open market operations;

standing facilities;

minimum reserve requirements.

main refinancing operations;

longer-term refinancing operations;

fine-tuning operations;

structural operations.

reverse transactions;

foreign exchange swaps for monetary policy purposes;

the collection of fixed-term deposits;

the issuance of ECB debt certificates;

outright transactions.

MROs and LTROs are conducted exclusively by means of reverse transactions;

fine-tuning operations may be conducted by means of:

structural operations may be conducted by means of:

are liquidity-providing operations;

are normally conducted each week in accordance with the indicative calendar for the Eurosystem's regular tender operations;

normally have a maturity of one week, as indicated in the indicative calendar for the Eurosystem's regular tender operations, subject to the exception laid down in paragraph 3;

are executed in a decentralised manner by the NCBs;

are executed by means of standard tender procedures;

are subject to the eligibility criteria laid down in Part Three, which must be fulfilled by all counterparties submitting bids for such operations;

are based on eligible assets as collateral.

are liquidity-providing reverse operations;

are conducted regularly each month in accordance with the indicative calendar for the Eurosystem's regular tender operations, subject to the exception laid down in paragraph 4;

normally have a maturity of three months in accordance with the indicative calendar for the Eurosystem's regular tender operations, subject to the exceptions laid down in paragraphs 3 and 4;

are executed in a decentralised manner by the NCBs;

are executed by means of standard tender procedures;

are subject to the eligibility criteria as laid down in Part Three, which must be fulfilled by all counterparties submitting bids for such operations;

are based on eligible assets as collateral.

may be conducted either as a liquidity-providing or as a liquidity-absorbing operation;

have a frequency and maturity that are normally not standardised;

are normally executed by means of quick tender procedures, unless the Eurosystem decides to conduct the specific fine-tuning operation by other means (standard tender procedure or bilateral procedure) in the light of specific monetary policy considerations or in order to react to market conditions;

are executed in a decentralised manner by the NCBs, without prejudice to Article 45(3);

are subject to the eligibility criteria for counterparties as laid down in Part Three, depending on:

when conducted by means of reverse transactions, they are based on eligible assets as collateral.

are liquidity-providing or liquidity-absorbing operations;

have a frequency and maturity that is not standardised;

are executed by means of tender or bilateral procedures, depending on the specific type of instrument for conducting the structural operation;

are executed in a decentralised manner by the NCBs;

are subject to the eligibility criteria for counterparties as laid down in Part Three, depending on: (i) the specific type of instrument for conducting structural operations; and (ii) the applicable procedure for that specific type of instrument;

liquidity-providing structural operations are based on eligible assets as collateral, with the exception of outright purchases.

may be conducted either as liquidity-providing or liquidity-absorbing operations;

have a frequency and maturity that depends on the category of open market operation for which they are used;

that fall into the category open market operations are executed by means of standard tender procedures, with the exception of fine-tuning operations, where they are executed by means of tender or bilateral procedures;

that fall into the category marginal lending facility are executed as described in Article 18;

are executed in a decentralised manner by the NCBs, without prejudice to Article 45(3).

may be conducted either as liquidity-providing or as liquidity-absorbing operations;

have a frequency and maturity that is not standardised;

are executed by means of quick tender procedures or bilateral procedures, unless the Eurosystem decides to conduct the specific operation by other means (standard tender procedure), in the light of specific monetary policy considerations or in order to react to market conditions;

are executed in a decentralised manner by the NCBs, without prejudice to Article 45(3).

is conducted in order to absorb liquidity;

may be conducted on the basis of a pre-announced schedule of operations with pre-defined frequency and maturity or may be conducted ad hoc to react to liquidity condition developments, e.g. the collection of fixed-term deposits may be conducted on the last day of a reserve maintenance period to counter liquidity imbalances which may have accumulated since the allotment of the last main refinancing operation;

is executed by means of quick tender procedures, unless it is decided by the ECB to conduct the specific operation by other means (bilateral procedure or standard tender procedure), in the light of specific monetary policy considerations or in order to react to market conditions;

is executed in a decentralised manner by the NCBs, without prejudice to Article 45(3).

a discounted issue amount that is below the nominal amount; or

an amount above the nominal amount,

they are issued as a liquidity-absorbing open market operation;

they may be issued on a regular or a non-regular basis;

they have a maturity that is less than 12 months;

they are issued by means of standard tender procedures;

they are tendered and settled in a decentralised manner by the NCBs.

may be conducted as liquidity-providing operations (outright purchases) or liquidity-absorbing operations (outright sales);

have a frequency that is not standardised;

are executed by means of bilateral procedures, unless the ECB decides to conduct the specific operation by quick or standard tender procedures;

are executed in a decentralised manner by the NCBs, without prejudice to Article 45(3);

are based only on eligible marketable assets as specified in Part Four.

transfer a sufficient amount of eligible assets in the case of reverse transactions or the corresponding foreign currency amount in the case of foreign exchange swaps to settle on the settlement day;

ensure adequate collateralisation of the operation until its maturity; the value of the assets mobilised as collateral shall cover at all times the total outstanding amount of the liquidity-providing operation including the accrued interest during the term of the operation. If interest accrues at a positive rate, the applicable amount should be added on a daily basis to the total outstanding amount of the liquidity-providing operation and if it accrues at a negative rate, the applicable amount should be subtracted on a daily basis from the total outstanding amount of the liquidity-providing operation;

when applicable as regards point (b), provide adequate collateralisation by way of corresponding margin calls by means of sufficient eligible assets or cash.

