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Document 02014O0060-20240506
Guideline (EU) 2015/510 of the European Central Bank of 19 December 2014 on the implementation of the Eurosystem monetary policy framework (General Documentation Guideline) (ECB/2014/60) (recast)
Consolidated text: Guideline (EU) 2015/510 of the European Central Bank of 19 December 2014 on the implementation of the Eurosystem monetary policy framework (General Documentation Guideline) (ECB/2014/60) (recast)
Guideline (EU) 2015/510 of the European Central Bank of 19 December 2014 on the implementation of the Eurosystem monetary policy framework (General Documentation Guideline) (ECB/2014/60) (recast)
ELI: http://data.europa.eu/eli/guideline/2015/510/2024-05-06
02014O0060 — EN — 06.05.2024 — 014.001
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►M2 GUIDELINE (EU) 2015/510 OF THE EUROPEAN CENTRAL BANK of 19 December 2014 on the implementation of the Eurosystem monetary policy framework (General Documentation Guideline) (ECB/2014/60) ◄ (OJ L 091 2.4.2015, p. 3) |
Amended by:
Corrected by:
GUIDELINE (EU) 2015/510 OF THE EUROPEAN CENTRAL BANK
of 19 December 2014
on the implementation of the Eurosystem monetary policy framework (General Documentation Guideline) (ECB/2014/60)
(recast)
CONTENTS |
|
PART ONE — |
SUBJECT MATTER, SCOPE AND DEFINITIONS |
PART TWO — |
THE EUROSYSTEM MONETARY POLICY TOOLS, OPERATIONS, INSTRUMENTS AND PROCEDURES |
TITLE I — |
Open market operations |
Chapter 1 — |
Overview of open market operations |
Chapter 2 — |
Categories of open market operations |
Chapter 3 — |
Instruments for open market operations |
TITLE II — |
Standing facilities |
Chapter 1 — |
Marginal lending facility |
Chapter 2 — |
Deposit facility |
TITLE III — |
Procedures for Eurosystem monetary policy operations |
Chapter 1 — |
Tender procedures for Eurosystem open market operations |
Section 1 — |
Tender procedures |
Section 2 — |
Operational steps for tender procedures |
Subsection 1 — |
Announcement of tender procedures |
Subsection 2 — |
Preparation and submission of bids by counterparties |
Subsection 3 — |
Tender allotment |
Subsection 4 — |
Announcement of tender results |
Section 3 — |
Bilateral procedures for Eurosystem open market operations |
Chapter 2 — |
Settlement procedures for Eurosystem monetary policy operations |
PART THREE — |
ELIGIBLE COUNTERPARTIES |
PART FOUR — |
ELIGIBLE ASSETS |
TITLE I — |
General principles |
TITLE II — |
Eligibility criteria and credit quality requirements for marketable assets |
Chapter 1 — |
Eligibility criteria for marketable assets |
Section 1 — |
General eligibility criteria for marketable assets |
Section 2 — |
Specific eligibility criteria for certain types of marketable assets |
Subsection 1 — |
Specific eligibility criteria for asset-backed securities |
Subsection 2 — |
Specific eligibility criteria for covered bonds backed by asset-backed securities |
Subsection 3 — |
Specific eligibility criteria for debt certificates issued by the ECB or by NCBs prior to the date of adoption of the euro in their respective Member State |
Subsection 4— |
Specific eligibility criteria for certain unsecured debt instruments |
Chapter 2 — |
Eurosystem's credit quality requirements for marketable assets |
TITLE III — |
Eligibility criteria and credit quality requirements for non-marketable assets |
Chapter 1 — |
Eligibility criteria for non-marketable assets |
Section 1 — |
Eligibility criteria for credit claims |
Section 2 — |
Eligibility criteria for fixed-term deposits |
Section 3 — |
Eligibility criteria for RMBDs |
Section 4 — |
Eligibility criteria for DECCs |
Chapter 2 — |
Eurosystem's credit quality requirements for non-marketable assets |
Section 1 — |
Eurosystem's credit quality requirements for credit claims |
Section 2 — |
Eurosystem's credit quality requirements for RMBDs |
Section 3 — |
The Eurosystem's credit quality requirements for DECCs |
TITLE IV — |
Guarantees for marketable and non-marketable assets |
TITLE V — |
Eurosystem credit assessment framework for eligible assets |
TITLE VI — |
Risk control and valuation framework of marketable and non-marketable assets |
Chapter 1 — |
Risk control measures for marketable assets |
Chapter 2 — |
Risk control measures for non-marketable assets |
Chapter 3 — |
Valuation rules for marketable and non-marketable assets |
TITLE VIII — |
Rules for the use of eligible assets |
TITLE IX — |
Cross-border use of eligible assets |
PART FIVE — |
SANCTIONS IN THE EVENT OF A FAILURE TO COMPLY WITH COUNTERPARTY OBLIGATIONS |
PART SIX — |
DISCRETIONARY MEASURES |
PART SEVEN — |
ADDITIONAL MINIMUM COMMON FEATURES IN RELATION TO EUROSYSTEM MONETARY POLICY OPERATIONS |
Chapter 1 — |
Additional minimum common features applicable to all arrangements for Eurosystem monetary policy operations |
Chapter 2 — |
Additional minimum common features applicable to both repurchase and collateralised loan agreements |
