Regulation of the Central Bank of Luxembourg 2014/No. 18 of 21 August 2014 implementing ECB Guideline 2014/31 on temporary additional measures for Eurosystem refinancing operations and collateral eligibility

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CENTRAL BANK OF LUXEMBOURG
Regulation of the Central Bank of Luxembourg 2014/No. 18 of 21 August 2014 implementing the European Central Bank Guideline of 9 July 2014 on temporary additional measures concerning Eurosystem refinancing operations and the eligibility of collateral and amending ECB Guideline 2007/9 (recast) (ECB/2014/31) as amended by:

• Regulation of the Central Bank of Luxembourg 2014/No. 19 of 15 December 2014
• Regulation of the Central Bank of Luxembourg 2016/No. 22 of 28 December 2016
• Regulation of the Central Bank of Luxembourg 2018/No. 23 of 16 April 2018
• Regulation of the Central Bank of Luxembourg 2019/No. 26 of 5 August 2019
• Regulation of the Central Bank of Luxembourg 2020/No. 27 of 20 April 2020
• Regulation of the Central Bank of Luxembourg 2020/No. 28 of 18 May 2020

HEREBY ADOPTS THIS REGULATION:

Article 1. Additional measures concerning refinancing operations and eligible collateral

1. The rules applicable to the conduct of Eurosystem monetary policy operations and the eligibility criteria for collateral provided for in this Regulation apply in conjunction with the General Conditions of the Bank's operations.

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2. In the event of a conflict between this Regulation and the General Conditions of the Bank's operations, this Regulation shall prevail. The provisions of the General Conditions of the Bank's operations shall apply without modification, unless otherwise provided for in this Regulation.

Article 2. Option to reduce the amount of longer-term refinancing operations or to terminate them

1. The Eurosystem may decide that, under certain conditions, counterparties may reduce, before maturity, the amount of certain longer-term refinancing operations or terminate them (these reductions in amount or terminations are collectively referred to hereinafter as "early repayment"). The announcement of the tender specifies whether the option to reduce the amount of the operations in question or to terminate them before maturity applies or not, and from which date this option may be exercised. This information may also be provided in another form that the Eurosystem deems adequate.

2. A counterparty may exercise the option to reduce the amount of longer-term refinancing operations or to terminate them before maturity by notifying the Central Bank of the amount it intends to repay under the early repayment procedure, as well as the date on which it intends to make this early repayment, at least one week before the date of this early repayment. Unless otherwise specified by the Eurosystem, an early repayment may be made on any day coinciding with the settlement day of a Eurosystem main refinancing operation, provided that the counterparty carries out the notification referred to in this paragraph at least one week before that date.

3. The notification referred to in paragraph 2 becomes binding on the counterparty one week before the early repayment date to which it refers. Failure by a counterparty to settle the full or partial amount due under the early repayment procedure at the fixed maturity may result in the imposition of a pecuniary sanction as provided for in section 5.7.1 of Annex 8 to the General Conditions of the Bank's operations. The provisions of section 5.7.1 of Annex 8 which apply in the event of non-compliance with the rules relating to tenders shall apply when a counterparty does not settle the full or partial amount due on the early repayment date referred to in paragraph 2. The imposition of a pecuniary sanction is without prejudice to the right of the Central Bank to exercise the remedies provided for in the event of a default as provided for in the General Conditions of the Bank's operations.

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Article 3. Admission of certain other asset-backed securities

1. In addition to asset-backed securities eligible under Chapter 4 of Annex 8 to the General Conditions of the Bank's operations, asset-backed securities that do not meet the credit rating requirements set out in section 4.5.2 of Annex 8 to the General Conditions of the Bank's operations1, but meet all other eligibility criteria applicable to asset-backed securities under the General Conditions of the Bank's operations2, are eligible assets admitted as collateral for Eurosystem monetary policy operations, subject to having at least two ratings of at least "BBB"3, assigned by any accepted external credit assessment institution (ECAI). They also meet all of the following requirements:

a) the assets generating the cash flows to which the securities are backed belong to one of the following asset categories: i) mortgage loans; ii) loans to small and medium-sized enterprises (SMEs); iv) car loans; v) hire-purchase; vi) consumer credit; vii) credit card receivables;

b) there is no mixing of assets from different categories within the assets generating the cash flows;

c) the assets generating the cash flows to which the securities are backed do not contain loans that:
i) are non-performing at the time of issuance of the asset-backed securities; ii) become non-performing when they are included in the asset-backed securities during the life of the securities, for example upon substitution or replacement of the assets generating the cash flows; iii) at any time, are structured, syndicated or leveraged loans;

d) the documentation concerning the asset-backed securities transaction provides for provisions relating to the continuity of debt service.