transfer a sufficient amount of cash to settle the amounts they have been allotted in the relevant liquidity absorbing operation;

ensure adequate collateralisation of the operation until its maturity;

when applicable as regards point (b), provide adequate collateralisation by way of corresponding margin calls by means of sufficient eligible assets or cash.

the marginal lending facility;

the deposit facility.

all of a counterparty's bids, if the aggregate amount bid exceeds any maximum bid limit established by the ECB;

any bid of a counterparty, if the bid is below the minimum bid amount;

any bid of a counterparty, if the bid is below the minimum accepted interest rate, price, or swap point or above the maximum accepted interest rate, price or swap point.

The bids shall be added together.

If the aggregate amount bid exceeds the total amount of liquidity to be allotted, the submitted bids shall be satisfied pro rata, based on the ratio of the amount to be allotted to the aggregate amount bid, in accordance with Table 1 of Annex III.

The amount allotted to each counterparty shall be rounded to the nearest euro.

a minimum allotment amount, which is a lower limit on the amount that may be allotted to each bidder; or

a minimum allotment ratio, which is a lower limit, expressed in percentage terms, on the ratio of bids at the marginal interest rate that may be allotted to each bidder.

Bids shall be listed in descending order of offered interest rates or ascending order of offered prices.

Bids with the highest interest rate (lowest price) levels shall be satisfied first and subsequently bids with successively lower interest rates (higher price) shall be accepted, until the total liquidity to be allotted is exhausted.

If at the marginal interest rate (highest accepted price), the aggregate amount bid exceeds the remaining amount to be allotted, the remaining amount shall be allocated pro rata among the bids based on the ratio of the remaining amount to be allotted to the total amount bid at the marginal interest rate (highest accepted price), in accordance with Table 2 of Annex III.

The amount allotted to each counterparty shall be rounded to the nearest euro.

Bids shall be listed in ascending order of offered interest rates or descending order of offered prices.

Bids with the lowest interest rate (highest price) levels shall be satisfied first and subsequently bids with successively higher interest rates (lower price bids) shall be accepted until the total liquidity to be absorbed is exhausted.

If at the marginal interest rate (lowest accepted price), the aggregate bid amount exceeds the remaining amount to be allotted, the remaining amount shall be allocated pro rata among the bids, based on the ratio of the remaining amount to be allotted to the total bid amount at the marginal interest rate (lowest accepted price), in accordance with Table 2 of Annex III.

The amount allotted to each counterparty shall be rounded to the nearest euro. With regard to the issuance of ECB debt certificates, the allotted nominal amount shall be rounded to the nearest multiple of EUR 100 000 .

Bids shall be listed in ascending order of swap point quotations by taking into account the sign of the quotation.

The sign of quotation depends on the sign of the interest rate differential between the foreign currency and the euro. For the maturity of the swap:

The bids with the lowest swap point quotations shall be satisfied first and subsequently successively higher swap point quotations shall be accepted until the total amount of the fixed currency to be allotted is exhausted.

If, at the highest swap point quotation accepted, i.e. the marginal swap point quotation, the aggregate amount bid exceeds the remaining amount to be allotted, the remaining amount shall be allocated pro rata among the bids, based on the ratio of the remaining amount to be allotted to the total amount bid at the marginal swap point quotation, in accordance with Table 3 of Annex III.

The amount allotted to each counterparty shall be rounded to the nearest euro.

Bids shall be listed in descending order of offered swap point quotations by taking into account the sign of the quotation.

The sign of the quotation depends on the sign of the interest rate differential between the foreign currency and the euro. For the maturity of the swap:

Bids with the highest swap point quotations shall be satisfied first and subsequently successively lower swap point quotations shall be accepted until:

The remaining amount shall be allocated pro rata among the bids, based on the ratio of the remaining amount to be allotted to the total amount bid at the marginal swap point quotation, in accordance with Table 3 of Annex III. The amount allotted to each counterparty shall be rounded to the nearest euro.

fine-tuning operations (reverse transactions, foreign exchange swaps or the collection of fixed-term deposits); or

structural operations (outright transactions).

pre-deposit the eligible assets at an NCB; or

settle the eligible assets with an NCB on a delivery-versus-payment basis.

quarterly information on capital, leverage and liquidity ratios reported under Regulation (EU) No 575/2013 on an individual and consolidated basis, in accordance with the supervisory requirements; or

where applicable, prudential information of a standard comparable to information under point (a).

standing facilities;

open market operations executed by means of standard tender procedures.

For fine-tuning operations that are conducted by means of foreign exchange swaps for monetary policy purposes and executed by means of quick tender or bilateral procedures, the range of counterparties shall be identical to the range of entities that are selected for Eurosystem foreign exchange intervention operations and are established in the Member States whose currency is the euro. Counterparties for foreign exchange swaps for monetary policy purposes by means of quick tender or bilateral procedures do not need to fulfil the criteria laid down in Article 55. The selection criteria for counterparties participating in Eurosystem foreign exchange intervention operations are based on the principles of prudence and efficiency, as laid down in Annex V. The NCBs may apply limit-based systems in order to control credit exposures vis-à-vis individual counterparties participating in foreign exchange swaps for monetary policy purposes.

