolved promptly and without legal impediments.

7.   When determining the indicator referred to in paragraph 5(b), the resolution authority shall take into account the following elements:

| (a) | whether the amount of funds which are available without delay for both recapitalisation and liquidity funding purposes in order to support the affected institution in case of problems is sufficiently large to allow for a credible and effective support of that institution; |
| --- | --- |

(a)

whether the amount of funds which are available without delay for both recapitalisation and liquidity funding purposes in order to support the affected institution in case of problems is sufficiently large to allow for a credible and effective support of that institution;

| (b) | the degree of legal or contractual certainty that the funds referred to in point (a) will be fully utilized before any extraordinary public support may be requested. |
| --- | --- |

(b)

the degree of legal or contractual certainty that the funds referred to in point (a) will be fully utilized before any extraordinary public support may be requested.

8.   The risk indicator referred to in paragraph 5(c) shall take the maximum value of the range referred to in Step 3 of Annex I for:

| (a) | any institution that is part of a group that has been put under restructuring after receiving any State or equivalent funds such as from a resolution financing arrangement, and is still within the restructuring or winding down period, except for the last 2 years of implementation of the restructuring plan; |
| --- | --- |

(a)

any institution that is part of a group that has been put under restructuring after receiving any State or equivalent funds such as from a resolution financing arrangement, and is still within the restructuring or winding down period, except for the last 2 years of implementation of the restructuring plan;

| (b) | any institution that is liquidated, until the end of the liquidation plan (to the extent that it is still liable to pay the contribution). |
| --- | --- |

(b)

any institution that is liquidated, until the end of the liquidation plan (to the extent that it is still liable to pay the contribution).

It shall take the minimum value of the range referred to in Step 3 of Annex I for all other institutions.

9.   For the purposes of paragraphs 6, 7 and 8, the resolution authority shall be based on the assessments conducted by competent authorities where available.

Article 7

Relative weight of each risk pillar and indicator

1.   When assessing the risk profile of each institution the resolution authority shall apply the following weights to the risk pillars:

| (a) | Risk exposure: 50 %; |
| --- | --- |

(a)

Risk exposure: 50 %;

| (b) | Stability and variety of sources of funding: 20 %; |
| --- | --- |

(b)

Stability and variety of sources of funding: 20 %;

| (c) | Importance of an institution to the stability of the financial system or economy: 10 %; |
| --- | --- |

(c)

Importance of an institution to the stability of the financial system or economy: 10 %;

| (d) | Additional risk indicators to be determined by the resolution authority: 20 %. |
| --- | --- |

(d)

Additional risk indicators to be determined by the resolution authority: 20 %.

2.   The relative weight of the risk indicators that resolution authorities shall assess to determine the ‘Risk exposure’ pillar shall be the following:

| (a) | Own funds and eligible liabilities held by the institution in excess of MREL: 25 %; |
| --- | --- |

(a)

Own funds and eligible liabilities held by the institution in excess of MREL: 25 %;

| (b) | Leverage Ratio: 25 %; |
| --- | --- |

(b)

Leverage Ratio: 25 %;

| (c) | Common Equity Tier 1 Capital Ratio: 25 %; |
| --- | --- |

(c)

Common Equity Tier 1 Capital Ratio: 25 %;

| (d) | Total Risk Exposure divided by Total Assets: 25 %. |
| --- | --- |

(d)

Total Risk Exposure divided by Total Assets: 25 %.

3.   Each risk indicator in the ‘Stability and variety of sources of funding’ pillar shall have an equal weight.

4.   The relative weight of each indicator that resolution authorities shall assess to determine the ‘Additional risk indicators to be determined by the resolution authority’ pillar shall be the following:

| (a) | Trading activities and off-balance sheet exposures, derivatives, complexity and resolvability: 45 %; |
| --- | --- |

(a)

Trading activities and off-balance sheet exposures, derivatives, complexity and resolvability: 45 %;

| (b) | Membership in an Institutional Protection Scheme: 45 %; |
| --- | --- |

(b)

Membership in an Institutional Protection Scheme: 45 %;

| (c) | Extent of previous extraordinary public financial support: 10 %. |
| --- | --- |

(c)

Extent of previous extraordinary public financial support: 10 %.

When applying the indicator referred to in point (b), the resolution authority shall take into account the relative weight of the indicator referred to in point (a).

Article 8

Application of the risk indicators in specific cases

1.   Where a competent authority has granted a waiver to an institution in accordance with Articles 8 and 21 of Regulation (EU) No 575/2013, the indicator referred to in Article 6(3)(b) of this Regulation shall be applied by the resolution authority at the level of the liquidity sub-group. The score obtained by that indicator at the liquidity sub-group level shall be attributed to each institution which is part of the liquidity sub-group for the purposes of calculating that institution's risk indicator.

2.   Where the competent authority has fully waived the application of capital requirements to an institution at individual level pursuant to Article 7(1) of Regulation (EU) No 575/2013 and the resolution authority has also fully waived the application at individual level to the same institution of the MREL in accordance with Article 45(12) of Directive 2014/59/EU, the indicator referred to in Article 6(2)(a) of this Regulation may be calculated at consolidated level. The score obtained by that indicator at consolidated level shall be attributed to each institution which is part of the group for the purposes of calculating that institution's risk indicator.

3.   Where a competent authority has granted a waiver to an institution in other circumstances defined in Regulation (EU) No 575/2013, the relevant indicators may be calculated at consolidated level. The score obtained by those indicators at consolidated level shall be attributed to each institution which is part of the group for the purposes of calculating that institution's risk indicators.

Article 9

Application of the risk adjustment to the basic annual contribution

1.   The resolution authority shall determine the additional risk adjusting multiplier for each institution by combining the risk indicators referred to in Article 6 in accordance with the formula and the procedures set out in Annex I.

2.   Without prejudice to Article 10, the annual contribution of each institution shall be determined for each contribution period by the resolution authority by multiplying the basic annual contribution by the additional risk adjusting multiplier in accordance with the formula and the procedures set out in Annex I.

3.   The risk adjusting multiplier shall range between 0,8 and 1,5.

Article 10

Annual contributions of small institutions

1.   Institutions whose total liabilities, less own funds and covered deposits, are equal to or less than EUR 50 000 000, and whose total assets are less than EUR 1 000 000 000, shall pay a lump-sum of EUR 1 000 as annual contribution for each contribution period.

2.   Institutions whose total liabilities, less own funds and covered deposits, are above EUR 50 000 000 but equal to or less than EUR 100 000 000, and whose total assets are less than EUR 1 000 000 000, shall pay a lump-sum of EUR 2 000 as annual contribution for each contribution period.

3.   Institutions whose total liabilities, less own funds and covered deposits, are above EUR 100 000 000 but equal to or less than EUR 150 000 000, and whose total assets are less than EUR 1 000 000 000, shall pay a lump-sum of EUR 7 000 as annual contribution for each contribution period.

4.   Institutions whose total liabilities, less own funds and covered deposits, are above EUR 150 000 000 but equal to or less than EUR 200 000 000, and whose total assets are less than EUR 1 000 000 000, shall pay a lump-sum of EUR 15 000 as annual contribution for each contribution period.

5.   Institutions whose total liabilities, less own funds and covered deposits, are above EUR 200 000 000 but equal to or less than EUR 250 000 000, and whose total assets are less than EUR 1 000 000 000, shall pay a lump-sum of EUR 26 000 as annual contribution for each contribution period.

6.   Institutions whose total liabilities, minus own funds and covered deposits, are above EUR 250 000 000 but equal to or less than EUR 300 000 000, and whose total assets are less than EUR 1 000 000 000, shall pay a lump-sum of EUR 50 000 as annual contribution for each contribution period.

7.   Without prejudice to paragraph 8, if the institution provides sufficient evidence that the lump sum amount referred to in paragraphs 1 to 6 is higher than the contribution calculated in accordance with Article 5, the resolution authority shall apply the lower.

8.   Notwithstanding paragraphs 1 to 6, a resolution authority may adopt a reasoned decision determining that an institution has a risk profile that is disproportionate to its small size and apply Articles 5, 6, 7, 8 and 9 to that institution. That decision shall be based on the following criteria:

| (a) | the business model of an institution; |
| --- | --- |

(a)

the business model of an institution;

| (b) | the information reported by that institution pursuant to Article 14; |
| --- | --- |

(b)

the information reported by that institution pursuant to Article 14;

| (c) | the risk pillars and indicators referred to in Article 6; |
| --- | --- |

(c)

the risk pillars and indicators referred to in Article 6;

| (d) | the assessment of the competent authority as regards the risk profile of that institution. |
| --- | --- |

(d)

the assessment of the competent authority as regards the risk profile of that institution.

9.   Paragraphs 1 to 8 shall not apply to those institutions whose total liabilities, less own funds and covered deposits are equal to or less than EUR 300 000 000 after the liabilities referred to in Article 5(1) have been excluded.

10.   The exclusions referred to Article 5(1) shall not be taken into account when applying paragraphs 1 to 9 to institutions whose total liabilities, less own funds and covered deposits are equal to or less than EUR 300 000 000 before the liabilities referred to in Article 5(1) have been excluded.