Chapter 3 — |
Additional minimum common features exclusive to repurchase agreements |
Chapter 4 — |
Additional minimum common features exclusive to collateralised loan arrangements |
Chapter 5 — |
Additional minimum common features exclusive to foreign exchange swaps for monetary policy purposes |
PART SEVEN A — |
SPECIAL PROVISIONS IN THE EVENT OF A TARGET2 DISRUPTION OVER SEVERAL BUSINESS DAYS |
PART EIGHT — |
FINAL PROVISIONS |
ANNEX I — |
Minimum reserves |
ANNEX II — |
Announcement of tender operations |
ANNEX III — |
Allotment of tenders and tender procedures |
ANNEX IV — |
Announcement of tender results |
ANNEX V — |
Criteria for the selection of counterparties to participate in foreign exchange intervention operations |
ANNEX VI — |
Cross-border use of eligible assets |
ANNEX VIa — |
Eligibility criteria for the use of securities settlement systems and links between securities settlement systems in Eurosystem credit operations |
ANNEX VII — |
Calculation of sanctions to be applied in accordance with part five and financial penalties to be applied in accordance with part seven |
ANNEX VIII — |
Loan-level data reporting requirements for asset-backed securities and the requirements for loan-level data repositories |
ANNEX IX — |
Eurosystem credit assessment framework performance monitoring process |
ANNEX IXa — |
Minimum coverage requirements for external credit assessment institutions in the Eurosystem credit assessment framework |
ANNEX IXb — |
Minimum requirements in the Eurosystem credit assessment framework for new issue and surveillance reports on covered bond programmes |
ANNEX IXc — |
ECAI acceptance criteria and application process |
ANNEX XI — |
Security forms |
ANNEX XII — |
Examples of Eurosystem monetary policy operations and procedure |
ANNEX XIIa — |
|
ANNEX XIII — |
Correlation table |
ANNEX XIV — |
Repealed Guideline with list of its successive amendments |
PART ONE
SUBJECT MATTER, SCOPE AND DEFINITIONS
Article 1
Subject matter and scope
Article 2
Definitions
For the purposes of this Guideline, the following definitions shall apply:
‘actual/360 day-count convention’ means the convention applied in Eurosystem monetary policy operations which determines the actual number of calendar days included in the calculation of interest by using a 360-day year as the basis;
‘agency’ means an entity that is established in a Member State whose currency is the euro and that either engages in certain common-good activities carried out at national or regional level or serves their funding needs, and which the Eurosystem has classified as an agency. The list of entities classified as agencies shall be published on the ECB's website and shall specify whether the quantitative criteria for valuation haircut purposes set out in Annex XIIa are met in respect of each entity;
‘asset-backed securities’ (ABSs) means debt instruments that are backed by a pool of ring fenced financial assets (fixed or revolving), that convert into cash within a finite time period. In addition, rights or other assets may exist that ensure the servicing or timely distribution of proceeds to the holders of the security. Generally, asset-backed securities are issued by a specially created investment vehicle which has acquired the pool of financial assets from the originator or seller. In this regard, payments on the asset-backed securities depend primarily on the cash flows generated by the assets in the underlying pool and other rights designed to assure timely payment, such as liquidity facilities, guarantees or other features generally known as credit enhancements;
‘bilateral procedure’ means a procedure whereby the NCBs or, if appropriate, the ECB conduct outright transactions directly with one or more counterparties, or through stock exchanges or market agents, without making use of tender procedures;
‘book-entry system’ means a system that enables transfers of securities and other financial assets which do not involve the physical movement of paper documents or certificates, e.g. the electronic transfer of securities;
‘business day’ means: (a) in relation to an obligation to make a payment, any day on which ►M13 TARGET ◄ is operational to effect such a payment; or (b) in relation to an obligation to deliver assets, any day on which the SSS through which delivery is to be made is open for business in the place where delivery of the relevant securities is to be effected;
‘central securities depository’ (CSD) means a central securities depository as defined in point (1) of Article 2(1) of Regulation (EU) No 909/2014 of the European Parliament and of the Council ( 1 );
‘collateralised loan’ means an arrangement between an NCB and a counterparty whereby liquidity is provided to a counterparty by way of a loan that is secured by an enforceable security interest granted by that counterparty to the NCB in the form of e.g. a pledge, assignment or charge granted over assets;