For fine-tuning operations conducted by means of reverse transactions or through the collection of fixed-term deposits and executed by means of quick tender procedures or bilateral procedures, each NCB shall select, for a specific transaction, a set of counterparties from among the institutions that fulfil the eligibility criteria laid down in Article 55 and are established in its Member State whose currency is the euro. The selection shall be primarily based on the relevant institution's activity in the money market. Additional selection criteria may be applied by the NCB, such as the efficiency of the trading desk and the bidding potential.

the transfer of ownership, which takes the legal form of a repurchase agreement; or

the creation of a security interest, i.e. a pledge, assignment or a charge granted over the relevant assets, which takes the legal form of a collateralised loan,

The Eurosystem considers, subject to regular review, a maximum probability of default over a one-year horizon of 0,10 % as equivalent to the credit quality requirement of credit quality step 2 and a maximum probability of default over a one-year horizon of 0,40 % as equivalent to the credit quality requirement of credit quality step 3.

All eligible assets for Eurosystem credit operations shall comply, as a minimum, with a credit quality requirement corresponding to credit quality step 3. Additional credit quality requirements for specific assets shall be applied by the Eurosystem in accordance with Titles II and III of Part Four.

a fixed and unconditional principal amount; or

an unconditional principal amount that is linked, on a flat basis, to only one euro area inflation index at a single point in time, containing no other complex structures.

fixed, zero or multi-step coupons with a pre-defined coupon schedule and pre-defined coupon values;

floating coupons that have the following structure: coupon rate = (reference rate * l) ± x, with f ≤ coupon rate ≤ c, where:

▼M9

▼M4

multi-step or floating coupons with steps linked to SPTs, provided the issuer’s compliance with SPTs is subject to verification by an independent third party in accordance with the terms and conditions of the debt instrument.

International debt instruments issued in global bearer form shall be issued in the form of new global notes (NGNs) and shall be deposited with a common safekeeper which is an ICSD or a CSD that operates an eligible SSS. This requirement shall not apply to international debt instruments issued in global bearer form issued in the form of classical global notes prior to 1 January 2007 and fungible tap issuances of such notes issued under the same ISIN irrespective of the date of the tap-issuance.

International debt instruments issued in global registered form shall be issued under the new safekeeping structure for international debt instruments. By way of derogation, this shall not apply to international debt instruments issued in global registered form prior to 1 October 2010.

International debt instruments in individual note form shall not be eligible unless they were issued in individual note form prior to 1 October 2010.

Safety refers to certainty with regard to transactions, in particular certainty in relation to the validity and enforceability of transactions.

Transparency refers to unimpeded access to information on the market's rules of procedure and operation, the financial features of the assets, the price formation mechanism, and the relevant prices and quantities, e.g. quotes, interest rates, trading volumes, outstanding amounts.

Accessibility refers to the ability of the Eurosystem to take part in and access the market. A market is considered accessible if its rules of procedure and operation allow the Eurosystem to obtain information and conduct transactions when needed for collateral management purposes.

residential mortgages;

loans to small and medium-sized enterprises (SMEs);

auto loans;

consumer finance loans;

leasing receivables;

credit card receivables.

an independent legal assessment in a form and substance acceptable to the Eurosystem that sets out the applicable clawback rules in the relevant country; and/or

other documents, such as a solvency certificate from the transferor for the suspect period, which is a certain period of time during which the sale of cash-flow generating assets backing the ABSs may be invalidated by a liquidator.

rules under which the sale of cash-flow generating assets backing the ABSs can be invalidated by a liquidator solely on the basis that the sale was concluded within the suspect period, as referred to in paragraph 1(b), before the declaration of insolvency of the seller; or

rules where such invalidation can only be prevented by the transferee if they can prove that they were not aware of the insolvency of the seller at the time of the sale.

The cash-flow generating assets backing the ABSs meet the criteria laid down in Article 129(1)(d) to (f) of Regulation (EU) No 575/2013.

The cash-flow generating assets were originated by an entity closely linked to the issuer, as described in Article 138.

They are used as a technical tool to transfer mortgages or guaranteed real estate loans from the originating entity into the cover pool.

On a quarterly basis, the NCBs shall request a self-certification and undertaking of the issuer confirming that the cover pool does not contain ABSs that do not comply with paragraph 1. The NCB’s request shall specify that the self-certification must be signed by the issuer’s Chief Executive Officer (CEO), Chief Financial Officer (CFO) or a manager of similar seniority, or by an authorised signatory on their behalf.

On an annual basis, NCBs shall request an ex post confirmation by external auditors or cover pool monitors from the issuer, confirming that the cover pool does not contain ABSs that do not comply with paragraph 1 for the monitoring period.

With the exception of ABSs, all marketable assets shall have a credit assessment provided by at least one accepted ECAI system, expressed in the form of a public credit rating, in compliance with, as a minimum, credit quality step 3 in the Eurosystem's harmonised rating scale.