Article 11

Annual contributions of institutions covered by Article 45(3) of Directive 2014/59/EU

1.   Without prejudice to Article 10, the annual contributions of institutions referred to in Article 45(3) of Directive 2014/59/EU shall be calculated in accordance with Article 9 using 50 % of their basic annual contribution.

2.   In case the resolution financing arrangement is used with regard to an institution referred to in Article 45(3) of Directive 2014/59/EU in a Member State for any of the purposes referred to in Article 101 of Directive 2014/59/EU, the resolution authority may adopt a reasoned decision determining that Articles 5, 6, 7, 8 and 9 apply to those institutions which have a risk profile that is similar or above the risk profile of the institution which has used the resolution financing arrangement for any of the purposes referred to in Article 101 of Directive 2014/59/EU. The determination of the similarity of the risk profile by the resolution authority for the purpose of its reasoned decision shall take into account all of the following elements:

| (a) | the business model of that institution; |
| --- | --- |

(a)

the business model of that institution;

| (b) | the information reported by that institution pursuant to Article 14; |
| --- | --- |

(b)

the information reported by that institution pursuant to Article 14;

| (c) | the risk pillars and indicators referred to in Article 6; |
| --- | --- |

(c)

the risk pillars and indicators referred to in Article 6;

| (d) | the assessment of the competent authority as regards the risk profile of that institution. |
| --- | --- |

(d)

the assessment of the competent authority as regards the risk profile of that institution.

Article 12

New supervised institutions or change of status

1.   Where an institution is a newly supervised institution for only part of a contribution period, the partial contribution shall be determined by applying the methodology set out in Section 3 to the amount of its annual contribution calculated during the subsequent contribution period by reference to the number of full months of the contribution period for which the institution is supervised.

2.   A change of status of an institution, including a small institution, during the contribution period shall not have an effect on the annual contribution to be paid in that particular year.

Article 13

Process for raising annual contributions

1.   The resolution authority shall notify each institution referred to in Article 2 of its decision determining the annual contribution due by each institution at the latest by 1 May each year.

2.   The resolution authority shall notify the decision in any of the following ways:

| (a) | electronically or by other comparable means of communication allowing for an acknowledgment of receipt; |
| --- | --- |

(a)

electronically or by other comparable means of communication allowing for an acknowledgment of receipt;

| (b) | by registered mail with a form of acknowledgment of receipt. |
| --- | --- |

(b)

by registered mail with a form of acknowledgment of receipt.

3.   The decision shall specify the condition and the means by which the annual contribution shall be paid and the share of irrevocable payment commitments referred to in Article 103 of Directive 2014/59/EU that each institution can use. The resolution authority shall accept collateral only of the kind and under conditions that allow for swift realisability including in the event of a resolution decision over the weekend. The collateral should be conservatively valued to reflect significantly deteriorated market conditions.

4.   Without prejudice to any other remedy available to the resolution authority, in the event of partial payment, non-payment or non-compliance with the requirement set out in the decision, the institution concerned shall incur a daily penalty on the outstanding amount of the instalment.

The daily penalty interest shall accrue on a daily basis on the amount due at an interest rate applied by the European Central Bank to its principal refinancing operations, as published in the C series of the Official Journal of the European Union, in force on the first calendar day of the month in which the payment deadline falls increased by 8 percentage points from the date on which the instalment was due.

5.   Where an institution is a newly supervised institution for only part of a contribution period, its partial annual contribution shall be collected together with the annual contribution due for the subsequent contribution period.

SECTION 3

ADMINISTRATIVE ASPECTS AND PENALTIES

Article 14

Reporting obligations of institutions

1.   Institutions shall provide the resolution authority with the latest approved annual financial statements available before the 31st of December of the year preceding the contribution period, together with the opinion submitted by the statutory auditor or audit firm, in accordance with Article 32 of Directive 2013/34/EU of the European Parliament and of the Council (15).

2.   Institutions shall provide the resolution authority at least with the information referred to in Annex II at individual entity level.

3.   The information in Annex II, included in the supervisory reporting requirements laid down by Commission Implementing Regulation (EU) No 680/2014 (16) or, where applicable, by any other supervisory reporting requirement applicable to the institution under national law, shall be provided to the resolution authority as reported by the institution in the latest relevant supervisory report submitted to the competent authority pertaining to the reference year of the annual financial statement referred to in paragraph 1.

4.   The information referred to in paragraphs 1, 2 and 3 shall be provided at the latest by 31 January each year in respect of the year ended on the 31st of December of the preceding year, or of the applicable relevant financial year. If the 31st of January is not a business day, the information shall be provided on the following business day.

5.   Where the information or data submitted to the resolution authorities is subject to updates or corrections, such updates or correction shall be submitted to the resolution authorities without undue delay.

6.   The institutions shall submit the information referred to in Annex II in the data formats and representations specified by the resolution authority.

7.   The information provided in accordance with paragraphs 2 and 3 shall be subject to the confidentiality and professional secrecy requirements set out in Article 84 of Directive 2014/59/EU.

Article 15

Obligation of resolution authorities to exchange information

1.   For the purpose of calculating the denominator provided for in the risk pillar referred to in Article 7(1)(c), by 15 February each year, resolution authorities shall provide the European Banking Authority (EBA) with the information received from all institutions established in their territory related to interbank liabilities and deposits referred to in Annex I at aggregate level.

2.   by 1 March each year, the EBA shall communicate to each resolution authority the value of the denominator of the risk pillar referred to in Article 7(1)(c).

Article 16

Reporting obligations of deposit guarantee schemes

1.   By 31 January each year, deposit guarantee schemes shall provide resolution authorities with the calculation of the average amount of covered deposits in the previous year, calculated quarterly, of all their member credit institutions.

2.   This information shall be provided both at individual and aggregated level of the credit institutions concerned in order to enable the resolution authorities to determine the annual target level of the resolution financing arrangement in accordance with Article 4(2) and to determine the basic annual contribution of each institution in accordance with Article 5.

Article 17

Enforcement

1.   Where institutions do not submit all the information referred in Article 14 within the timeframe foreseen in that Article, the resolution authority shall use estimates or its own assumptions in order to calculate the annual contribution of the institution concerned.

2.   Where the information is not provided by 31 January each year, the resolution authority may assign the institution concerned to the highest risk adjusting multiplier as referred to in Article 9.

3.   Where the information submitted by the institutions to the resolution authority is subject to restatements or revisions, the resolution authority shall adjust the annual contribution in accordance with the updated information upon the calculation of the annual contribution of that institution for the following contribution period.

4.   Any difference between the annual contribution calculated and paid on the basis of the information subject to restatements or revision and the annual contribution which should have been paid following the adjustment of the annual contribution shall be settled in the amount of the annual contribution due for the following contribution period. That adjustment shall be made by decreasing or increasing the contributions to the following contribution period.

Article 18

Administrative penalties and other administrative measures

The resolution authorities may impose administrative penalties and other administrative measures referred to in Article 110 of Directive 2014/59/EU to the persons or entities responsible for breaches of this Regulation.

SECTION 4

COOPERATION ARRANGEMENTS

Article 19

Cooperation arrangements

1.   In order to ensure that the contributions are in fact paid the competent authorities shall assist the resolution authorities in carrying out any task under this Regulation if the latter so request.

2.   Upon request, the competent authorities shall provide the resolution authorities with the contact details of the institutions to which the decision referred to in paragraph 1 of Article 13 shall be notified at the latest by 1 April each year or on the following business day if the 1st of April is not a business day. Such contact details refer to name of the legal person, name of the natural person representing the legal person, address, e-mail address, telephone number, fax number or any other information that allows identifying an institution.

3.   The competent authorities shall provide the resolution authorities any information enabling the resolution authorities to calculate the annual contributions, in particular any information related to the additional risk adjustment and any relevant waivers that competent authorities have granted to institutions pursuant to Directive 2013/36/EU and Regulation (EU) No 575/2013.

SECTION 5

FINAL PROVISIONS

Article 20

Transitional provisions

1.   Where the information required by a specific indicator as referred to in Annex II is not included in the applicable supervisory reporting requirement referred to in Article 14 for the reference year, that risk indicator shall not apply until that supervisory reporting requirement becomes applicable. The weight of other available risk indicators shall be rescaled proportionally to their weight as provided for in Article 7 so that the sum of their weights is 1. In 2015 where any of the information required in Article 16 is not available to the deposit guarantee scheme by 31 January for the purposes of the calculation the annual target level referred to in Article 4(2) or of the basic annual contribution of each institution referred to in Article 5, following a notification by the deposit guarantee scheme, the relevant credit institutions shall provide the resolution authorities with that information by that date. By way of derogation from Article 13(1), with regards to the contributions to be paid in 2015, the resolution authorities shall notify each institution of its decision determining the annual contribution to be paid by them at the latest by 30 November 2015.

2.   By way of derogation from Article 13(4), and with regards to the contributions to be paid in 2015, the amount due under the decision referred to in Article 13(3) shall be paid by 31 December 2015.

3.   By way of derogation from Article 14(4), and with regards to the information to be provided to the resolution authority in 2015, the information referred to in that paragraph shall be provided at the latest by the 1 September 2015.