2. The asset-backed securities referred to in paragraph 1 that do not benefit from at least two public ratings of at least level 2 credit quality in the Eurosystem harmonised rating scale in accordance with Article 82(1)(b) of European Central Bank Guideline (EU) 2015/510 (ECB/2014/60)4

1 Article 88 of Guideline ECB/2014/60 on general documentation.
2 Articles 72 to 79 of Guideline ECB/2014/60 on general documentation.
3 A "BBB" rating corresponds to a rating of at least "Baa3" according to Moody's, "BBB" according to Fitch or Standard & Poor's or a rating equal to "BBBL" according to DBRS.
4 European Central Bank Guideline (EU) 2015/510 of 19 December 2014 on the implementation of the Eurosystem monetary policy framework (ECB/2014/60) (general documentation) (OJ L 91 of 2.4.2015, p. 3).

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are subject to a haircut depending on their weighted average life, as specified in Annex II bis.

2 bis. The weighted average life of the senior tranche of an asset-backed security is estimated as the anticipated weighted average residual maturity until repayment has been made for that tranche. Regarding retained securitisation positions, the calculation of the weighted average life assumes that the issuer's call options will not be exercised.

4. A counterparty may not provide as collateral asset-backed securities eligible under paragraph 1 if the counterparty, or any third party with which it has close links, acts as a provider of interest rate risk hedging in relation to the asset-backed securities.

5. A NCB may accept as collateral for Eurosystem monetary policy operations asset-backed securities, the underlying assets of which comprise either mortgage loans or SME loans, or both, and which do not meet the credit rating requirements set out in Part Four, Title II, Chapter 2 of Guideline ECB/2014/60 nor the requirements set out in paragraph 1, points (a) to (d) and paragraph 4, but which meet all other eligibility criteria applicable to asset-backed securities under Guideline ECB/2014/60 and have at least two public ratings of at least level 3 credit quality in the Eurosystem harmonised rating scale. Only asset-backed securities issued before 20 June 2012 are concerned, and these are subject to a haircut depending on their weighted average life, as specified in Annex II bis.";

6. For the purposes of this Article, the following definitions apply:

a) "mortgage loan": in addition to loans secured by mortgage loans, residential real estate loans secured (without mortgage loan) when the collateral gives rise to a quick payment after default. These collateral may be provided in different contractual configurations, including insurance contracts, provided that they are granted by a public sector entity or a financial institution subject to public control. The credit rating of the guarantor for the purposes of this collateral must correspond to level 3 credit quality in the Eurosystem harmonised rating scale, for the life of the operation;

b) "small enterprise" and "medium enterprise": any entity carrying out an economic activity, regardless of the legal status of that entity, when the declared turnover for the entity, or when the entity is part of a consolidated group, for the consolidated group, is less than EUR 50 million;

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c) "non-performing loans": loans for which the repayment of interest or principal is overdue by 90 days or more and for which the debtor is in default, as defined in Article 178 of Regulation (EU) No 575/2013 of the European Parliament and of the Council5, or loans for which there is good reason to doubt that they will be repaid in full;

d) "structured loan": a structure involving subordinated private claims;

e) "syndicated loan": a loan granted by a group of lenders grouped within a banking syndicate;

f) "leveraged loan": a loan granted to a company that already has a considerable level of indebtedness, for example to finance a buyout or takeover, which is used to acquire the share capital of a company that is also a debtor of the loan;

g) "provisions relating to the continuity of debt service": provisions contained in the legal documentation concerning an asset-backed security that relate either to the successor servicer (hereinafter the "replacement servicer"), or to the assistance in the appointment of a replacement servicer (in the absence of provisions concerning a replacement servicer). In the case of provisions concerning the assistance in the appointment of a replacement servicer, an assistant to the appointment of a replacement servicer must be appointed and charged with finding a competent replacement servicer within 60 days following a trigger event in order to ensure that the payment and collection of the asset-backed security are carried out on time. These provisions also mention the trigger events for the replacement of the servicer and the appointment of a replacement servicer, which may be based on a rating or on another criterion, such as the non-performance of obligations by the current servicer. In the case of provisions concerning a replacement servicer, the latter has no close links with the servicer. In the case of provisions concerning the assistance in the appointment of a replacement servicer, there is no simultaneous close link between the servicer, the assistant to the appointment of a replacement servicer and the issuer's account bank;

h) "close links": close links within the meaning of Article 138(2) of Guideline (EU) 2015/510 (ECB/2014/60);

5 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 of 27.6.2013, p. 1).

