Commission Delegated Regulation (EU) 2015/61Dangos y teitl llawn

Article 15 U.K. 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;

(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);

(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);

(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);

(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

(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;

(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

(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.