4.   By way of derogation from Article 16(1), the deposit guarantee schemes shall provide the resolution authority by 1 September 2015 with the information about the amount of covered deposits as of 31 July 2015.

5.   Until the end of the initial period referred to in Article 69(1) of Regulation EU (No) 806/2014/EU, Member States may allow institutions whose total liabilities, less own funds and covered deposits, are above EUR 300 000 000, and whose total assets are equal or less than EUR 3 000 000 000, to pay a lump-sum of EUR 50 000 for the first EUR 300 000 000 of total liabilities, less own funds and covered deposits. For the total liabilities less own funds and covered deposits above EUR 300 000 000, those institutions shall contribute in accordance with Articles 4 to 9 of this Regulation.

Article 21

Entry into force

This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.

Official Journal of the European Union

It shall apply from 1 January 2015.

This Regulation shall be binding in its entirety and directly applicable in all Member States.

Done at Brussels, 21 October 2014.

For the Commission

The President

José Manuel BARROSO

---

(1)  
  OJ L 173, 12.6.2014, p. 190.

1

(2)  Directive 2013/36/EU of the European Parliament and of the Council of 26 June 2013 on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms, amending Directive 2002/87/EC and repealing Directives 2006/48/EC and 2006/49/EC (OJ L 176, 27.6.2013, p. 338).

2

(3)  Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (OJ L 176, 27.6.2013, p. 1).

3

(4)  Regulation (EU) No 806/2014 of the European Parliament and of the Council of 15 July 2014 establishing uniform rules and a uniform procedure for the resolution of credit institutions and certain investment firms in the framework of a Single Resolution Mechanism and a Single Resolution Fund and amending Regulation (EU) No 1093/2010 (OJ L 225, 30.7.2014, p. 1).

4

(5)  Regulation (EU) No 648/2012 of the European Parliament and of the Council of 4 July 2012 on OTC derivatives, central counterparties and trade repositories (OJ L 201, 27.7.2012, p. 1).

5

(6)  Regulation (EU) No 909/2014 of the European Parliament and of the Council of 23 July 2014 on improving securities settlement in the European Union and on central securities depositories and amending Directives 98/26/EC and 2014/65/EU and Regulation (EU) No 236/2012 (OJ L 257, 28.8.2014, p. 1).

6

(7)  Directive 2014/49/EU of the European Parliament and of the Council of 16 April 2014 on deposit guarantee schemes (OJ L 173, 12.6.2014, p. 149).

7

(8)  Directive 2004/39/EC of the European Parliament and of the Council of 21 April 2004 on markets in financial instruments amending Council Directives 85/611/EEC and 93/6/EEC and Directive 2000/12/EC of the European Parliament and of the Council and repealing Council Directive 93/22/EEC (OJ L 145, 30.4.2004, p. 1).

8

(9)  Council Directive 86/635/EEC of 8 December 1986 on the annual accounts and consolidated accounts of banks and other financial institutions (OJ L 372, 31.12.1986, p. 1).

9

(10)  Regulation (EC) No 1606/2002 of the European Parliament and of the Council of 19 July 2002 on the application of international accounting standards (OJ L 243, 11.9.2002, p. 1).

10

(11)  Commission Delegated Regulation (EU) 2015/61 of 10 October 2014 to supplement Regulation (EU) 575/2013 with regard to liquidity coverage requirement for Credit Institutions (see page 1 of this Official Journal).

11

(12)  Regulation (EU) No 909/2014 of the European Parliament and of the Council of 23 July 2014 on improving securities settlement in the European Union and on central securities depositories and amending Directives 98/26/EC and 2014/65/EU and Regulation (EU) No 236/2012 (OJ L 257, 28.8.2014, p. 1).

12

(13)  Directive 2009/65/EC of the European Parliament and of the Council of 13 July 2009 on the coordination of laws, regulations and administrative provisions relating to undertakings for collective investment in transferable securities (UCITS) (OJ L 302, 17.11.2009, p. 32).

13

(14)  Directive 2011/61/EU of the European Parliament and of the Council of 8 June 2011 on Alternative Investment Fund Managers and amending Directives 2003/41/EC and 2009/65/EC and Regulations (EC) No 1060/2009 and (EU) No 1095/2010 (OJ L 174, 1.7.2011, p. 1).

14

(15)  Directive 2013/34/EU of the European Parliament and of the Council of 26 June 2013 on the annual financial statements, consolidated financial statements and related reports of certain types of undertakings, amending Directive 2006/43/EC of the European Parliament and of the Council and repealing Council Directives 78/660/EEC and 83/349/EEC (OJ L 182, 29.6.2013, p. 19).

15

(16)  Commission Implementing Regulation (EU) No 680/2014 of 16 April 2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (OJ L 191, 28.6.2014, p. 1).

16

---

ANNEX I

PROCEDURE FOR THE CALCULATION OF THE ANNUAL CONTRIBUTIONS OF INSTITUTIONS

STEP 1

Calculation of the Raw Indicators

The resolution authority shall calculate the following indicators by applying the following measures:

| Pillar | Indicator | Measures |
| --- | --- | --- |
| Risk exposure | Own funds and eligible liabilities held by the institution in excess of MREL | Where, for the purpose of this indicator: | Own funds shall mean the sum of Tier 1 and Tier 2 Capital in accordance with the definition in point (118) of Article 4(1) of Regulation (EU) No 575/2013. |

Pillar

Indicator

Measures

Risk exposure

Own funds and eligible liabilities held by the institution in excess of MREL

Formula

Where, for the purpose of this indicator:

Own funds shall mean the sum of Tier 1 and Tier 2 Capital in accordance with the definition in point (118) of Article 4(1) of Regulation (EU) No 575/2013.

| | Eligible liabilities are the sum of the liabilities referred to in point (71) of Article 2(1) of Directive 2014/59/EU. |
| --- | --- |

Eligible liabilities are the sum of the liabilities referred to in point (71) of Article 2(1) of Directive 2014/59/EU.

| | Total liabilities as defined in Article 3(11) of this Regulation. Derivative liabilities shall be included in the total liabilities on the basis that full recognition is given to counterparty netting rights. |
| --- | --- |

Total liabilities as defined in Article 3(11) of this Regulation. Derivative liabilities shall be included in the total liabilities on the basis that full recognition is given to counterparty netting rights.

| | MREL shall mean the minimum requirement for own funds and eligible liabilities as defined in Article 45(1) of Directive 2014/59/EU. |
| --- | --- |

MREL shall mean the minimum requirement for own funds and eligible liabilities as defined in Article 45(1) of Directive 2014/59/EU.

Risk exposure

Leverage Ratio

Leverage Ratio as defined in Article 429 of Regulation (EU) No 575/2013 and reported in accordance with Annex X of Commission Implementing Regulation (EU) No 680/2014.

Risk exposure

Common Equity Tier 1 Capital Ratio

Common Equity Tier 1 Capital Ratio as defined in Article 92 of Regulation (EU) No 575/2013 and reported in accordance with Annex I of Commission Implementing Regulation (EU) No 680/2014.

Risk exposure

TRE/Total Assets

Formula

where:

| | TRE means the total risk exposure amount as defined in Article 92(3) of Regulation (EU) No 575/2013. |
| --- | --- |

TRE means the total risk exposure amount as defined in Article 92(3) of Regulation (EU) No 575/2013.

| | Total assets are defined in Article 3(12) of this Regulation. |
| --- | --- |

Total assets are defined in Article 3(12) of this Regulation.

Stability and Variety of Funding

Net Stable Funding Ratio

Net Stable Funding Ratio as reported in accordance with Article 415 of Regulation (EU) No 575/2013.

Stability and Variety of Funding

Liquidity Coverage Ratio

Liquidity Coverage Ratio as reported in accordance with Article 415 of Regulation (EU) No 575/2013 and with the Commission Delegated Regulation (EU) 2015/61.

Importance of an institution to the stability of the financial system or economy

Share of interbank loans and deposits in the EU

Formula

where:

| | Interbank loans are defined as the sum of the carrying amounts of loans and advances to credit institutions and other financial corporations as determined for the purpose of template number 4.1, 4.2, 4.3 and 4.4 of Annex III of Commission Implementing Regulation (EU) No 680/2014. |
| --- | --- |

Interbank loans are defined as the sum of the carrying amounts of loans and advances to credit institutions and other financial corporations as determined for the purpose of template number 4.1, 4.2, 4.3 and 4.4 of Annex III of Commission Implementing Regulation (EU) No 680/2014.

| | Interbank deposits are defined as the carrying amount of the deposits of credit institutions and other financial corporations as determined for the purpose of template number 8.1 of Annex III of Commission Implementing Regulation (EU) No 680/2014. |
| --- | --- |

Interbank deposits are defined as the carrying amount of the deposits of credit institutions and other financial corporations as determined for the purpose of template number 8.1 of Annex III of Commission Implementing Regulation (EU) No 680/2014.

| | Total interbank loans and deposits in the EU are the sum of the aggregate interbank loans and deposits held by institutions in each Member State as calculated in accordance with Article 15. |
| --- | --- |

Total interbank loans and deposits in the EU are the sum of the aggregate interbank loans and deposits held by institutions in each Member State as calculated in accordance with Article 15.