‘collection of fixed-term deposits’ means an instrument used in conducting open market operations, whereby the Eurosystem invites counterparties to place fixed-term deposits on accounts with their home NCBs in order to absorb liquidity from the market;
‘competent authority’ means a public authority or body officially recognised by national law that is empowered by national law to supervise institutions as part of the supervisory system in the relevant Member State, including the ECB with regard to the tasks conferred on it by Council Regulation (EU) No 1024/2013 ( 2 );
‘counterparty’ means an institution fulfilling the eligibility criteria laid down in Part Three entitling it to access the Eurosystem's monetary policy operations;
‘covered bond’ means a debt instrument that is dual recourse: (a) directly or indirectly to a credit institution; and (b) to a dynamic cover pool of underlying assets, and for which there is no tranching of risk;
‘credit claim’ means a claim for the repayment of money, which constitutes a debt obligation of a debtor vis-à-vis a counterparty. Credit claims also include Schuldscheindarlehen and Dutch-registered private claims on the government or other eligible debtors that are covered by a government guarantee, e.g. housing associations;
‘credit institution’ means a credit institution within the meaning of Article 2(5) of Directive 2013/36/EU of the European Parliament and of the Council ( 3 ) and point (1) of Article 4(1) of Regulation (EU) No 575/2013 of the European Parliament and of the Council ( 4 ), which is subject to supervision by a competent authority; or a publicly-owned credit institution within the meaning of Article 123(2) of the Treaty that is subject to supervision of a standard comparable to supervision by a competent authority;
‘credit rating’ has the same meaning as in Article 3(1)(a) of Regulation (EC) No 1060/2009 of the European Parliament and of the Council ( 5 );
‘cross-border use’ means the submission, as collateral, by a counterparty to its home NCB of:
marketable assets held in another Member State whose currency is the euro;
marketable assets issued in another Member State and held in the Member State of the home NCB;
credit claims where the credit claim agreement is governed by the laws of another Member State whose currency is the euro other than that of the home NCB;
retail mortgage-backed debt instruments (RMBDs) in accordance with the applicable procedures of the CCBM;
non-marketable debt instruments backed by eligible credit claims (DECCs) issued and held in another Member State whose currency is the euro other than that of the home NCB;
‘currency hedge’ means an agreement entered into between a securities issuer and a hedge counterparty, pursuant to which a portion of the currency risk arising from the receipt of cash flows in a non-euro currency is mitigated by swapping the cash flows for euro currency payments to be made by the hedge counterparty, including any guarantee by the hedge counterparty of those payments;
‘custodian’ means an entity which undertakes the safekeeping and administration of securities and other financial assets on behalf of others;
‘default market value’ means, with regard to any assets on any date:
the market value of such assets at the default valuation time calculated on the basis of the most representative price on the business day preceding the valuation date;
in the absence of a representative price for a particular asset on the business day preceding the valuation date, the last trading price is used. If no trading price is available, the NCB undertaking the operation will define a price, taking into account the last price identified for the asset in the reference market;
in the case of assets for which no market value exists, any other reasonable method of valuation;
if the NCB has sold the assets or equivalent assets at the market price before the default valuation time, the net proceeds of sale, after deducting all reasonable costs, fees and expenses incurred in connection with such sale, such calculation being made and amounts determined by the NCB;
‘delivery-versus-payment’ or ‘delivery-against-payment system’ means a mechanism in an exchange-for-value settlement system which ensures that the final transfer, i.e. the delivery, of assets occurs only upon the occurrence of a corresponding final transfer of other assets, i.e. the payment;
‘deposit facility’ means a standing facility offered by the Eurosystem which counterparties may use to make overnight deposits at the Eurosystem through an NCB, which are remunerated at a pre-specified interest rate;
‘deposit facility rate’ means the interest rate applied to the deposit facility;