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i) "retained securitisation positions": asset-backed securities used to more than 75% of the nominal outstanding amount by a counterparty that is the originator of the underlying loans or by entities closely linked to the originator.

Article 4. Admission of certain other private claims

1. NCBs may accept as collateral for Eurosystem monetary policy operations private claims that do not meet the Eurosystem eligibility criteria.

2. NCBs that decide to accept private claims in accordance with paragraph 1 determine the eligibility criteria and risk control measures for this purpose, specifying the points on which derogation is made from the requirements set out in Annex I to Guideline ECB/2011/14. These eligibility criteria and risk control measures include the criterion that private claims are governed by the law of the Member States of the NCBs establishing the eligibility criteria and risk control measures. The eligibility criteria and risk control measures are subject to prior approval by the Governing Council.

3. In exceptional circumstances, NCBs may, subject to prior approval by the Governing Council, accept private claims:

a) under the eligibility criteria and risk control measures established by another NCB under paragraphs 1 and 2; or

b) governed by the law of a Member State other than the Member State in which the accepting NCB is established; or

c) which are included in a portfolio of private claims or real estate asset-backed securities if the law governing the private claims or the debtor concerned (or the guarantor, if any) is that of a Member State other than that in which the accepting NCB is established.

4. Another NCB shall only support an NCB accepting private claims under paragraph 1 in the event of a bilateral agreement concluded between the two NCBs and subject to prior approval by the Governing Council.

Article 5. Acceptance of certain short-term debt instruments

1. NCBs may accept as collateral for Eurosystem monetary policy operations short-term debt instruments that do not meet the eligibility criteria applicable to marketable assets set out in Annex I to Guideline ECB/2011/14.

2. NCBs that decide to accept short-term debt instruments in accordance with paragraph 1 determine the eligibility criteria and risk control measures for this purpose, in compliance with the minimum standards specified by the Governing Council. These eligibility criteria and risk control measures include the following criteria, applicable to short-term debt instruments.

a) They are issued by non-financial companies6 established in the euro area. The guarantor of the short-term debt instruments (if any) must also be a non-financial company established in the euro area, unless the guarantee is not required for the short-term debt instrument to comply with the high credit quality provisions as specified in point (d).

b) They are not admitted to trading on a market considered as accepted by the Eurosystem as defined in section 6.2.1.5 of Annex I to Guideline ECB/2011/14.

c) They are denominated in euros.

d) They meet the high credit quality requirements defined by the competent NCB which apply in place of the requirements of sections 6.3.2 and 6.3.3 of Annex I to Guideline ECB/2011/14.

e) In addition to the provisions of points (a) to (d), they comply with the Eurosystem eligibility criteria applicable to marketable assets provided for in Annex I to Guideline ECB/2011/14.

3. An NCB shall not accept, except within the framework of a bilateral agreement concluded with another NCB, short-term debt instruments compliant with paragraphs 1 and 2 that are issued in the euro area:

a) to that other NCB; or

b) to a central securities depository which i) has been recognised as eligible by the Eurosystem with regard to the standards and procedures for assessment described in the "Framework for the assessment of securities settlement systems and links for determining their eligibility for Eurosystem credit operations"7 and ii) is established in a Member State of the euro area in which the other NCB is established.

4. For the purposes of this Article, a "short-term debt instrument" is a debt instrument with a maturity of no more than 365 days at issuance and at any time thereafter.

Article 7. Admission of certain assets denominated in sterling, Japanese yen or US dollars as eligible collateral

1. The marketable debt instruments described in section 4.1.1 of Annex 8 to the General Conditions of the Bank's operations8, if denominated in sterling, yen or US dollars, constitute eligible collateral for Eurosystem monetary policy operations, provided: a) they are issued and held/settled in the euro area; b) the issuer is established in the European Economic Area; and c) they meet all other eligibility criteria set out in section 4.1.1 of Annex 8 to the General Conditions of the Bank's operations.