STEP 2

Discretization of the Indicators

| 1. | In the notation that follows, n indexes institutions, i indexes indicators within pillars and j indexes pillars. |
| --- | --- |

1.

| 2. | For each raw indicator resulting from Step 1, xij
  , except for the indicator ‘extent of previous extraordinary public financial support’, the resolution authority shall calculate the number of bins, kij
  , as the nearest integer to:



  ,
  where:

  N is the number of institutions, contributing to the resolution financing arrangement, for which the indicator is calculated;



  ;



  ;



  . |
| --- | --- |

2.

Formula
  ,

where:

N is the number of institutions, contributing to the resolution financing arrangement, for which the indicator is calculated;

Formula
  ;

Formula
  ;

Formula
  .

| 3. | For each indicator, except for the indicator ‘extent of previous extraordinary public financial support’, the resolution authority shall assign the same number of institutions to each bin, starting by assigning institutions with the lowest values of the raw indicator to the first bin. In case the number of institutions cannot be exactly divided by the number of bins, each of the first r bins, starting from the bin containing the institutions with the lowest values of the raw indicator, where r is the remainder of the division of the number of institutions, N, by the number of bins, kij
  , is assigned one additional institution. |
| --- | --- |

3.

| 4. | For each indicator, except for the indicator ‘extent of previous extraordinary public financial support’, the resolution authority shall assign to all the institutions contained in a given bin the value of the order of the bin, counting from the left to the right, so that the value of the discretized indicator is defined as Iij,n
  = 1, ..., kij
  . |
| --- | --- |

4.

| 5. | This Step shall apply to the indicators listed under points (a) and (b) of Article 6(5) only if the resolution authority determines them as continuous variables. |
| --- | --- |

5.

STEP 3

Rescaling of the Indicators

The resolution authority shall rescale each indicator resulting from Step 2, Iij
  , over the range 1-1 000 by applying the following formula:

Image 1
  ,

where the arguments of the minimum and the maximum functions shall be the values of all institutions, contributing to the resolution financing arrangement, for which the indicator is calculated.

STEP 4

Inclusion of the Assigned Sign

| 1. | The resolution authority shall apply the following signs to the indicators:







  Pillar | Indicator | Sign |
| --- | --- | --- | --- |
| Risk exposure | Own funds and eligible liabilities held by the institution in excess of the MREL | – |
| Risk exposure | Leverage Ratio | – |
| Risk exposure | Common Equity Tier 1 Capital Ratio | – |
| Risk exposure | TRE/Total Assets | + |
| Stability and Variety of Funding | Net Stable Funding Ratio | – |
| Stability and Variety of Funding | Liquidity Coverage Ratio | – |
| Importance of an institution to the stability of the financial system or economy | Share of interbank loans and deposits in the EU | + |
| Additional risk indicators to be determined by the resolution authority | IPS Membership | – |
| Additional risk indicators to be determined by the resolution authority | Extent of previous extraordinary public financial support | + |

1.

Pillar

Indicator

Sign

Risk exposure

Own funds and eligible liabilities held by the institution in excess of the MREL

–

Risk exposure

Leverage Ratio

–

Risk exposure

Common Equity Tier 1 Capital Ratio

–

Risk exposure

TRE/Total Assets

+

Stability and Variety of Funding

Net Stable Funding Ratio

–

Stability and Variety of Funding

Liquidity Coverage Ratio

–

Importance of an institution to the stability of the financial system or economy

Share of interbank loans and deposits in the EU

+

Additional risk indicators to be determined by the resolution authority

IPS Membership

–

Additional risk indicators to be determined by the resolution authority

Extent of previous extraordinary public financial support

+

For indicators with positive sign, higher values correspond to higher riskiness of an institution. For indicators with negative sign, higher values correspond to lower riskiness of an institution.

The resolution authority shall determine the indicators trading activities, off-balance sheet exposures, derivatives, complexity and resolvability, and specify their sign accordingly.

| 2. | The resolution authority shall apply the following transformation to each rescaled indicator resulting from Step 3, RIij,n
  , in order to include its sign:








  TRIij,n
  = | RIij,n | if sign = ‘–’ |
| --- | --- | --- | --- |
| 1 001 – RIij,n | if sign = ‘+’ |

2.

TRIij,n
  =

RIij,n

if sign = ‘–’

1 001 – RIij,n

if sign = ‘+’

STEP 5

Calculation of the Composite Indicator

| 1. | The resolution authority shall aggregate the indicators i within each pillar j through a weighted arithmetic average by applying the following formula:



  ,
  where: | wij
  is the weight of indicator i in pillar j as defined by Article 7; |
| --- | --- | --- |

1.

Formula
  ,

where:

wij
  is the weight of indicator i in pillar j as defined by Article 7;

| | Nj
  is the number of indicators within pillar j. |
| --- | --- |

Nj
  is the number of indicators within pillar j.

| 2. | In order to compute the composite indicator, the resolution authority shall aggregate the pillars j through a weighted geometric average by applying the following formula:



  ,
  where: | Wj
  is the weight of pillar j as defined by Article 7; |
| --- | --- | --- |

2.

Formula
  ,

where:

Wj
  is the weight of pillar j as defined by Article 7;

| | J is the number of pillars. |
| --- | --- |

J is the number of pillars.

| 3. | The resolution authority shall apply the following transformation in order for the final composite indicator to be defined as taking higher values for institutions with higher risk profiles:



  . |
| --- | --- |

3.

Formula
  .

STEP 6

Calculation of the Annual Contributions

| 1. | The resolution authority shall rescale the final composite indicator resulting from Step 5, FCIn
  , over the range defined in Article 9 by applying the following formula:



  ,
  where the arguments of the minimum and the maximum functions shall be the values of all institutions, contributing to the resolution financing arrangement, for which the final composite indicator is calculated. |
| --- | --- |

1.

Image 2
  ,

where the arguments of the minimum and the maximum functions shall be the values of all institutions, contributing to the resolution financing arrangement, for which the final composite indicator is calculated.

| 2. | The resolution authority shall compute the annual contribution of each institution n, except in respect of institutions which are subject to Article 10 and except for the lump-sum portion of the contributions of institutions to which Member States apply Article 20(5), as:



  ,
  where: | p, q index institutions; |
| --- | --- | --- |

2.

Image 3
  ,

where:

p, q index institutions;

| | Target is the annual target level as determined by the resolution authority in accordance with Article 4(2), minus the sum of the contributions calculated in accordance with Article 10 and minus the sum of any lump sum that may be paid under Article 20(5); |
| --- | --- |

Target is the annual target level as determined by the resolution authority in accordance with Article 4(2), minus the sum of the contributions calculated in accordance with Article 10 and minus the sum of any lump sum that may be paid under Article 20(5);

| | Bn
  is the amount of liabilities (excluding own funds) less covered deposits of institution n, as adjusted in accordance with Article 5 and without prejudice to the application of Article 20(5). |
| --- | --- |

Bn
  is the amount of liabilities (excluding own funds) less covered deposits of institution n, as adjusted in accordance with Article 5 and without prejudice to the application of Article 20(5).

---

ANNEX II

DATA TO BE SUBMITTED TO THE RESOLUTION AUTHORITIES

| — | Total Assets as defined in Article 3(12) |
| --- | --- |

—

Total Assets as defined in Article 3(12)

| — | Total Liabilities as defined in Article 3(11) |
| --- | --- |

—

Total Liabilities as defined in Article 3(11)

| — | Liabilities covered by points (a), (b), (c), (d), (e) and (f) of Article 5(1) |
| --- | --- |

—

Liabilities covered by points (a), (b), (c), (d), (e) and (f) of Article 5(1)

| — | Liabilities arising from derivatives contracts |
| --- | --- |

—

Liabilities arising from derivatives contracts

| — | Liabilities arising from derivatives contracts valued in accordance with Article 5(3) |
| --- | --- |

—

Liabilities arising from derivatives contracts valued in accordance with Article 5(3)

| — | Covered deposits |
| --- | --- |

—

Covered deposits

| — | Total Risk Exposure |
| --- | --- |

—

Total Risk Exposure

| — | Own funds |
| --- | --- |

—

Own funds

| — | Common Equity Tier 1 Capital Ratio |
| --- | --- |

—

Common Equity Tier 1 Capital Ratio

| — | Eligible liabilities |
| --- | --- |

—

Eligible liabilities

| — | Leverage Ratio |
| --- | --- |

—

Leverage Ratio

| — | Liquidity Coverage Ratio |
| --- | --- |

—

Liquidity Coverage Ratio

| — | Net Stable Funding Ratio |
| --- | --- |

—

Net Stable Funding Ratio

| — | Interbank loans |
| --- | --- |

—

Interbank loans

| — | Interbank deposits |
| --- | --- |

—

Interbank deposits

---

| 17.1.2015 | EN | Official Journal of the European Union | L 11/65 |
| --- | --- | --- | --- |