‘direct link’ means an arrangement between two SSSs operated by CSDs, whereby one CSD becomes a direct participant in the SSS operated by the other CSD by opening a securities account, in order to allow the transfer of securities through a book-entry process;
‘domestic use’ means the submission, as collateral, by a counterparty established in a Member State whose currency is the euro, of:
marketable assets issued and held in the same Member State as that of its home NCB;
credit claims where the credit claim agreement is governed by the laws of the Member State of its home NCB;
RMBDs issued by entities established in the Member State of its home NCB;
non-marketable debt instruments backed by eligible credit claims issued and held in the same Member State as that of its home NCB;
‘earmarking system’ means a system for NCBs' collateral management whereby liquidity is provided against specified, identifiable assets earmarked as collateral for specified Eurosystem credit operations. The substitution of these assets with other specific eligible assets may be permitted by the home NCB provided that they are earmarked as collateral and are adequate for the specific operation;
‘ECONS credit’ means credit provided within contingency processing as referred to in point 2.3 and point 3.2 of Appendix IV to Annex I to Guideline (EU) 2022/912 of the European Central Bank (ECB/2022/8) ( 6 );
‘EEA legislative covered bond’ means a covered bond which is issued in accordance with the requirements under Article 52(4) of Directive 2009/65/EC of the European Parliament and of the Council ( 7 );
‘eligible assets’ means assets that fulfil the criteria laid down in Part Four and are accordingly eligible as collateral for Eurosystem credit operations;
‘eligible link’ means a direct or relayed link that the Eurosystem has assessed as compliant with the eligibility criteria laid down in Annex VIa for use in Eurosystem credit operations and is published on the Eurosystem list of eligible links on the ECB's website. An eligible relayed link is composed of underlying eligible direct links;
‘eligible SSS’ means an SSS operated by a CSD that the Eurosystem has assessed as compliant with the eligibility criteria laid down in Annex VIa for use in Eurosystem credit operations and is published on the Eurosystem list of eligible SSSs on the ECB's website;
‘ESMA reporting activation date’ means the first day on which both (a) a securitisation repository has been registered by the European Securities and Markets Authority (ESMA) and therefore becomes an ESMA securitisation repository and (b) the relevant implementing technical standards, in the format of the standardised templates, have been adopted by the Commission under Article 7(4) of Regulation (EU) 2017/2402 of the European Parliament and of the Council ( 8 ) and have become applicable;
‘ESMA securitisation repository’ means a securitisation repository within the meaning of point (23) of Article 2 of Regulation (EU) 2017/2402, which is registered with ESMA pursuant to Article 10 of that Regulation;
‘euro area inflation index’ means an index provided by Eurostat or a national statistical authority of a Member State whose currency is the euro, e.g. the Harmonised Index of Consumer Prices (HICP);
‘European Economic Area’ (EEA) means all Member States, regardless of whether or not they have formally acceded to the EEA, together with Iceland, Liechtenstein and Norway;
‘Eurosystem’ means the ECB and the NCBs;
‘Eurosystem business day’ means any day on which the ECB and at least one NCB are open for the purpose of conducting Eurosystem monetary policy operations;
‘Eurosystem credit operations’ means: (a) liquidity-providing reverse transactions, i.e. liquidity-providing Eurosystem monetary policy operations excluding foreign exchange swaps for monetary policy purposes and outright purchases; (b) intraday credit; and (c) ECONS credit;
‘Eurosystem designated repository’ means an entity designated by the Eurosystem in accordance with Annex VIII and which continues to fulfil the requirements for designation set out in that Annex;
‘Eurosystem monetary policy operations’ means open market operations and standing facilities;
▼M6 —————
‘final transfer’ means an irrevocable and unconditional transfer which effects the discharge of the obligation to make the transfer;
‘financial corporation’ means a financial corporation as defined in Annex A to Regulation (EU) No 549/2013 of the European Parliament and of the Council ( 9 );
‘fine-tuning operations’ means a category of open market operations executed by the Eurosystem, particularly to deal with liquidity fluctuations in the market;
‘fixed coupons’ means debt instruments with a predetermined periodic interest payment;
‘fixed-rate tender procedure’ means a tender procedure whereby the ECB specifies the interest rate, price, swap point or spread in advance of the tender procedure and participating counterparties bid the amount they want to transact at that fixed interest rate, price, swap point or spread;