2. The Eurosystem applies the following haircuts to these marketable debt instruments: a) a haircut of 16% for assets denominated in sterling or US dollars; and b) a haircut of 26% for assets denominated in yen.

3. The marketable debt instruments described in paragraph 1, with coupons indexed to a single money market rate in the currency in which the instruments are denominated, or indexed to an inflation index not containing complex structures such as those where coupons are defined as in the case of exotic options ("discrete range", "range accrual", "ratchet"), or other complex structures, for the country concerned, also constitute eligible collateral for Eurosystem monetary policy operations.

4. The ECB may publish on its website at www.ecb.europa.eu a list of other acceptable foreign currency reference interest rates, in addition to those referred to in paragraph 3, after approval by the Governing Council.

5. Only Articles 1, 3, 6, 7 and 9 of this Regulation apply to marketable assets denominated in foreign currencies.

7 Available on the ECB website at the following address: www.ecb.europa.eu.
8 Section 6.2.1 of Annex I to Guideline ECB/2011/14.

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Article 8. Suspension of credit quality threshold requirements for certain negotiable securities

1. The minimum Eurosystem requirements for credit quality thresholds, as specified by the Eurosystem credit assessment framework rules applicable to negotiable assets in section 5.3.2 of Annex 8 of the General Conditions for Central Bank Operations9, are suspended in accordance with paragraph 2.

2. Based on a specific decision adopted by the Governing Council of the European Central Bank for this purpose, the Eurosystem credit quality threshold does not apply to negotiable debt securities issued or fully guaranteed by the central administrations of a Member State of the euro area subject to an European Union/International Monetary Fund program, as long as the Governing Council of the European Central Bank considers that this Member State complies with the conditions prescribed for financial support and/or the macroeconomic program.

Article 8 bis
Admission of certain negotiable assets and certain eligible issuers as of 7 April 2020

1. The terms used in this article have the same meaning as in Directive (EU) 2015/510 (ECB/2014/60).

2. Notwithstanding the provisions of Article 59(3), Article 71, and Article 82(1)(a) of Directive (EU) 2015/510 (ECB/2014/60), negotiable assets - other than asset-backed securities - issued on or before 7 April 2020, which on 7 April 2020 had been assigned a public rating provided by at least one accepted ECAI satisfying the minimum Eurosystem credit quality requirements, constitute eligible collateral for Eurosystem credit operations if at any time after 7 April 2020:

a) these negotiable assets are subject to a public rating, provided by at least one accepted ECAI, which corresponds to at least credit quality level 5 in the Eurosystem harmonised rating scale; and

9 See supra note 14.

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b) these assets continue to meet all other eligibility criteria applicable to negotiable assets under Directive (EU) 2015/510 (ECB/2014/60).

To clarify any ambiguity, the public rating as of 7 April 2020 referred to in this paragraph is established by the Eurosystem in accordance with the rules provided for in Article 82(1)(a), Article 82(2), Article 83, Article 84(a) and (b), Article 85, and Article 86 of Directive (EU) 2015/510 (ECB/2014/60).

3. When the compliance of a negotiable asset with the minimum Eurosystem credit quality requirements as of 7 April 2020 is determined based on a rating by an ECAI concerning the issuer or a rating by an ECAI concerning the guarantor assigned by an accepted ECAI system, this negotiable asset constitutes eligible collateral for Eurosystem credit operations if at any time after 7 April 2020:

a) the rating by an ECAI concerning the issuer or the rating by an ECAI concerning the guarantor, as applicable, for this negotiable asset, corresponds to at least credit quality level 5 in the Eurosystem harmonised rating scale; and

b) this negotiable asset continues to meet all other eligibility criteria applicable to it under Directive (EU) 2015/510 (ECB/2014/60).

4. Negotiable assets - other than asset-backed securities - issued after 7 April 2020 whose issuer or guarantor, as applicable, had on 7 April 2020 a public rating provided by at least one accepted ECAI compliant with the minimum Eurosystem credit quality requirements, constitute eligible collateral for Eurosystem credit operations if at any time after 7 April 2020:

a) these negotiable assets are subject to a public rating, provided by at least one accepted ECAI, which corresponds to at least credit quality level 5 in the Eurosystem harmonised rating scale; and

b) these negotiable assets meet all other eligibility criteria applicable to negotiable assets under Directive (EU) 2015/510 (ECB/2014/60).