17.1.2015

EN

Official Journal of the European Union

L 11/65

---

COMMISSION IMPLEMENTING REGULATION (EU) 2015/64

of 16 January 2015

amending for the 224th time Council Regulation (EC) No 881/2002 imposing certain specific restrictive measures directed against certain persons and entities associated with the Al-Qaeda network

THE EUROPEAN COMMISSION,

Having regard to the Treaty on the Functioning of the European Union,

Having regard to Council Regulation (EC) No 881/2002 of 27 May 2002 imposing certain specific restrictive measures directed against certain persons and entities associated with the Al-Qaeda network (1) and in particular Articles 7(1)(a) and 7a(5) thereof,

Whereas:

| (1) | Annex I to Regulation (EC) No 881/2002 lists the persons, groups and entities covered by the freezing of funds and economic resources under that Regulation. |
| --- | --- |

(1)

Annex I to Regulation (EC) No 881/2002 lists the persons, groups and entities covered by the freezing of funds and economic resources under that Regulation.

| (2) | On 2 January 2015, the Sanctions Committee of the United Nations Security Council (UNSC) decided to remove two persons from its list of persons, groups and entities to whom the freezing of funds and economic resources should apply. Moreover, on 24 November, 12 and 30 December 2014, the Sanctions Committee of the UNSC decided to amend seven entries on its list. |
| --- | --- |

(2)

On 2 January 2015, the Sanctions Committee of the United Nations Security Council (UNSC) decided to remove two persons from its list of persons, groups and entities to whom the freezing of funds and economic resources should apply. Moreover, on 24 November, 12 and 30 December 2014, the Sanctions Committee of the UNSC decided to amend seven entries on its list.

| (3) | Annex I to Regulation (EC) No 881/2002 should therefore be updated accordingly, |
| --- | --- |

(3)

Annex I to Regulation (EC) No 881/2002 should therefore be updated accordingly,

HAS ADOPTED THIS REGULATION:

Article 1

Annex I to Regulation (EC) No 881/2002 is amended in accordance with the Annex to this Regulation.

Article 2

This Regulation shall enter into force on the day following that of its publication in the Official Journal of the European Union.

This Regulation shall be binding in its entirety and directly applicable in all Member States.

Done at Brussels, 16 January 2015.

For the Commission,

On behalf of the President,

Head of the Service for Foreign Policy Instruments

---

(1)  
  OJ L 139, 29.5.2002, p. 9.

1

---

ANNEX

Annex I to Regulation (EC) No 881/2002 is amended as follows:

| (1) | The following entries under the heading ‘Natural persons’ are deleted:






  (a) | ‘Ismail Mohamed Ismail Abu Shaweesh. Date of birth: 10.3.1977. Place of birth: Benghazi, Libya. Nationaility: Stateless Palestinian. Passport No: (a) 0003684 (Egyptian travel document), (b) 981354 (Egyptian passport). Other information: (a) In detention since 22.5.2005. (b) His brother is Yasser Mohamed Ismail Abu Shaweesh. Date of designation referred to in Article 2a(4)(b): 2.8.2006.’ |
| --- | --- | --- |

(1)

The following entries under the heading ‘Natural persons’ are deleted:

(a)

‘Ismail Mohamed Ismail Abu Shaweesh. Date of birth: 10.3.1977. Place of birth: Benghazi, Libya. Nationaility: Stateless Palestinian. Passport No: (a) 0003684 (Egyptian travel document), (b) 981354 (Egyptian passport). Other information: (a) In detention since 22.5.2005. (b) His brother is Yasser Mohamed Ismail Abu Shaweesh. Date of designation referred to in Article 2a(4)(b): 2.8.2006.’

| (b) | ‘Aqeel Abdulaziz Aqeel Al-Aqeel (alias (a) Aqeel Abdulaziz Al-Aqil, (b) Ageel Abdulaziz A. Alageel). Address: Saudi Arabia (as at April 2009). Date of birth: 29.4.1949. Place of birth: Uneizah, Saudi Arabia. Nationality: Saudi Arabian. Passport No: (a) C 1415363 (issued on 21.5.2000 (16/2/1421H); (b) E 839024 (issued on 3.1.2004, expired on 8.11.2008). Other information: In detention in Saudi Arabia as at November 2010. Date of designation referred to in Article 2a(4)(b): 6.7.2004
  ’

  . |
| --- | --- |

(b)

‘Aqeel Abdulaziz Aqeel Al-Aqeel (alias (a) Aqeel Abdulaziz Al-Aqil, (b) Ageel Abdulaziz A. Alageel). Address: Saudi Arabia (as at April 2009). Date of birth: 29.4.1949. Place of birth: Uneizah, Saudi Arabia. Nationality: Saudi Arabian. Passport No: (a) C 1415363 (issued on 21.5.2000 (16/2/1421H); (b) E 839024 (issued on 3.1.2004, expired on 8.11.2008). Other information: In detention in Saudi Arabia as at November 2010. Date of designation referred to in Article 2a(4)(b): 6.7.2004
  ’

| (2) | The entry ‘Doku Khamatovich Umarov (alias Умаров Доку Хаматович). Date of birth: 12.5.1964. Place of birth: Kharsenoy Village, Shatoyskiy (Sovetskiy) District, Chechenskaya Respublika, Russian Federation. Nationality: (a) Russian, (b) USSR (until 1991). Other information: (a) Resides in the Russian Federation as at November 2010; (b) International arrest warrant issued in the year 2000, (c) Reportedly deceased as of April 2014. Date of designation referred to in Article 2a(4)(b): 10.3.2011.’ under the heading ‘Natural persons’ is replaced by the following:

  ‘Doku Khamatovich Umarov (alias (a) Умаров Доку Хаматович, (b) Lom-ali Butayev (Butaev). Date of birth: (a) 13.4.1964, (b) 13.4.1965, (c) 12.5.1964, (d) 1955. Place of birth: Kharsenoy Village, Shatoyskiy (Sovetskiy) District, Chechenskaya Respublika, Russian Federation. Nationality: (a) Russian, (b) USSR (until 1991). Passport No: 96 03 464086 (Russian passport number issued on 1.6.2003). Other information: Physical description: 180 cm tall, dark hair, 7-9 cm-long scar on the face, part of the tongue is missing, has a speech defect. Resides in the Russian Federation as at November 2010. International arrest warrant issued in the year 2000. Reportedly deceased as of April 2014. Interpol Special Notice contains biometric information. Date of designation referred to in Article 2a(4)(b): 10.3.2011.’ |
| --- | --- |

(2)

The entry ‘Doku Khamatovich Umarov (alias Умаров Доку Хаматович). Date of birth: 12.5.1964. Place of birth: Kharsenoy Village, Shatoyskiy (Sovetskiy) District, Chechenskaya Respublika, Russian Federation. Nationality: (a) Russian, (b) USSR (until 1991). Other information: (a) Resides in the Russian Federation as at November 2010; (b) International arrest warrant issued in the year 2000, (c) Reportedly deceased as of April 2014. Date of designation referred to in Article 2a(4)(b): 10.3.2011.’ under the heading ‘Natural persons’ is replaced by the following:

‘Doku Khamatovich Umarov (alias (a) Умаров Доку Хаматович, (b) Lom-ali Butayev (Butaev). Date of birth: (a) 13.4.1964, (b) 13.4.1965, (c) 12.5.1964, (d) 1955. Place of birth: Kharsenoy Village, Shatoyskiy (Sovetskiy) District, Chechenskaya Respublika, Russian Federation. Nationality: (a) Russian, (b) USSR (until 1991). Passport No: 96 03 464086 (Russian passport number issued on 1.6.2003). Other information: Physical description: 180 cm tall, dark hair, 7-9 cm-long scar on the face, part of the tongue is missing, has a speech defect. Resides in the Russian Federation as at November 2010. International arrest warrant issued in the year 2000. Reportedly deceased as of April 2014. Interpol Special Notice contains biometric information. Date of designation referred to in Article 2a(4)(b): 10.3.2011.’

| (3) | The entry ‘Aris Munandar. Date of birth: (a) 1.1.1971, (b) between 1962 and 1968. Place of birth: Sambi, Boyolali, Java, Indonesia.’ under the heading ‘Natural persons’ is replaced by the following:

  ‘Aris Munandar. Date of birth: (a) 1.1.1971, (b) between 1962 and 1968. Place of birth: Sambi, Boyolali, Java, Indonesia. Nationality: Indonesian (as at December 2003). Other information: At large as at December 2003.’ |
| --- | --- |

(3)

The entry ‘Aris Munandar. Date of birth: (a) 1.1.1971, (b) between 1962 and 1968. Place of birth: Sambi, Boyolali, Java, Indonesia.’ under the heading ‘Natural persons’ is replaced by the following:

‘Aris Munandar. Date of birth: (a) 1.1.1971, (b) between 1962 and 1968. Place of birth: Sambi, Boyolali, Java, Indonesia. Nationality: Indonesian (as at December 2003). Other information: At large as at December 2003.’

| (4) | The entry ‘Yassin Sywal (alias (a) Salim Yasin, (b) Mochtar Yasin Mahmud, (c) Abdul Hadi Yasin, (d) Muhamad Mubarok, (e) Muhammad Syawal, (f) Abu Seta, (g) Mahmud, (h) Abu Muamar); date of birth: approximately 1972; nationality: Indonesian.’ under the heading ‘Natural persons’ is replaced by the following:

  ‘Yassin Syawal (alias (a) Salim Yasin, (b) Yasin Mahmud Mochtar, (c) Abdul Hadi Yasin, (d) Muhamad Mubarok, (e) Muhammad Syawal, (f) Yassin Sywal, (g) Abu Seta, (h) Mahmud, (i) Abu Muamar, (j) Mubarok). Date of birth: Approximately 1972. Nationality: Indonesian. Other information: At large as at December 2003.’ |
| --- | --- |

(4)

The entry ‘Yassin Sywal (alias (a) Salim Yasin, (b) Mochtar Yasin Mahmud, (c) Abdul Hadi Yasin, (d) Muhamad Mubarok, (e) Muhammad Syawal, (f) Abu Seta, (g) Mahmud, (h) Abu Muamar); date of birth: approximately 1972; nationality: Indonesian.’ under the heading ‘Natural persons’ is replaced by the following:

‘Yassin Syawal (alias (a) Salim Yasin, (b) Yasin Mahmud Mochtar, (c) Abdul Hadi Yasin, (d) Muhamad Mubarok, (e) Muhammad Syawal, (f) Yassin Sywal, (g) Abu Seta, (h) Mahmud, (i) Abu Muamar, (j) Mubarok). Date of birth: Approximately 1972. Nationality: Indonesian. Other information: At large as at December 2003.’

| (5) | The entry ‘Mohamed Ben Belgacem Ben Abdallah Al-Aouadi (alias(a) Mohamed Ben Belkacem Aouadi, (b) Fathi Hannachi). Address: (a) 23, 50th Steet, Zehrouni, Tunis, Tunisia. Date of birth: 11.12.1974. Place of birth: Tunis, Tunisia. Nationality: Tunisian. Passport No: L191609 (Tunisian passport issued on 28.2.1996 which expired on 27.2.2001). National identification No: 04643632 issued on 18.6.1999. Other information: (a) Italian fiscal code: DAOMMD74T11Z352Z, (b) Mother's name is Ourida Bint Mohamed, (c) Deported from Italy to Tunisia on 1.12.2004. Date of designation referred to in Article 2a(4)(b): 24.4.2002.’ under the heading ‘Natural persons’ is replaced by the following:

  ‘Mohamed Ben Belgacem Ben Abdallah Al-Aouadi (alias (a) Mohamed Ben Belkacem Aouadi, (b) Fathi Hannachi.) Date of birth: 11.12.1974. Place of birth: Tunis, Tunisia. Nationality: Tunisian. Passport No: (a) L 191609 (Tunisian passport number issued on 28.2.1996, expired on 27.2.2001), (b) 04643632 (Tunisian passport number issued on 18 June 1999), (c) DAOMMD74T11Z352Z (Italian Fiscal Code). Address: 50th Street, Number 23, Zehrouni, Tunis, Tunisia. Other information: (a) Head of security wing of Ansar al-Shari'a in Tunisia (AAS-T), (b) Mother's name is Ourida Bint Mohamed. (c) Deported from Italy to Tunisia on 1 December 2004. (d) Arrested in Tunisia in August 2013. Date of designation referred to in Article 2a(4)(b): 24.4.2002.’ |
| --- | --- |

(5)

The entry ‘Mohamed Ben Belgacem Ben Abdallah Al-Aouadi (alias(a) Mohamed Ben Belkacem Aouadi, (b) Fathi Hannachi). Address: (a) 23, 50th Steet, Zehrouni, Tunis, Tunisia. Date of birth: 11.12.1974. Place of birth: Tunis, Tunisia. Nationality: Tunisian. Passport No: L191609 (Tunisian passport issued on 28.2.1996 which expired on 27.2.2001). National identification No: 04643632 issued on 18.6.1999. Other information: (a) Italian fiscal code: DAOMMD74T11Z352Z, (b) Mother's name is Ourida Bint Mohamed, (c) Deported from Italy to Tunisia on 1.12.2004. Date of designation referred to in Article 2a(4)(b): 24.4.2002.’ under the heading ‘Natural persons’ is replaced by the following:

‘Mohamed Ben Belgacem Ben Abdallah Al-Aouadi (alias (a) Mohamed Ben Belkacem Aouadi, (b) Fathi Hannachi.) Date of birth: 11.12.1974. Place of birth: Tunis, Tunisia. Nationality: Tunisian. Passport No: (a) L 191609 (Tunisian passport number issued on 28.2.1996, expired on 27.2.2001), (b) 04643632 (Tunisian passport number issued on 18 June 1999), (c) DAOMMD74T11Z352Z (Italian Fiscal Code). Address: 50th Street, Number 23, Zehrouni, Tunis, Tunisia. Other information: (a) Head of security wing of Ansar al-Shari'a in Tunisia (AAS-T), (b) Mother's name is Ourida Bint Mohamed. (c) Deported from Italy to Tunisia on 1 December 2004. (d) Arrested in Tunisia in August 2013. Date of designation referred to in Article 2a(4)(b): 24.4.2002.’

| (6) | The entry ‘Adel Ben Al-Azhar Ben Youssef Ben Soltane (alias Zakariya). Address: Tunisia. Date of birth: 14.7.1970. Place of birth: Tunis, Tunisia. Nationality: Tunisian. Passport No: M408665 (Tunisian passport issued on 4.10.2000 which expired on 3.10.2005). Other information: (a) Italian fiscal code: BNSDLA70L14Z352B, (b) Deported from Italy to Tunisia on 28.2.2004. Date of designation referred to in Article 2a(4)(b): 3.9.2002.’ under the heading ‘Natural persons’ is replaced by the following:

  ‘Adel Ben Al-Azhar Ben Youssef Hamdi (alias (a) Adel ben al-Azhar ben Youssef ben Soltane, (b) Zakariya). Date of birth: 14.7.1970. Place of birth: Tunis, Tunisia. Nationality: Tunisian. Passport No: (a) M408665 (Tunisian passport number issued on 4.10.2000, expired 3.10.2005), (b) W334061 (Tunisian national identity number issued on 9.3.2011), (c) BNSDLA70L14Z352B (Italian Fiscal Code). Address: Tunisia. Other information: (a) Deported from Italy to Tunisia on 28 February 2004. (b) Serving a 12-year prison sentence in Tunisia for membership in a terrorist organisation abroad as at January 2010. (c) Arrested in Tunisia in 2013. (d) Legally changed family name from Ben Soltane to Hamdi in 2014. Date of designation referred to in Article 2a(4)(b): 3.9.2002.’ |
| --- | --- |

(6)

The entry ‘Adel Ben Al-Azhar Ben Youssef Ben Soltane (alias Zakariya). Address: Tunisia. Date of birth: 14.7.1970. Place of birth: Tunis, Tunisia. Nationality: Tunisian. Passport No: M408665 (Tunisian passport issued on 4.10.2000 which expired on 3.10.2005). Other information: (a) Italian fiscal code: BNSDLA70L14Z352B, (b) Deported from Italy to Tunisia on 28.2.2004. Date of designation referred to in Article 2a(4)(b): 3.9.2002.’ under the heading ‘Natural persons’ is replaced by the following:

‘Adel Ben Al-Azhar Ben Youssef Hamdi (alias (a) Adel ben al-Azhar ben Youssef ben Soltane, (b) Zakariya). Date of birth: 14.7.1970. Place of birth: Tunis, Tunisia. Nationality: Tunisian. Passport No: (a) M408665 (Tunisian passport number issued on 4.10.2000, expired 3.10.2005), (b) W334061 (Tunisian national identity number issued on 9.3.2011), (c) BNSDLA70L14Z352B (Italian Fiscal Code). Address: Tunisia. Other information: (a) Deported from Italy to Tunisia on 28 February 2004. (b) Serving a 12-year prison sentence in Tunisia for membership in a terrorist organisation abroad as at January 2010. (c) Arrested in Tunisia in 2013. (d) Legally changed family name from Ben Soltane to Hamdi in 2014. Date of designation referred to in Article 2a(4)(b): 3.9.2002.’

| (7) | The entry ‘Sami Ben Khamis Ben Saleh Elsseid (alias (a) Omar El Mouhajer, (b) Saber). Address: 6, Ibn Al-Haythman Street, Manubah, Tunis, Tunisia. Date of birth: 10.2.1968. Place of birth: Menzel Jemil, Bizerte, Tunisia. Nationality: Tunisian. Passport No: K929139 (Tunisian passport issued on 14.2.1995, expired on 13.2.2000). National identification No: 00319547 (issued on 8.12.1994). Other information: (a) Italian fiscal code: SSDSBN68B10Z352F, (b) Mother's name is Beya Al-Saidani, (c) Deported from Italy to Tunisia on 2 June 2008. Date of designation referred to in Article 2a(4)(b): 24.4.2002.’ under the heading ‘Natural persons’ is replaced by the following:

  ‘Sami Ben Khamis Ben Saleh Elsseid (alias (a) Omar El Mouhajer, (b) Saber). Date of birth: 10.2.1968. Place of birth: Menzel Jemil, Bizerte, Tunisia. Nationality: Tunisian. Passport No: K929139 (Tunisian passport number issued on 14.2.1995, expired on 13.2.2000), (b) 00319547 (Tunisian passport number issued on 8.12.1994), (c) SSDSBN68B10Z352F (Italian Fiscal Code). Address: Ibn Al-Haythman Street, Number 6, Manubah, Tunis, Tunisia. Other information: (a) Mother's name is Beya Al-Saidani. (b) Deported from Italy to Tunisia on 2 June 2008. (c) Imprisoned in Tunisia in August 2014. Date of designation referred to in Article 2a(4)(b): 24.4.2002.’ |
| --- | --- |

(7)

The entry ‘Sami Ben Khamis Ben Saleh Elsseid (alias (a) Omar El Mouhajer, (b) Saber). Address: 6, Ibn Al-Haythman Street, Manubah, Tunis, Tunisia. Date of birth: 10.2.1968. Place of birth: Menzel Jemil, Bizerte, Tunisia. Nationality: Tunisian. Passport No: K929139 (Tunisian passport issued on 14.2.1995, expired on 13.2.2000). National identification No: 00319547 (issued on 8.12.1994). Other information: (a) Italian fiscal code: SSDSBN68B10Z352F, (b) Mother's name is Beya Al-Saidani, (c) Deported from Italy to Tunisia on 2 June 2008. Date of designation referred to in Article 2a(4)(b): 24.4.2002.’ under the heading ‘Natural persons’ is replaced by the following:

‘Sami Ben Khamis Ben Saleh Elsseid (alias (a) Omar El Mouhajer, (b) Saber). Date of birth: 10.2.1968. Place of birth: Menzel Jemil, Bizerte, Tunisia. Nationality: Tunisian. Passport No: K929139 (Tunisian passport number issued on 14.2.1995, expired on 13.2.2000), (b) 00319547 (Tunisian passport number issued on 8.12.1994), (c) SSDSBN68B10Z352F (Italian Fiscal Code). Address: Ibn Al-Haythman Street, Number 6, Manubah, Tunis, Tunisia. Other information: (a) Mother's name is Beya Al-Saidani. (b) Deported from Italy to Tunisia on 2 June 2008. (c) Imprisoned in Tunisia in August 2014. Date of designation referred to in Article 2a(4)(b): 24.4.2002.’

| (8) | The entry ‘Mohamed Aouani (alias (a) Lased Ben Heni, (b) Al-As'ad Ben Hani, (c) Mohamed Ben Belgacem Awani, (d) Mohamed Abu Abda, (e) Abu Obeida). Date of birth: (a) 5.2.1970, (b) 5.2.1969. Nationality: Tunisian. Place of birth: (a) Tripoli, Libya, (b) Tunis, Tunisia. Other information: Professor of Chemistry (b) Deported from Italy to Tunisia on 27.8.2006. Date of designation referred to in Article 2a(4)(b): 24.4.2002.’ under the heading ‘Natural persons’ is replaced by the following:

  ‘Mohamed Lakhal (alias (a) Lased Ben Heni, (b) Al-As'ad Ben Hani, (c) Mohamed Ben Belgacem Awani, (d) Mohamed Aouani, (e) Mohamed Abu Abda, (f) Abu Obeida). Date of birth: (a) 5.2.1970, (b) 5.2.1969. Place of birth: (a) Tripoli, Libya, (b) Tunis, Tunisia. Nationality: Tunisian. Passport No: W374031 (Tunisian national identity number issued on 11.4.2011). Other information: (a) Professor of Chemistry. (b) Deported from Italy to Tunisia on 27 August 2006. (c) Legally changed family name from Aouani to Lakhal in 2014. Date of designation referred to in Article 2a(4)(b): 24.4.2002.’ |
| --- | --- |

(8)

The entry ‘Mohamed Aouani (alias (a) Lased Ben Heni, (b) Al-As'ad Ben Hani, (c) Mohamed Ben Belgacem Awani, (d) Mohamed Abu Abda, (e) Abu Obeida). Date of birth: (a) 5.2.1970, (b) 5.2.1969. Nationality: Tunisian. Place of birth: (a) Tripoli, Libya, (b) Tunis, Tunisia. Other information: Professor of Chemistry (b) Deported from Italy to Tunisia on 27.8.2006. Date of designation referred to in Article 2a(4)(b): 24.4.2002.’ under the heading ‘Natural persons’ is replaced by the following:

‘Mohamed Lakhal (alias (a) Lased Ben Heni, (b) Al-As'ad Ben Hani, (c) Mohamed Ben Belgacem Awani, (d) Mohamed Aouani, (e) Mohamed Abu Abda, (f) Abu Obeida). Date of birth: (a) 5.2.1970, (b) 5.2.1969. Place of birth: (a) Tripoli, Libya, (b) Tunis, Tunisia. Nationality: Tunisian. Passport No: W374031 (Tunisian national identity number issued on 11.4.2011). Other information: (a) Professor of Chemistry. (b) Deported from Italy to Tunisia on 27 August 2006. (c) Legally changed family name from Aouani to Lakhal in 2014. Date of designation referred to in Article 2a(4)(b): 24.4.2002.’

---

| 17.1.2015 | EN | Official Journal of the European Union | L 11/68 |
| --- | --- | --- | --- |

17.1.2015

EN

Official Journal of the European Union

L 11/68

---

COMMISSION IMPLEMENTING REGULATION (EU) 2015/65

of 16 January 2015

establishing the standard import values for determining the entry price of certain fruit and vegetables

THE EUROPEAN COMMISSION,

Having regard to the Treaty on the Functioning of the European Union,

Having regard to Regulation (EU) No 1308/2013 of the European Parliament and of the Council of 17 December 2013 establishing a common organisation of the markets in agricultural products and repealing Council Regulations (EEC) No 922/72, (EEC) No 234/79, (EC) No 1037/2001 and (EC) No 1234/2007 (1),

Having regard to Commission Implementing Regulation (EU) No 543/2011 of 7 June 2011 laying down detailed rules for the application of Council Regulation (EC) No 1234/2007 in respect of the fruit and vegetables and processed fruit and vegetables sectors (2), and in particular Article 136(1) thereof,

Whereas:

| (1) | Implementing Regulation (EU) No 543/2011 lays down, pursuant to the outcome of the Uruguay Round multilateral trade negotiations, the criteria whereby the Commission fixes the standard values for imports from third countries, in respect of the products and periods stipulated in Annex XVI, Part A thereto. |
| --- | --- |

(1)

Implementing Regulation (EU) No 543/2011 lays down, pursuant to the outcome of the Uruguay Round multilateral trade negotiations, the criteria whereby the Commission fixes the standard values for imports from third countries, in respect of the products and periods stipulated in Annex XVI, Part A thereto.

| (2) | The standard import value is calculated each working day, in accordance with Article 136(1) of Implementing Regulation (EU) No 543/2011, taking into account variable daily data. Therefore this Regulation should enter into force on the day of its publication in the Official Journal of the European Union, |
| --- | --- |

(2)

The standard import value is calculated each working day, in accordance with Article 136(1) of Implementing Regulation (EU) No 543/2011, taking into account variable daily data. Therefore this Regulation should enter into force on the day of its publication in the Official Journal of the European Union,

HAS ADOPTED THIS REGULATION:

Article 1

The standard import values referred to in Article 136 of Implementing Regulation (EU) No 543/2011 are fixed in the Annex to this Regulation.

Article 2

This Regulation shall enter into force on the day of its publication in the Official Journal of the European Union.

This Regulation shall be binding in its entirety and directly applicable in all Member States.

Done at Brussels, 16 January 2015.

For the Commission,

On behalf of the President,

Jerzy PLEWA

Director-General for Agriculture and Rural Development

---

(1)  
  OJ L 347, 20.12.2013, p. 671.

1

(2)  
  OJ L 157, 15.6.2011, p. 1.