‘floating coupon’ means a coupon linked to a reference interest rate with a resetting period corresponding to this coupon of no longer than one year;
‘foreign exchange swap for monetary policy purposes’ is an instrument used in conducting open market operations whereby the Eurosystem buys or sells euro spot against a foreign currency and, at the same time, sells or buys it back in a forward transaction on a specified repurchase date;
‘home NCB’ means the NCB of the Member State whose currency is the euro in which the counterparty is established;
‘indicative calendar for the Eurosystem's regular tender operations’ means a calendar prepared by the Eurosystem that indicates the timing of the reserve maintenance period, as well as the announcement, allotment and maturity of main refinancing operations and regular longer-term refinancing operations;
‘in-kind recapitalisation with public debt instruments’ means any form of increase in the subscribed capital of a credit institution where all or part of the consideration is provided through a direct placement with the credit institution of sovereign or public sector debt instruments that have been issued by the sovereign state or public sector entity providing the new capital to the credit institution;
‘international central securities depository’ (ICSD) means a CSD that is active in the settlement of internationally traded securities from various national markets, typically across currency areas;
‘international organisation’ means an entity listed in Article 118 of Regulation (EU) No 575/2013, whereby exposures to such an entity are assigned a 0 % risk weight;
‘international securities identification number’ (ISIN) means the international identification code assigned to securities issued in financial markets;
‘intraday credit’ means intraday credit as defined in Article 2, point (35), of Guideline (EU) 2022/912 (ECB/2022/8), in conjunction with point (35) of Annex III to that Guideline;
‘investment firm’ means an investment firm within the meaning of point (2) of Article 4(1) of Regulation (EU) No 575/2013;
‘investment fund’ means money market funds (MMFs) or non-money market funds (non-MMFs) as defined in Annex A to Regulation (EU) No 549/2013;
‘issuance of ECB debt certificates’ means a monetary policy instrument used in conducting open market operations, whereby the ECB issues debt certificates which represent a debt obligation of the ECB in relation to the certificate holder;
▼M12 —————
‘leasing receivables’ means the scheduled and contractually mandated payments by the lessee to the lessor under the term of a lease agreement. Residual values are not leasing receivables. Personal Contract Purchase (PCP) agreements, i.e. agreements pursuant to which the obligor may exercise its option: (a) to make a final payment to acquire full legal title of the goods; or (b) to return the goods in settlement of the agreement; are assimilated to leasing agreements;
‘legislative covered bond’ means a covered bond which is either an EEA legislative covered bond or a non-EEA G10 legislative covered bond;
‘liquidity support’ means any structural, actual or potential feature that is designed or deemed appropriate to cover any temporary cash flow shortfall that may occur during the lifetime of an ABS transaction;
‘loan-level data repository’ means an ESMA securitisation repository or a Eurosystem designated repository;
‘longer-term refinancing operations’ (LTROs) means a category of open market operations that are executed by the Eurosystem in the form of reverse transactions that are aimed at providing liquidity with a maturity longer than that of the main refinancing operations to the financial sector;
‘main refinancing operations’ (MROs) means a category of regular open market operations that are executed by the Eurosystem in the form of reverse transactions;
‘maintenance period’ has the same meaning as defined in Regulation (EU) 2021/378 of the European Central Bank (ECB/2021/1) ( 10 );
‘margin call’ means a procedure relating to the application of variation margins, implying that if the value of the assets mobilised as collateral by a counterparty, as regularly measured, falls below a certain level, the Eurosystem requires the counterparty to supply additional eligible assets or cash. For pooling systems, a margin call is performed only in cases of under-collateralisation, and for earmarking systems symmetric margin calls are performed, each method as further specified in the national documentation of the home NCB;
‘marginal interest rate’ means the lowest interest rate in liquidity-providing variable rate tender procedures at which bids are fulfilled, or the highest interest rate in liquidity-absorbing variable rate tender procedures at which bids are fulfilled;