ABSs shall have credit assessments that are provided by at least two different accepted ECAI systems expressed in the form of two public credit ratings, one provided by each of these ECAI systems, in compliance with, as a minimum, credit quality step 2 in the Eurosystem's harmonised rating scale.

If the issuers or guarantors are regional governments, local authorities or CRR public sector entities, which are treated for capital requirements purposes pursuant to Articles 115(2) or 116(4) of Regulation (EU) No 575/2013 equally to the central government in whose jurisdiction they are established, the debt instruments issued or guaranteed by these entities shall be allocated the credit quality step corresponding to the best credit rating provided by an accepted ECAI to the central government in whose jurisdiction these entities are established.

If the issuers or guarantors are regional governments, local authorities and CRR public sector entities which are not referred to in point (a) the debt instruments issued or guaranteed by these entities shall be allocated the credit step corresponding to one credit quality step below the best credit rating provided by an accepted ECAI to the central government in which jurisdiction these entities are established.

If the issuers or guarantors are ‘public sector entities’ as defined in point (75) of Article 2 and are not referred to in points (a) and (b), no implicit credit assessment is derived and the debt instruments issued or guaranteed by these entities shall be treated equally to debt instruments issued or guaranteed by private sector entities, i.e. as not having an appropriate credit assessment.

verification of the existence of credit claims;

validity of the agreement for the mobilisation of credit claims;

full effect of the mobilisation vis-à-vis third parties;

an absence of restrictions concerning the mobilisation and realisation of credit claims;

an absence of restrictions concerning banking secrecy and confidentiality.

They shall obtain a written confirmation from counterparties, at least each quarter, by which counterparties shall confirm:

They shall require counterparties to submit in relation to credit claims mobilised as collateral from May 2021, where applicable, the relevant analytical credit database (AnaCredit) identifiers (i.e. the ‘Observed Agent’ identifier, the ‘Contract’ identifier and the ‘Instrument’ identifier), as submitted under the statistical reporting requirements in accordance with Regulation (EU) 2016/867 of the European Central Bank (ECB/2016/13) ( 16 ).

They, or relevant central credit registers, banking supervision competent authorities or external auditors, shall perform random checks in respect of the quality and accuracy of the written confirmation of counterparties, by means of delivery of physical documentation or through on-site visits. The information checked in relation to each credit claim shall cover as a minimum the characteristics that determine the existence and the eligibility of credit claims. For counterparties with ECAF-approved internal ratings-based (IRB) systems, additional checks on the credit quality assessment of credit claims shall be carried out involving checks of PDs with respect to debtors of credit claims that are used as collateral in Eurosystem credit operations.

If debtor notification or public registration of the mobilisation of a credit claim as collateral is necessary to ensure full effectiveness of the mobilisation vis-à-vis third parties, and in particular to ensure the priority of the home NCB's security interest vis-à-vis other creditors, these notification or registration requirements shall be completed in advance or at the time of the credit claim's actual mobilisation as collateral.

If ex ante notification of the debtor or public registration of the mobilisation of a credit claim as collateral is not required in accordance with point (a), as specified in the applicable national documentation, ex post notification of the debtor is required. Ex post notification means that the debtor shall be notified by the counterparty or the home NCB, as specified by the national documentation, about the credit claim being mobilised as collateral by the counterparty to the benefit of the NCB immediately following an event of default or similar credit event as further specified in the applicable national documentation.

The NCBs may decide to require ex ante notification or public registration in advance or at the time of mobilisation, even if these formalities are not necessary for the purposes set out in point (a).

For credit claims that are bearer instruments, the home NCB may require that such bearer instruments are physically transferred to it or to a third party in advance, or at the time of actual mobilisation as collateral. The notification requirements set out in points (a) and (b) shall not apply to credit claims that are bearer instruments.

a specific ECB DECC loan-level data reporting template; or

an ABS loan-level data reporting template in accordance with Article 73;

an ESMA securitisation repository; or

a Eurosystem designated repository.

verification of the existence of the underlying credit claims;

validity of the agreement for the mobilisation of underlying credit claims;

full effect of the mobilisation vis-à-vis third parties;

an absence of restrictions on the transfer of the underlying credit claims;

an absence of restrictions on the realisation of the underlying credit claims;

an absence of restrictions related to banking secrecy and confidentiality.

Further details of the specific features of the national jurisdictions shall be provided in the relevant national documentation of the NCBs.

It shall obtain written confirmation from the originator, at least on a quarterly basis, by which the originators shall confirm:

The NCB of the country where the originator is located or the relevant central credit registers, banking supervision competent authorities or external auditors, shall perform random checks in respect of the quality and accuracy of the written confirmation of originators, by means of delivery of physical documentation or through on-site visits. The information checked in relation to each underlying credit claim shall cover as a minimum the characteristics that determine the existence and the eligibility of underlying credit claims. For originators with ECAF-approved internal ratings-based (IRB) systems, additional checks on the credit quality assessment of underlying credit claims shall be carried out involving checks of PDs with respect to debtors of credit claims backing DECCs that are used as collateral in Eurosystem credit operations.

For the checks that are undertaken in accordance with Article 107f(3), (4)(a) or (4)(b) by NCB of the country where the originator is located, supervisors, external auditors or central credit registers, those undertaking the checks shall be authorised to carry out these investigations, if necessary contractually or in accordance with the applicable national requirements.

