(1)

In accordance with Article 18.1 of the Statute of the European System of Central Banks and of the European Central Bank, the European Central Bank (ECB) and the national central banks of the Member States whose currency is the euro (hereinafter the ‘NCBs’) may conduct credit operations with credit institutions and other market participants, with lending being based on adequate collateral. The general conditions under which the ECB and the NCBs stand ready to enter into credit operations, including the criteria determining the eligibility of collateral for the purposes of Eurosystem credit operations, are laid down in Guideline (EU) 2015/510 of the European Central Bank (ECB/2014/60) (1).

(2)

All eligible assets for Eurosystem credit operations are subject to specific risk control measures in order to protect the Eurosystem against financial losses in circumstances in which the collateral has to be realised due to an event of default of a counterparty. The Eurosystem risk control framework undergoes regular reviews to ensure adequate protection, resulting in amendments as necessary to the relevant legal acts, in order to reflect the outcomes of such reviews.

(3)

The Governing Council decided on 29 November 2024 to foster greater harmonisation and simplification of the Eurosystem collateral framework, while preserving its breadth. That decision entails, inter alia, the integration into the general collateral framework of certain asset types accepted under the temporary framework, namely (a) marketable assets denominated in US dollars, pounds sterling and Japanese yen; and (b) asset-backed securities with a second-best rating of credit quality step 3 on the Eurosystem’s harmonised rating scale and that fulfil the eligibility criteria stipulated in the temporary collateral framework.

(4)

It is necessary to clarify the valuation haircut applied to credit claims that include either an option to modify the type of interest payment or the possibility for the type of interest payment to change contingent upon the occurrence of a predefined event, during the period of their validity.

(5)

Therefore, Guideline (EU) 2016/65 of the European Central Bank (ECB/2015/35) (2) should be amended accordingly,

(1)

in Article 4, the following point (aa) is inserted:

(2)

Article 5 is amended as follows:

(3)

in the Annex, Table 2a is replaced by the following:

‘Table 2a

Valuation haircut levels applied to eligible marketable assets in haircut category V