‘marginal lending facility’ means a standing facility offered by the Eurosystem which counterparties may use to receive overnight credit from the Eurosystem through an NCB at a pre-specified interest rate subject to a requirement for sufficient eligible assets as collateral;
‘marginal lending facility rate’ means the interest rate applied to the marginal lending facility;
‘marginal swap point quotation’ means the swap point quotation at which the total tender allotment is exhausted;
‘marketable assets’ means debt instruments that are admitted to trading on a market and that fulfil the eligibility criteria laid down in Part Four;
‘maturity date’ means the date on which a Eurosystem monetary policy operation expires. In the case of a repurchase agreement or swap, the maturity date corresponds to the repurchase date;
‘Member State’ means a Member State of the Union;
‘multi cédulas’ means debt instruments issued by specific Spanish SPVs (Fondo de Titulización de Activos, FTA) enabling a certain number of small-sized single cédulas (Spanish covered bonds) from several originators to be pooled together;
‘multilateral development bank’ means an entity listed in Article 117(2) of Regulation (EU) No 575/2013, whereby exposures to such an entity are assigned a 0 % risk weight;
‘multiple rate auction (American auction)’ means an auction in which the allotment interest rate or price or swap point equals the interest rate or price or swap point offered in each individual bid;
‘multi-step coupon’ means a coupon structure where the margin part (x) increases more than once during the life of the asset according to a predetermined schedule on predetermined dates, usually the call date or the coupon payment date;
‘national central bank’ (NCB) means a national central bank of a Member State whose currency is the euro;
‘NCB business day’ means any day on which an NCB is open for the purpose of conducting Eurosystem monetary policy operations, including days when branches of such an NCB may be closed due to local or regional bank holidays;
‘non-EEA G10 countries’ means the countries participating in the Group of Ten (G10) that are not EEA countries, i.e. Canada, Japan, Switzerland, the United Kingdom and the United States;
‘non-EEA G10 legislative covered bond’ means a covered bond issued in accordance with the requirements of the national covered bond legislative framework of a non-EEA G10 country;
‘non-financial corporation’ has the same meaning as in Regulation (EU) No 549/2013;
‘non-marketable asset’ means any of the following assets: fixed-term deposits, credit claims, RMBDs and non-marketable debt instruments backed by eligible credit claims;
‘Non-marketable debt instruments backed by eligible credit claims’ (hereinafter ‘DECCs’) means debt instruments:
that are backed, directly or indirectly, by credit claims that satisfy all Eurosystem eligibility criteria for credit claims in accordance with Section 1, Chapter 1 of Title III of Part Four, subject to the provisions of Article 107f;
that offer dual recourse to: (i) a credit institution that is the originator of the underlying credit claims; and (ii) the dynamic cover pool of underlying credit claims referred to in point (a);
for which there is no tranching of risk;
▼M9 —————
‘outright transaction’ means an instrument used in conducting open market operations, whereby the Eurosystem buys or sells eligible marketable assets outright in the market (spot or forward), resulting in a full transfer of ownership from the seller to the buyer with no connected reverse transfer of ownership;
‘pooling system’ means a system for NCBs' collateral management, whereby a counterparty maintains a pool account with an NCB to deposit assets collateralising that counterparty's related Eurosystem credit operations, whereby the assets are recorded in such a way that an individual eligible asset is not linked to a specific Eurosystem credit operation and the counterparty may substitute eligible assets on a continuous basis;
‘public credit rating’ means a credit rating which is: (a) issued or endorsed by a credit rating agency registered in the Union that is accepted as an external credit assessment institution by the Eurosystem; and (b) disclosed publicly or distributed by subscription;
‘public sector entity’ means an entity that is classified by a national statistical authority as a unit within the public sector for the purposes of Regulation (EU) No 549/2013;
‘quick tender’ means a tender procedure, which is normally executed within a time frame of 105 minutes from the announcement of the tender to the certification of the allotment result, and which can be restricted to a limited set of counterparties, as further specified in Part Two;
‘relayed link’ means a link established between SSSs operated by two different CSDs which exchange securities transactions or transfers through a third SSS operated by a CSD acting as an intermediary or, in the case of SSSs operated by CSDs participating in TARGET2-Securities, through several SSSs operated by CSDs acting as intermediaries;