At times it may be necessary to have debtor notification or public registration of: (i) the transfer (direct or indirect) of the underlying credit claims to the issuer; or (ii) when counterparties mobilise DECCs as collateral to the home NCB to ensure full effectiveness of such a transfer or mobilisation vis-à-vis third parties; and in particular (iii) to ensure the priority of the issuer's security interest (with respect to the underlying credit claims) and/or the home NCB's security interest (with respect to the DECCs as collateral) vis-à-vis other creditors. In such cases, these notification or registration requirements shall be completed: (i) in advance or at the time of the underlying credit claims' actual transfer (direct or indirect) to the issuer; or (ii) at the time that counterparties mobilise the DECCs as collateral to the home NCB.

If exante notification of the debtor or public registration is not required in accordance with point (a), as specified in the applicable national documentation, ex post notification of the debtor is required. Ex post notification means that the debtor shall be notified, as specified by national documentation, about the underlying credit claims being transferred or mobilised immediately following an event of default or similar credit event as further specified in the applicable national documentation.

Points (a) and (b) are minimum requirements. The Eurosystem may decide to require ex ante notification or registration in addition to the situations above, including in the case of bearer instruments.

the facility agent is a credit institution located in a Member State; and

the service relationship between the relevant syndicate member and the facility agent can be transferred alongside or as part of the syndicated loan share.

If a credit assessment from the system or source selected by the counterparty exists, the Eurosystem shall use it to establish whether the public sector entity acting as debtor or guarantor meets the Eurosystem's credit quality requirements for non-marketable assets laid down in Article 108.

In the absence of a credit assessment under point (a), the Eurosystem shall use an ECAI credit assessment provided by an accepted ECAI system for the public sector entity acting as debtor or guarantor.

If a credit assessment is unavailable pursuant to points (a) or (b), the procedure laid down in Article 87 for marketable assets shall apply to the relevant public sector entity as debtor or guarantor.

in the case of marketable assets in accordance with Article 70, in the EEA, unless a guarantee is not needed to establish the credit quality requirements for a specific debt instrument. The possibility to use an ECAI guarantor rating to establish the relevant credit quality requirements for marketable assets is addressed in Article 84.

for debt instruments guaranteed by non-financial corporations for which no credit assessment has been provided by an accepted ECAI for the issue, the issuer or the guarantor, in accordance with Article 70, the guarantor shall be established in a Member State whose currency is the euro;

in the case of credit claims in accordance with Article 96, in a Member State whose currency is the euro, unless a guarantee is not needed to establish the credit quality requirements for non-marketable assets. The option to use a credit assessment in respect of a guarantor to establish the relevant credit quality requirements for credit claims is addressed in Article 108.

ECAIs;

NCBs' in-house credit assessment systems (ICASs);

counterparties' internal rating-based (IRB) systems.

ECAIs shall be registered by the European Securities and Markets Authority in accordance with Regulation (EC) No 1060/2009.

ECAIs shall fulfil operational criteria and provide relevant coverage so as to ensure the efficient implementation of the ECAF. In particular, the use of an ECAI credit assessment is subject to the availability to the Eurosystem of information on these assessments, as well as information for the comparison and the assignment, i.e. mapping of the assessments to the Eurosystem's credit quality steps and for the purposes of the performance monitoring process under Article 126.

a copy of the decision of the competent authority authorising the counterparty to use its IRB system for capital requirements purposes on a consolidated or non-consolidated basis, together with any specific conditions for such use;

an up-to-date assessment by the competent authority reflecting the currently available information on all issues affecting the use of the IRB for collateral purposes and all issues relating to the data used for the ECAF performance monitoring process;

information on any changes to the counterparty's IRB system recommended or required by the competent authority, together with the deadline by which such changes must be implemented;

information on its approach to assigning probabilities of default to debtors, as well as data on the rating grades and associated one-year probabilities of default used to determine eligible rating grades;

a copy of the latest Pillar 3 (market discipline) information that the counterparty is required to publish on a regular basis in accordance with the requirements on market discipline under the Basel III Framework, Directive 2013/36/EU and Regulation (EU) No 575/2013;

the name and the address of the competent authority and the external auditor;

information on the historical record of the counterparty's IRB system's observed default rates per rating grades covering the five calendar years preceding the relevant request. If the competent authority granted the IRB system's authorisation for capital requirements purposes during these calendar years, the information shall cover the time since the IRB system's authorisation for capital requirements purposes. The historical annual data on the observed default rates and potential additional information shall comply with the provisions for performance monitoring in Article 126 as if the IRB system had been subject to these provisions over this time period;

information required for performance monitoring outlined in Article 126 as requested from already ECAF-approved IRB systems for the ongoing calendar year at the time of the filing of the request.

ad hoc checks on the procedures in place for communicating a credit claim's features to the home NCB;

annual checks by the home NCB (or, where relevant, the competent authority or external auditor) to establish the accuracy and validity of static pools as referred to in Annex IX;

the provision, no later than within the course of the next business day, of information in respect of eligibility changes and the immediate withdrawal of relevant credit claims, if necessary;

notifications to the home NCB of facts or circumstances that could materially influence the continued use of the IRB system for ECAF purposes or the way in which the IRB system leads to the establishment of eligible collateral, including in particular material changes to a counterparty's IRB system which may impact on the manner in which the IRB system's rating grades or probabilities of default correspond with the Eurosystem harmonised rating scale.