To clarify any ambiguity, the public rating referred to in point a) of this paragraph is assigned by the Eurosystem in accordance with the rules provided for in Article 82(1)(a), Article 82(2), Article 83, Article 84(a) and (b), Article 85, and Article 86 of Directive (EU) 2015/510 (ECB/2014/60).

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5. Covered bonds issued after 7 April 2020 under a covered bond programme which itself had been subject, as of 7 April 2020, to a credit assessment by at least one accepted ECAI, and satisfying the minimum Eurosystem credit quality requirements, constitute eligible collateral for Eurosystem credit operations if:

a) at any time after 7 April 2020, this covered bond programme is subject to a public rating provided by at least one accepted ECAI, corresponding to at least credit quality level 5 in the Eurosystem harmonised rating scale; and

b) these covered bonds meet all other eligibility criteria applicable to them under Directive (EU) 2015/510 (ECB/2014/60).

6. Negotiable assets referred to in Article 87(2) of Directive (EU) 2015/510 (ECB/2014/60) which, as of 7 April 2020, did not have a public rating provided by an accepted ECAI, but which on 7 April 2020 benefited from an implicit credit assessment carried out by the Eurosystem, in accordance with the rules set out in Article 87(1) and (2) of Directive (EU) 2015/510 (ECB/2014/60), compliant with Eurosystem credit quality requirements, constitute eligible collateral for Eurosystem credit operations regardless of their date of issuance, if at any time after 7 April 2020:

a) the issuer or guarantor, as applicable, of these negotiable assets corresponds, at least, to a credit quality requirement equivalent to credit quality level 5 in the Eurosystem harmonised rating scale; and

b) these covered bonds meet all other eligibility criteria applicable to them under Directive (EU) 2015/510 (ECB/2014/60).

7. Notwithstanding the provisions of Article 59(3), Article 71, and Article 82(1)(b) of Directive (EU) 2015/510 (ECB/2014/60), asset-backed securities issued on or before 7 April 2020, which on 7 April 2020 had been subject to at least two public ratings provided by two different accepted ECAIs, and satisfying the minimum Eurosystem credit quality requirements under Directive (EU) 2015/510 (ECB/2014/60), constitute eligible collateral for Eurosystem credit operations if at any time after 7 April 2020:

a) these asset-backed securities are subject to at least two public ratings, each provided by a different accepted ECAI system, and corresponding to at least credit quality level 4 in the Eurosystem harmonised rating scale; and

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b) these asset-backed securities continue to meet all other eligibility criteria applicable to asset-backed securities under Directive (EU) 2015/510 (ECB/2014/60).

To clarify any ambiguity, the requirements provided for in Article 3(1)(a) to (d) and Article 3(4) of this Regulation do not apply to the asset-backed securities referred to in this paragraph.

8. Asset-backed securities that were accepted by the Eurosystem as eligible collateral as of 7 April 2020 under Article 3(1) of this Regulation, remain eligible if at any time after 7 April 2020:

a) they are subject to two public ratings, provided by two accepted ECAIs, which correspond to at least credit quality level 4 in the Eurosystem harmonised rating scale; and

b) they continue to meet all other requirements applicable to them under Article 3(1) (except the rating level), Article 3(2 bis), and Article 3(4) of this Regulation.

To clarify any ambiguity, Article 3(2) and Article 3(5) of this Regulation do not apply to the asset-backed securities referred to in this paragraph.

9. As long as they continue to be accepted as eligible collateral by the Eurosystem under this article, the negotiable assets, including covered bonds, referred to in paragraphs 2 to 6, are subject to the haircuts specified in Annex II ter of this Regulation. Asset-backed securities, referred to in paragraphs 7 and 8, are subject to the haircuts specified in Annex II bis of this Regulation. The haircuts are calculated based on the current rating applicable at any time after 7 April 2020 in accordance with the rules regarding the priority given to credit assessments carried out by an ECAI which are provided for in Articles 83 to 88 of Directive (EU) 2015/510 (ECB/2014/60).

