Article 2
Quantitative and qualitative liquidity requirements for the assets referred to in Article 15(6) of Regulation (EU) 2017/1131
1.
Reverse repurchase agreements as referred to in Article 15(6) of Regulation (EU) 2017/1131 shall meet established market standards and their terms and conditions shall enable managers of MMFs to fully enforce their rights in case of default of the counterparty to such agreements, or their early termination and give managers of MMFs the unrestricted right to sell any assets received as collateral,
2.
The assets referred to in Article 15(6) of Regulation (EU) 2017/1131 shall be subject to a haircut, that is equal to the volatility adjustment figures referred to in tables 1 and 2 of Article 224(1) of Regulation (EU) No 575/2013 for a given residual maturity, in respect of a 5-day liquidation period and the highest assessment in terms of credit quality step.
3.
Where necessary, managers of MMFs shall apply an additional haircut to the one referred to in paragraph 2. To assess whether such an additional haircut is necessary, they shall take into account all of the following factors:
(a)
the credit quality assessment of the counterparty to the reverse repurchase agreement;
(b)
the margin period of risk, as defined in Article 272(9) of Regulation (EU) No 575/2013;
(c)
the credit quality assessment of the issuer or of the asset that is used as collateral;
(d)
the remaining maturity of the assets used as collateral;
(e)
the volatility of the price of the assets used as collateral.
4.
For the purpose of paragraph 3, managers of MMFs shall put in place a clear haircut policy adapted to each asset, referred to in Article 15(6) of Regulation (EU) 2017/1131, received as collateral. That policy shall be documented and shall substantiate each decision to apply a specific haircut to the value of an asset.
5.
Managers of MMFs shall regularly revise the haircut referred to in paragraph 2, taking into account changes in the residual maturity of the assets used as collateral. They shall also revise the additional haircut referred to in paragraph 3, whenever the factors referred to in that paragraph change.
6.
Paragraphs 1 to 5 shall not apply if the counterparty to the reverse repurchase agreement is any of the following:
(a)
a credit institution supervised under Directive 2013/36/EU of the European Parliament and of the Council ( 1 ), or a credit institution authorised in a third country in respect of which an equivalence decision has been adopted in accordance with Article 114(7) of Regulation (EU) No 575/2013;
(b)
an investment firm supervised under Directive 2014/65/EU of the European Parliament and of the Council ( 2 ), or an investment firm authorised in a third country in respect of which an equivalence decision has been adopted in accordance with Article 47 of Regulation (EU) No 600/2014;
(c)
an insurance undertaking supervised under Directive 2009/138/EC of the European Parliament and of the Council ( 3 ), or an insurance undertaking authorised in a third country in respect of which an equivalence decision has been adopted in accordance with Article 260 of that Directive;
(d)
(e)
the European Central Bank;
(f)
a national central bank;
(g)
a third country central bank, provided that the prudential supervisory and regulatory requirements applied in that country have been recognised as equivalent to those applied in the Union in accordance with Article 114(7) of Regulation (EU) No 575/2013.
( 1 ) 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 ) Directive 2014/65/EU of the European Parliament and of the Council of 15 May 2014 on markets in financial instruments and amending Directive 2002/92/EC and Directive 2011/61/EU (OJ L 173, 12.6.2014, p. 349).
( 3 ) Directive 2009/138/EC of the European Parliament and of the Council of 25 November 2009 on the taking-up and pursuit of the business of Insurance and Reinsurance (Solvency II) (OJ L 335, 17.12.2009, p. 1).
( 4 ) 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).