valuation haircuts as laid down in Guideline (EU) 2016/65 of the European Central Bank (ECB/2015/35) ( 17 );

variation margins (marking-to-market):

the Eurosystem requires the haircut-adjusted market value of the eligible assets used in its liquidity-providing reverse transactions to be maintained over time. If the value of the eligible assets, which are measured on a daily basis, falls below a certain level, the home NCB shall require the counterparty to supply additional assets or cash by way of a margin call. Similarly, if the value of the eligible assets exceeds a certain level following their revaluation, the NCB may return the excess assets or cash;

limits in relation to the use of unsecured debt instruments issued by a credit institution or by any other entity with which that credit institution has close links as described in Article 138;

valuation markdowns as laid down in Guideline (EU) 2016/65 (ECB/2015/35).

initial margins, meaning that counterparties provide eligible assets with a value at least equal to the liquidity provided by the Eurosystem plus the value of the relevant initial margin;

limits in relation to issuers, debtors or guarantors: the Eurosystem may apply additional limits, other than those applied to the use of unsecured debt instruments referred to in paragraph (1)(c), to the exposure vis-à-vis issuers, debtors or guarantors;

supplementary haircuts;

additional guarantees from guarantors meeting the Eurosystem's credit quality requirements in order to accept certain assets;

the exclusion of certain assets from use as collateral in Eurosystem credit operations.

eligibility criteria;

procedures for selection and mobilisation;

sources and principles of valuation;

risk control measures;

settlement procedures.

may be issued, held and settled outside the EEA;

may be denominated in currencies other than the euro; and

shall not have a coupon value that results in a negative cash flow.

the counterparty owns directly, or indirectly through one or more other undertakings, 20 % or more of the capital of that other entity;

that other entity owns directly, or indirectly through one or more other undertakings, 20 % or more of the capital of the counterparty;

a third party owns, either directly or indirectly through one or more undertakings, 20 % or more of the capital of the counterparty and 20 % or more of the capital of the other entity.

close links, as defined under paragraph 2, created as a result of the existence of an EEA public sector entity that has the right to levy taxes and is either (i) an entity that owns directly, or indirectly through one or more undertakings, 20 % or more of the capital of the counterparty, or (ii) a third party that owns, either directly or indirectly through one or more undertakings, 20 % or more of the capital of the counterparty and 20 % or more of the capital of the other entity, provided that no other close links exist between the counterparty and the other entity except the close links resulting from one or more EEA public sector entities that have the right to levy taxes;

EEA-legislative covered bonds that:

non-marketable RMBDs and DECCs;

multi-cédulas issued before 1 May 2015 where the underlying cédulas comply with the criteria set out in Article 129(1) to (3) and (6) of Regulation (EU) No 575/2013.

NCBs may obtain regular surveillance reports providing an overview of assets in the cover pool of EEA legislative covered bonds;

If surveillance reports do not provide sufficient information for verification purposes, NCBs may obtain a self-certification and undertaking of the counterparty mobilising an EEA legislative covered bond by which the counterparty shall confirm that the cover pool of EEA legislative covered bonds does not include, in breach of paragraph 3(b)(ii), unsecured bank bonds which are issued by that counterparty or any other entity closely linked to that counterparty, and are fully guaranteed by one or several EEA public entities which have the right to levy taxes. The counterparty’s self-certification must be signed by the counterparty’s CEO, CFO or a manager of similar seniority, or by an authorised signatory on their behalf.

On an annual basis, NCBs may obtain from the counterparty mobilising an EEA-legislative covered bond an ex post confirmation by external auditors or cover pool monitors that the cover pool of EEA legislative covered bonds does not include, in breach of paragraph 3(b)(ii), unsecured bank bonds which are issued by that counterparty or any other entity closely linked to that counterparty, and are fully guaranteed by one or several EEA public sector entities which have the right to levy taxes.

If the counterparty does not provide the self-certification or confirmation referred to in points (b) and (c) upon request from the NCB, the EEA legislative covered bond shall not be mobilised as collateral by that counterparty.

if the value of such assets does not exceed EUR 50 million after any applicable haircut;

if such assets are guaranteed by a public sector entity which has the right to levy taxes by way of a guarantee that complies with the features laid down in Article 114; or

if such assets are issued by an agency, a multilateral development bank or an international organisation.

the counterparty has close links with the issuer account bank in the asset-backed securities transaction;

the current amount of the reserve fund of the asset-backed securities transaction is greater than 5 % of the initial outstanding amount of all senior and subordinated tranches of the asset-backed securities transaction;

the current amount of the reserve fund of the asset-backed securities transaction is greater than 25 % of the current outstanding amount of the subordinated tranches of the asset-backed securities transaction.

the counterparty has close links with a liquidity facility provider; and

the current amount of the liquidity facility of the asset-backed securities transaction is greater than 20 % of the initial outstanding amount of all senior and subordinated tranches of the asset-backed securities transaction.

