3.

Article 3 is replaced by the following: ‘Article 3 Valuation haircuts for marketable assets 1. The valuation haircuts for marketable assets allocated to haircut categories I to IV shall be determined based on: (a) the allocation of the specific asset to credit quality step 1, 2 or 3; (b) the residual maturity of the asset as detailed in paragraph 2; (c) the coupon structure of the asset as detailed in paragraph 2. 2. For marketable assets allocated to haircut categories I to IV, the applicable valuation haircut shall depend on the residual maturity and coupon structure as follows. (a) For marketable assets with zero and fixed rate coupons, the applicable valuation haircuts shall be determined based on Table 2 in the Annex to this Guideline. The relevant maturity for determining the valuation haircut shall be the residual maturity of the asset. (b) For marketable assets with floating coupons, the applicable valuation haircuts shall equal the valuation haircut applied to fixed coupon marketable assets with zero-to-one year residual maturity, except in the following cases: (i) floating coupons with a resetting period longer than one year shall be treated as fixed rate coupons and the relevant maturity for the valuation haircut to be applied shall be the residual maturity of the asset; (ii) floating coupons that have a euro area inflation index as a reference rate shall be treated as fixed rate coupons and the relevant maturity for the valuation haircut to be applied shall be the residual maturity of the asset; (iii) floating coupons with a floor that does not equal zero and/or floating coupons with a ceiling shall be treated as fixed rate coupons. (c) The valuation haircut applied to assets that have more than one type of coupon structure shall solely depend on the coupon structure in place during the remaining life of the asset and shall equal the highest haircut applicable to a marketable asset with the same residual maturity and credit quality step. Any type of coupon structure in place during the remaining life of the asset may be considered for this purpose. 3. For marketable assets allocated to haircut category V, regardless of their coupon structure, the valuation haircuts shall be determined based on the weighted average life of the asset as detailed in paragraphs 4 and 5. The valuation haircuts applicable to marketable assets in category V are laid down in Table 2a in the Annex to this Guideline. 4. The weighted average life of the senior tranche of an asset-backed security shall be estimated as the expected weighted average time remaining until repayment has been made for that tranche. For retained mobilised asset-backed securities, the calculation of the weighted average life shall assume that issuer call options will not be exercised. 5. For the purposes of paragraph 4, “retained mobilised asset-backed securities” shall mean asset-backed securities used in a percentage greater than 75 % of the outstanding nominal amount by a counterparty that originated the asset-backed security or by entities closely linked to the originator. Such close links shall be determined in accordance with Article 138 of Guideline (EU) 2015/510 (ECB/2014/60).’;