2

---

ANNEX

Standard import values for determining the entry price of certain fruit and vegetables

| (EUR/100 kg) |
| --- |
| CN code | Third country code (1) | Standard import value |
| 0702 00 00 | AL | 62,0 |
| EG | 260,4 |
| IL | 127,8 |
| MA | 115,7 |
| TR | 114,9 |
| ZZ | 136,2 |
| 0707 00 05 | JO | 241,9 |
| MA | 66,8 |
| TR | 170,4 |
| ZZ | 159,7 |
| 0709 91 00 | EG | 119,3 |
| ZZ | 119,3 |
| 0709 93 10 | MA | 228,7 |
| TR | 168,5 |
| ZZ | 198,6 |
| 0805 10 20 | EG | 47,4 |
| MA | 57,3 |
| TR | 62,5 |
| ZA | 97,5 |
| ZZ | 66,2 |
| 0805 20 10 | IL | 140,0 |
| MA | 87,2 |
| ZZ | 113,6 |
| 0805 20 30 , 0805 20 50 , 0805 20 70 , 0805 20 90 | IL | 102,7 |
| KR | 153,2 |
| MA | 82,2 |
| TR | 116,8 |
| ZZ | 113,7 |
| 0805 50 10 | TR | 69,7 |
| ZZ | 69,7 |
| 0808 10 80 | BR | 65,5 |
| CL | 84,5 |
| US | 151,8 |
| ZZ | 100,6 |
| 0808 30 90 | CN | 92,1 |
| TR | 108,4 |
| US | 138,7 |
| ZZ | 113,1 |

(EUR/100 kg)

CN code

Third country code (1)

Standard import value

0702 00 00

AL

62,0

EG

260,4

IL

127,8

MA

115,7

TR

114,9

ZZ

136,2

0707 00 05

JO

241,9

MA

66,8

TR

170,4

ZZ

159,7

0709 91 00

EG

119,3

ZZ

119,3

0709 93 10

MA

228,7

TR

168,5

ZZ

198,6

0805 10 20

EG

47,4

MA

57,3

TR

62,5

ZA

97,5

ZZ

66,2

0805 20 10

IL

140,0

MA

87,2

ZZ

113,6

0805 20 30 , 0805 20 50 , 0805 20 70 , 0805 20 90

IL

102,7

KR

153,2

MA

82,2

TR

116,8

ZZ

113,7

0805 50 10

TR

69,7

ZZ

69,7

0808 10 80

BR

65,5

CL

84,5

US

151,8

ZZ

100,6

0808 30 90

CN

92,1

TR

108,4

US

138,7

ZZ

113,1

---

(1)  Nomenclature of countries laid down by Commission Regulation (EU) No 1106/2012 of 27 November 2012 implementing Regulation (EC) No 471/2009 of the European Parliament and of the Council on Community statistics relating to external trade with non-member countries, as regards the update of the nomenclature of countries and territories (OJ L 328, 28.11.2012, p. 7). Code ‘ZZ’ stands for ‘of other origin’.

---

| 17.1.2015 | EN | Official Journal of the European Union | L 11/70 |
| --- | --- | --- | --- |

17.1.2015

EN

Official Journal of the European Union

L 11/70

---

COMMISSION IMPLEMENTING REGULATION (EU) 2015/66

of 16 January 2015

fixing the allocation coefficient to be applied to the quantities covered by the applications for import licences lodged from 1 to 7 January 2015 under the tariff quotas opened by Regulation (EC) No 341/2007 for garlic

THE EUROPEAN COMMISSION,

Having regard to the Treaty on the Functioning of the European Union,

Having regard to Regulation (EU) No 1308/2013 of the European Parliament and of the Council of 17 December 2013 establishing a common organisation of the markets in agricultural products and repealing Council Regulations (EEC) No 922/72, (EEC) No 234/79, (EC) No 1037/2001 and (EC) No 1234/2007 (1), and in particular Article 188(1) and (3) thereof,

Whereas:

| (1) | Commission Regulation (EC) No 341/2007 (2) opened annual tariff quotas for imports of garlic. |
| --- | --- |

(1)

Commission Regulation (EC) No 341/2007 (2) opened annual tariff quotas for imports of garlic.

| (2) | The quantities covered by the applications for ‘A’ import licences lodged in the first seven calendar days of January 2015, for the subperiod from 1 March 2015 to 31 May 2015, for certain quotas, exceed those available. The extent to which ‘A’ import licences may be issued should therefore be determined by establishing the allocation coefficient to be applied to the quantities requested, calculated in accordance with Article 7(2) of Commission Regulation (EC) No 1301/2006 (3). |
| --- | --- |

(2)

The quantities covered by the applications for ‘A’ import licences lodged in the first seven calendar days of January 2015, for the subperiod from 1 March 2015 to 31 May 2015, for certain quotas, exceed those available. The extent to which ‘A’ import licences may be issued should therefore be determined by establishing the allocation coefficient to be applied to the quantities requested, calculated in accordance with Article 7(2) of Commission Regulation (EC) No 1301/2006 (3).

| (3) | In order to ensure the efficient management of the measure, this Regulation should enter into force on the day of its publication in the Official Journal of the European Union, |
| --- | --- |

(3)

In order to ensure the efficient management of the measure, this Regulation should enter into force on the day of its publication in the Official Journal of the European Union,

HAS ADOPTED THIS REGULATION:

Article 1

The quantities covered by the applications for ‘A’ import licences lodged under Regulation (EC) No 341/2007 for the subperiod from 1 March 2015 to 31 May 2015 shall be multiplied by the allocation coefficient set out in the Annex to this Regulation.

Article 2

This Regulation shall enter into force on the day of its publication in the Official Journal of the European Union.

This Regulation shall be binding in its entirety and directly applicable in all Member States.

Done at Brussels, 16 January 2015.

For the Commission,

On behalf of the President,

Jerzy PLEWA

Director-General for Agriculture and Rural Development

---

(1)  
  OJ L 347, 20.12.2013, p. 671.

1

(2)  Commission Regulation (EC) No 341/2007 of 29 March 2007 opening and providing for the administration of tariff quotas and introducing a system of import licences and certificates of origin for garlic and certain other agricultural products imported from third countries (OJ L 90, 30.3.2007, p. 12).

2

(3)  Commission Regulation (EC) No 1301/2006 of 31 August 2006 laying down common rules for the administration of import tariff quotas for agricultural products managed by a system of import licences (OJ L 238, 1.9.2006, p. 13).

3

---

ANNEX

| Origin | Reference number | Allocation coefficient — applications lodged for the subperiod from 1 March 2015 to 31 May 2015
  (%) |
| --- | --- | --- |
| Argentina | | |
| — | Traditional importers |

Origin

Reference number

Allocation coefficient — applications lodged for the subperiod from 1 March 2015 to 31 May 2015

(%)

Argentina

—

Traditional importers

09.4104

—

| — | New importers |
| --- | --- |

—

New importers

09.4099

—

The PRC

| — | Traditional importers |
| --- | --- |

—

Traditional importers

09.4105

60,163501

| — | New importers |
| --- | --- |

—

New importers

09.4100

0,434491

Other third countries

| — | Traditional importers |
| --- | --- |

—

Traditional importers

09.4106

—

| — | New importers |
| --- | --- |

—

New importers

09.4102

—

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DECISIONS

| 17.1.2015 | EN | Official Journal of the European Union | L 11/72 |
| --- | --- | --- | --- |

17.1.2015

EN

Official Journal of the European Union

L 11/72

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POLITICAL AND SECURITY COMMITTEE DECISION (CFSP) 2015/67 (EUCAP SAHEL MALI/1/2015)

of 14 January 2015

extending the mandate of the Head of Mission of the European Union CSDP mission in Mali (EUCAP Sahel Mali)

THE POLITICAL AND SECURITY COMMITTEE,

Having regard to the Treaty on European Union, and in particular the third paragraph of Article 38 thereof,

Having regard to Council Decision 2014/219/CFSP of 15 April 2014 on the European Union CSDP mission in Mali (EUCAP Sahel Mali) (1), and in particular Article 7(1) thereof,

Whereas:

| (1) | Pursuant to Decision 2014/219/CFSP, the Political and Security Committee (PSC) is authorised, in accordance with Article 38 of the Treaty, to take the relevant decisions for the purpose of exercising political control and strategic direction of the EUCAP Sahel Mali mission, including the decision to appoint a Head of Mission. |
| --- | --- |

(1)

Pursuant to Decision 2014/219/CFSP, the Political and Security Committee (PSC) is authorised, in accordance with Article 38 of the Treaty, to take the relevant decisions for the purpose of exercising political control and strategic direction of the EUCAP Sahel Mali mission, including the decision to appoint a Head of Mission.

| (2) | On 26 May 2014, the PSC adopted Decision EUCAP Sahel Mali/1/2014 (2), appointing Mr Albrecht CONZE as Head of Mission of EUCAP Sahel Mali from 26 May 2014 to 14 January 2015. |
| --- | --- |

(2)

On 26 May 2014, the PSC adopted Decision EUCAP Sahel Mali/1/2014 (2), appointing Mr Albrecht CONZE as Head of Mission of EUCAP Sahel Mali from 26 May 2014 to 14 January 2015.

| (3) | The High Representative of the Union for Foreign Affairs and Security Policy has proposed to extend the mandate of Mr Albrecht CONZE as Head of Mission of EUCAP Sahel Mali from 15 January 2015 to 14 June 2015, |
| --- | --- |

(3)

The High Representative of the Union for Foreign Affairs and Security Policy has proposed to extend the mandate of Mr Albrecht CONZE as Head of Mission of EUCAP Sahel Mali from 15 January 2015 to 14 June 2015,

HAS ADOPTED THIS DECISION:

Article 1

The mandate of Mr Albrecht CONZE as Head of Mission of EUCAP Sahel Mali is hereby extended until 14 June 2015.

Article 2

This Decision shall enter into force on the date of its adoption.

Done at Brussels, 14 January 2015.

For the Political and Security Committee

The Chairperson

W. STEVENS

---

(1)  
  OJ L 113, 16.4.2014, p. 21.

1

(2)  Political and Security Committee Decision EUCAP Sahel Mali/1/2014 of 26 May 2014 on the appointment of the Head of Mission of the European Union CSDP mission in Mali (EUCAP Sahel Mali) (OJ L 164, 3.6.2014, p. 43).

2

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