10. In addition to the haircuts defined in paragraph 9, the following additional haircuts apply:

a) asset-backed securities, covered bonds, and unsecured debt securities issued by credit institutions whose value is calculated theoretically in accordance with the rules of Article 134 of Directive (EU) 2015/510 (ECB/2014/60) are subject to an additional haircut in the form of a 4% haircut valuation;

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b) covered bonds used for own-account purposes are subject to an additional haircut i) of 6.4% applied to the value of debt securities allocated to credit quality levels 1 and 2; and ii) of 9.6% applied to the value of debt securities allocated to credit quality levels 3, 4, and 5;

c) for the purposes of point b), "used for own-account purposes" refers to the submission or use, by a counterparty, of covered bonds that are issued or guaranteed by the counterparty itself or by any other entity with which this counterparty has close links as determined in accordance with Article 138 of Directive (EU) 2015/510 (ECB/2014/60);

d) if the additional haircut referred to in point b) cannot be applied due to a collateral management system of a NCB, a triparty agent, or TARGET2-Securities for self-collateralisation, the additional haircut is applied in these systems or on this platform to the total value of issued covered bonds that can be subject to own-account use.

11. To clarify any ambiguity, the provisions of this article are independent and are not taken into account for determining the eligibility of outright purchases under the secondary markets public sector asset purchase programme10; the third covered bond purchase programme11; the asset-backed securities purchase programme12; the corporate sector purchase programme13; and the pandemic emergency purchase programme14.

Article 9. Entry into force and application

1. This Regulation shall enter into force on the day of its publication.

10 Decision (EU) 2020/188 of the European Central Bank of 3 February 2020 on a secondary markets public sector asset purchase programme (ECB/2020/9) (OJ L 39, 12.2.2020, p. 12).
11 Decision (EU) 2020/187 of the European Central Bank of 3 February 2020 on the implementation of the third covered bond purchase programme (ECB/2020/8) (OJ L 39, 12.2.2020, p. 6).
12 Decision (EU) 2015/5 of the European Central Bank of 19 November 2014 on the implementation of the asset-backed securities purchase programme (ECB/2014/45) (OJ L 1, 6.1.2015, p. 4).
13 Decision (EU) 2016/948 of the European Central Bank of 1 June 2016 on the implementation of the corporate sector purchase programme (ECB/2016/16) (OJ L 157, 15.6.2016, p. 28).
14 Decision (EU) 2020/440 of the European Central Bank of 24 March 2020 on a temporary pandemic emergency purchase programme (ECB/2020/17) (OJ L 91, 25.3.2020, p. 1).

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Article 10. Publication

This Regulation shall be published in the Mémorial and on the website of the Central Bank (www.bcl.lu).

CENTRAL BANK OF LUXEMBOURG
The Directorate

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"ANNEX II bis
Haircut rates (%) applied to asset-backed securities eligible under Article 3(2) and Article 8 bis of this Regulation

Credit Quality Weighted Average Life (*) Haircut Level 3 [0-1) 4.8 [1-3) 7.2 [3-5) 10.4 [5-7) 12.0 [7-10) 14.4 [10,∞) 24.0 Level 4 [0-1) 11.2 [1-3) 15.2 [3-5) 18 [5-7) 24.8 [7-10) 30.4 [10,∞) 43.2

• i.e. [0-1) weighted average life less than one year, [1-3) weighted average life equal to or greater than one year but less than three years, etc."

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"ANNEX II ter
Haircut rates (%) applied to negotiable assets, other than asset-backed securities, referred to in Article 8 bis

Category I Category II Category III Category IV Credit Quality Residual Maturity (in years) (*) Fixed coupon and variable coupon Zero coupon Fixed coupon and variable coupon Zero coupon Fixed coupon and variable coupon Zero coupon Fixed coupon and variable coupon Zero coupon Level 4 [0-1) 6.4 6.4 8 8 12.8 12.8 20 20 [1-3) 9.6 10.4 12 15.2 16 18.4 28 30 [3-5) 11.2 12 16 20 19.2 23.6 33.6 37.2 [5-7) 12.4 13.6 20 24.8 22.4 28.4 36.8 40.4 [7-10) 13.2 14.4 21.6 28.4 24.8 32 40 44.8 [10,∞) 14.4 16.8 23.2 31.6 26.4 34.8 41.6 46.8 Level 5 [0-1) 8 8 12 12 22.4 22.4 24 24 [1-3) 11.2 12 16 19.2 25.6 28 32 34 [3-5) 13.2 14 22.4 26.4 28.8 33.2 38.4 42 [5-7) 14.4 15.6 27.2 32 31.6 37.6 43.2 46.8 [7-10) 15.2 16.4 28.8 35.6 33.2 40.4 46.4 51.2 [10,∞) 16.4 18.8 30.4 38.8 33.6 42 48 53.2

• That is [0-1) residual maturity less than one year, [1-3) residual maturity equal to or greater than one year but less than three years, etc."