the relevant counterparty's payment module (PM) account in TARGET2, as provided for in Article 36(6) of Annex II to Guideline ECB/2012/27; or

with the prior authorisation of a settlement bank, the TARGET2 PM account of a settlement bank, used for the relevant counterparty's Eurosystem credit operations; or

any other account that can be used for Eurosystem monetary policy operations and that the relevant counterparty has with the NCB,

marketable assets shall be mobilised via one of the following: (i) eligible links; (ii) applicable CCBM procedures; (iii) eligible links in combination with the CCBM procedures;

DECCs and RMBDs shall be mobilised in accordance with applicable CCBM procedures; and

credit claims shall be mobilised either (i) via applicable CCBM procedures or (ii) in accordance with domestic procedures, as laid down in the relevant national documentation of the home NCB.

as regards reverse transactions and foreign exchange swaps for monetary policy purposes, the obligations, as laid down in Article 15, to adequately collateralise and settle the amount the counterparty has been allotted over the whole term of a particular operation including any outstanding amount of a particular operation in the case of early termination executed by the NCB over the remaining term of an operation;

as regards collection of fixed-term deposits, outright transactions and the issuance of ECB debt certificates, the obligation to settle the transaction, as laid down in Article 16;

as regards the use of eligible assets, the obligation to mobilise or use only eligible assets and comply with the rules for the use of eligible assets in Title VIII of Part Four;

as regards end-of-day procedures and access conditions for the marginal lending facility, the obligation to present sufficient eligible assets in advance as collateral in cases where there is any remaining negative balance on a counterparty's settlement account in TARGET2 after finalisation of the end-of-day control procedures and an automatic request for recourse to the marginal lending facility is therefore considered to arise, as laid down in Article 19(6);

any payment obligations pursuant to Article 144a(3).

a financial penalty only; or

both a financial penalty and a non-financial penalty.

a financial penalty was imposed;

each decision to impose a financial penalty was notified to the counterparty;

each occasion of non-compliance relates to the same type of non-compliance,

a financial penalty was imposed;

each decision to impose a financial penalty was notified to the counterparty;

each occasion of non-compliance relates to the same type of non-compliance,

suspend, limit or exclude a counterparty's access to Eurosystem monetary policy operations, pursuant to any contractual or regulatory arrangements applied by its home NCB or by the ECB;

reject, limit the use of or apply supplementary haircuts to assets mobilised as collateral in Eurosystem credit operations by a specific counterparty on the basis of any information the Eurosystem considers relevant, in particular if the credit quality of the counterparty appears to exhibit a high correlation with the credit quality of the assets mobilised as collateral.

counterparties for which information on capital and/or leverage ratios under Regulation (EU) No 575/2013 is incomplete or not made available to the relevant NCB and the ECB in a timely manner and at the latest within 14 weeks from the end of the relevant quarter;

counterparties which are not required to report capital and leverage ratios under Regulation (EU) No 575/2013 but for which information of a comparable standard as referred to in Article 55(b)(iii) is incomplete or not made available to the relevant NCB and the ECB in a timely manner and at the latest within 14 weeks from the end of the relevant quarter.

are not made subject to a resolution action by the resolution authority because there are reasonable prospects that an alternative private sector measure or supervisory action, as referred to in Article 18(1)(b) of Regulation (EU) No 806/2014 and national legislation implementing Article 32(1)(b) of Directive 2014/59/EU, would prevent the failure of the institution within a reasonable timeframe, in view of the development of the alternative private sector measure or supervisory action;

are assessed as meeting the conditions for resolution pursuant to Article 18(1) of Regulation (EU) No 806/2014 or national legislation implementing Article 32(1) of Directive 2014/59/EU, in view of the development of the resolution action;

result from a resolution action as defined under Article 3(10) of Regulation (EU) No 806/2014 and national legislation implementing Article 2(40) of Directive 2014/59/EU or from an alternative private sector measure or supervisory action as referred to in Article 18(1)(b) of Regulation (EU) No 806/2014 and national legislation implementing Article 32(1)(b) of Directive 2014/59/EU.

assets issued, co-issued, serviced or guaranteed by counterparties, or entities closely linked to counterparties subject to freezing of funds and/or other measures imposed by the Union under Article 75 of the Treaty or by a Member State restricting the use of funds; and/or

assets issued, co-issued, serviced or guaranteed by counterparties, or entities closely linked to counterparties in respect of which the Eurosystem has suspended, limited or excluded their access to Eurosystem monetary policy operations.

a decision is made by a competent judicial or other authority to implement, in relation to the counterparty, a procedure for the winding-up of the counterparty or the appointment of a liquidator or analogous officer over the counterparty, or any other analogous procedure;

a decision is made by a competent judicial or other authority to implement, in relation to the counterparty, a reorganisation measure or other analogous procedure intended to safeguard or restore the financial situation of the counterparty and to avoid the taking of a decision of the kind referred to in point (a);

a declaration by the counterparty in writing of its inability to pay all or any part of its debts or to meet its obligations arising in relation to monetary policy transactions, or a voluntary general agreement or arrangement entered into by it with its creditors, or if the counterparty is, or is deemed to be, insolvent or is deemed to be unable to pay its debts;

procedural steps preliminary to a decision being taken under points (a) or (b);

