http://www.legislation.gov.uk/eur/2018/990/article/2Commission Delegated Regulation (EU) 2018/990 of 10 April 2018 amending and supplementing Regulation (EU) 2017/1131 of the European Parliament and of the Council with regard to simple, transparent and standardised (STS) securitisations and asset-backed commercial papers (ABCPs), requirements for assets received as part of reverse repurchase agreements and credit quality assessment methodologies (Text with EEA relevance)Commission Delegated Regulation (EU) 2018/990Commission Delegated Regulation (EU) 2018/990 of 10 April 2018 amending and supplementing Regulation (EU) 2017/1131 of the European Parliament and of the Council with regard to simple, transparent and standardised (STS) securitisations and asset-backed commercial papers (ABCPs), requirements for assets received as part of reverse repurchase agreements and credit quality assessment methodologies (Text with EEA relevance)King's Printer of Acts of Parliamenthttps://webarchive.nationalarchives.gov.uk/eu-exit/https://eur-lex.europa.eu/legal-content/EN/TXT/?uri=CELEX:32018R0990texttext/xmlen2024-07-31Expert Participation2023-07-11 CHAPTER 2 <Strong>QUANTITATIVE AND QUALITATIVE CREDIT QUALITY REQUIREMENTS FOR ASSETS RECEIVED AS PART OF REVERSE REPURCHASE AGREEMENTS</Strong> (Article 15(7) of Regulation (EU) 2017/1131)Quantitative and qualitative liquidity requirements for the assets referred to in Article 15(6) of Regulation (EU) 2017/1131Article 21Reverse 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,2The 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.3Where 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:athe credit quality assessment of the counterparty to the reverse repurchase agreement;bthe margin period of risk, as defined in Article 272(9) of Regulation (EU) No 575/2013;cthe credit quality assessment of the issuer or of the asset that is used as collateral;dthe remaining maturity of the assets used as collateral;ethe volatility of the price of the assets used as collateral.4For 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.5Managers 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.6Paragraphs 1 to 5 shall not apply if the counterparty to the reverse repurchase agreement is any of the following:aa credit institution that is a CRR firm as defined in Article 4(1)(2A) of Regulation (EU) 575/2013, or a credit institution authorised in a third country, provided that the prudential supervisory and regulatory requirements are equivalent to those applied in the United Kingdom;ban investment firm supervised under United Kingdom law on markets in financial instruments, or a third country investment firm, provided that the prudential supervisory and regulatory requirements are equivalent to those applied in the United Kingdom;can insurance undertaking supervised under the Solvency 2 Regulations2015, or a third country insurance undertaking, provided that the prudential supervisory and regulatory requirements are equivalent to those applied in the United Kingdom;da central counterparty authorised under Regulation (EU) No 648/2012 of the European Parliament and of the Council;ethe European Central Bank;fthe Bank of England;ga 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 United Kingdom in accordance with Article 114(7) of Regulation (EU) No 575/2013.7.For the purposes of paragraph 6, “United Kingdom law on markets in financial instruments” means the law of the United Kingdom which was relied on by the United Kingdom immediately before IP completion day to implement Directive 2014/65/EU and its implementing measures—ain the case of rules made by the FCA or by the PRA under FSMA, as they have effect on IP completion day;bas amended from time to time, in all other cases. 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). Art. 2(7) inserted (31.12.2020) by The Money Market Funds (Amendment) (EU Exit) Regulations 2019 (S.I. 2019/394), regs. 1(3), 19(2)(b) (as amended by S.I. 2020/1301, regs. 1, 3, Sch. para. 25(f)) (with savings in S.I. 2019/680, reg. 11); 2020 c. 1, Sch. 5 para. 1(1)Words in Art. 2(6)(a) substituted (31.12.2020) by The Money Market Funds (Amendment) (EU Exit) Regulations 2019 (S.I. 2019/394), regs. 1(3), 19(2)(a)(i)(aa) (with savings in S.I. 2019/680, reg. 11); 2020 c. 1, Sch. 5 para. 1(1)Words in Art. 2(6)(a) substituted (31.12.2020) by The Money Market Funds (Amendment) (EU Exit) Regulations 2019 (S.I. 2019/394), regs. 1(3), 19(2)(a)(i)(bb) (with savings in S.I. 2019/680, reg. 11); 2020 c. 1, Sch. 5 para. 1(1)Words in Art. 2(6)(b) substituted (31.12.2020) by The Money Market Funds (Amendment) (EU Exit) Regulations 2019 (S.I. 2019/394), regs. 1(3), 19(2)(a)(ii)(aa) (with savings in S.I. 2019/680, reg. 11); 2020 c. 1, Sch. 5 para. 1(1)Words in Art. 2(6)(b) substituted (31.12.2020) by The Money Market Funds (Amendment) (EU Exit) Regulations 2019 (S.I. 2019/394), regs. 1(3), 19(2)(a)(ii)(bb) (with savings in S.I. 2019/680, reg. 11); 2020 c. 1, Sch. 5 para. 1(1)Words in Art. 2(6)(c) substituted (31.12.2020) by The Money Market Funds (Amendment) (EU Exit) Regulations 2019 (S.I. 2019/394), regs. 1(3), 19(2)(a)(iii)(aa) (with savings in S.I. 2019/680, reg. 11); 2020 c. 1, Sch. 5 para. 1(1)Words in Art. 2(6)(c) substituted (31.12.2020) by The Money Market Funds (Amendment) (EU Exit) Regulations 2019 (S.I. 2019/394), regs. 1(3), 19(2)(a)(iii)(bb) (with savings in S.I. 2019/680, reg. 11); 2020 c. 1, Sch. 5 para. 1(1)Art. 2(6)(f) substituted (31.12.2020) by The Money Market Funds (Amendment) (EU Exit) Regulations 2019 (S.I. 2019/394), regs. 1(3), 19(2)(a)(iv) (with savings in S.I. 2019/680, reg. 11); 2020 c. 1, Sch. 5 para. 1(1)Words in Art. 2(6)(g) substituted (31.12.2020) by The Money Market Funds (Amendment) (EU Exit) Regulations 2019 (S.I. 2019/394), regs. 1(3), 19(2)(a)(v) (with savings in S.I. 2019/680, reg. 11); 2020 c. 1, Sch. 5 para. 1(1)