any representation or other pre-contractual statement made by the counterparty, or which is implied to have been made by the counterparty, under applicable provisions of law that is incorrect or untrue;

the counterparty's authorisation to conduct activities under either: (a) Directive 2013/36/EU and Regulation (EU) No 575/2013; or (b) Directive 2004/39/EC of the European Parliament and of the Council ( 19 ), as implemented in the relevant Member State whose currency is the euro, is suspended or revoked;

the counterparty is suspended or expelled from membership of any payment system or arrangement through which payments under monetary policy transactions are made or (except for foreign exchange swap transactions) is suspended or expelled from membership of any SSS used for the settlement of Eurosystem monetary policy operations;

measures such as those referred to in Articles 41(1), 43(1) and 44 of Directive 2013/36/EU are taken against the counterparty;

in relation to reverse transactions, the counterparty fails to comply with provisions concerning risk control measures;

in relation to repurchase transactions, the counterparty fails to pay the purchase price or the repurchase price or fails to deliver purchased or repurchased assets; or in relation to collateralised loans, the counterparty fails to deliver assets or reimburse the credit on the applicable dates for such payments and deliveries;

in relation to foreign exchange swaps for monetary policy purposes and fixed-term deposits, the counterparty fails to pay the euro amount; or in relation to foreign exchange swaps for monetary policy purposes, fails to pay foreign currency amounts on the applicable dates for such payments;

the occurrence of an event of default, not materially different from those defined in this Article, in relation to the counterparty under an agreement concluded for the purposes of the management of the foreign reserves or own funds of the ECB or any NCBs;

the counterparty fails to provide relevant information, thus causing severe consequences for the home NCB;

the counterparty fails to perform any other of its other obligations under arrangements for reverse transactions and foreign exchange swap transactions and, if capable of remedy, does not remedy such failure within a maximum of 30 days in the case of collateralised transactions and a maximum of 10 days for foreign exchange swap transactions after notice is given by the NCB requiring it to do so;

an event of default occurs in relation to the counterparty in any agreement with another member of the Eurosystem entered into for the purpose of effecting Eurosystem monetary policy operations in respect of which that other member of the Eurosystem has exercised its right to close out any transaction under such agreement by reason of the event of default;

the counterparty becomes subject to freezing of funds and/or other measures imposed by the Union under Article 75 of the Treaty restricting the counterparty's ability to use its funds;

the counterparty becomes subject to the freezing of funds and/or other measures imposed by a Member State whose currency is the euro restricting the counterparty's ability to use its funds;

all or a substantial part of the counterparty's assets are subject to a freezing order, attachment, seizure or any other procedure that is intended to protect the public interest or the rights of the counterparty's creditors;

all or a substantial part of the counterparty's assets are assigned to another entity;

any other impending or existing event, the occurrence of which may threaten the performance by the counterparty of its obligations under the arrangement it entered into for the purpose of effecting Eurosystem monetary policy operations or any other rules applying to the relationship between the counterparty and any of the NCBs.

suspending, limiting or excluding the counterparty from access to open market operations;

suspending, limiting or excluding the counterparty from access to the standing facilities;

terminating all outstanding agreements and transactions;

demanding accelerated performance of claims that have not yet matured or are contingent;

using deposits of the counterparty placed with the NCB to set off claims against that counterparty;

suspending the performance of obligations against the counterparty until the claim on the counterparty has been satisfied.

claiming default interest; and

claiming an indemnity for any losses sustained as a consequence of a default by the counterparty.

arising out of the cross-border use of eligible assets; and

as necessary for operations effected with counterparties acting through an intermediary institution.

in the case of conversion, those into which the assets have converted;

in the case of a call being made on assets, equivalent assets to the paid-up assets, provided that the seller has paid to the buyer a sum equal to the value of the call;

in the case of redenominated assets, equivalent assets to those into which the original assets have been redenominated with, as necessary, a sum of money equal to any difference in value between the assets before and after their redenomination.

Upon the occurrence of an event of default, the repurchase date for each transaction shall be deemed to occur immediately and be subject to either of the following options:

The default market values of the repurchased assets and any equivalent margin assets to be transferred and the repurchase price to be paid by each party shall be established by the NCB for all transactions as at the repurchase date in a commercially reasonable manner.

On the basis of point (b), the NCB shall calculate what is due from each party to the other at the repurchase date. The sums due from one party must be set off against the sums due from the other and only the net balance is payable by the party having the claim thereby valued at the lower amount.

The net balance shall be due and payable on the next day on which TARGET2 is operational to effect a payment. For the purposes of this calculation, any sums not denominated in euro must be converted into euro on the appropriate date at the rate calculated in accordance with Article 175.

If an event of default has occurred, each transaction shall be deemed to have been terminated and the replacement values of the euro and the retransfer foreign currency amounts shall be established by the NCB on the basis that such replacement values are the amounts that would be necessary to preserve the economic equivalent of any payments that would otherwise have been required for the NCB.

On the basis of the sums so established, the NCB shall calculate what is due from each party to the other at the retransfer date. The sums due by one party must be converted into euro where necessary in accordance with Article 175 and set off against the sums due by the other. Only the net balance shall be payable by the party having the claim thereby valued at the lower amount. Such net balance is due and payable on the next day on which TARGET2 is operational to effect such a payment.