‘repurchase agreement’ means an arrangement whereby an eligible asset is sold to a buyer without any retention of ownership on the part of the seller, while the seller simultaneously obtains the right and the obligation to repurchase an equivalent asset at a specific price on a future date or on demand;
‘repurchase date’ means the date on which the buyer is obliged to sell back equivalent assets to the seller in relation to a transaction under a repurchase agreement;
‘repurchase price’ means the price at which the buyer is obliged to sell back equivalent assets to the seller in relation to a transaction under a repurchase agreement. The repurchase price equals the sum of the purchase price and the price differential corresponding to the interest on the advanced liquidity over the maturity of the operation;
‘reverse transaction’ means an instrument used in conducting open market operations and when providing access to the marginal lending facility whereby an NCB buys or sells eligible assets under a repurchase agreement or conducts credit operations in the form of collateralised loans;
‘safe custody account’ means a securities account managed by an ICSD, CSD or NCB on which credit institutions can place securities eligible for Eurosystem credit operations;
‘securities settlement system’ (SSS) means a securities settlement system as defined in point (10) of Article 2(1) of Regulation (EU) No 909/2014, which allows the transfer of securities, either free of payment (FOP), or against payment (delivery versus payment (DVP));
‘settlement date’ means the date on which a transaction is settled;
‘single rate auction (Dutch auction)’ means an auction in which the allotment interest rate or price or swap point applied for all satisfied bids is equal to the marginal interest rate or price or swap point;
‘Special Purpose Vehicle’ (SPV) means a securitisation special purpose entity as defined in point 66 of Article 4(1) of Regulation (EU) No 575/2013;
‘standard tender’ means a tender procedure which is normally carried out within a time frame of 24 hours from the announcement of the tender to the certification of the allotment result;
‘structural operations’ means a category of open market operations executed by the Eurosystem to adjust the structural liquidity position of the Eurosystem vis-à-vis the financial sector or pursue other monetary policy purposes as further specified in Part Two;
▼M9 —————
‘sustainability-linked bond issuer group’ means a group of undertakings that operate as a single economic entity and constitute a reporting entity for the purposes of presenting consolidated accounts, comprising the parent undertaking and all of its direct and indirect subsidiaries;
‘sustainability performance target’ (SPT) means a target set out in a publicly available issuance document, measuring quantified improvements in the sustainability profile of the issuer or of one or more undertakings belonging to the same sustainability-linked bond issuer group over a predefined period of time with reference to one or more of the environmental objectives set out in Regulation (EU) 2020/852 of the European Parliament and of the Council ( 11 ) and/or to one or more of the Sustainable Development Goals set by the United Nations relating to climate change or environmental degradation ( 12 );
‘swap point’ means the difference between the exchange rate of the forward transaction and the exchange rate of the spot transaction in a foreign exchange swap, quoted according to general market conventions;
‘tap issuance’ or ‘tap issue’ means an issue forming a single series with an earlier issuance or issue;
‘TARGET’ means the new-generation Trans-European Automated Real-time Gross Settlement Express Transfer system, regulated under Guideline (EU) 2022/912 (ECB/2022/8);
‘TARGET account’ means TARGET account as defined in Article 2, point (59), of Guideline (EU) 2022/912 (ECB/2022/8), in conjunction with point (59) of Annex III to that Guideline;
‘tender procedure’ means a procedure whereby the Eurosystem provides liquidity to, or withdraws liquidity from, the market whereby the NCB enters into transactions by accepting bids submitted by counterparties after a public announcement;
‘trade date (T)’ means the date on which a trade, i.e. an agreement on a financial transaction between two counterparties, is struck. The trade date may coincide with the settlement date for the transaction (same-day settlement) or precede the settlement date by a specified number of business days (the settlement date is specified as T + the settlement lag);
▼M9 —————
‘tri-party agent’ (TPA) means a CSD operating an eligible SSS that has entered into a contract with an NCB whereby such CSD is to provide certain collateral management services as an agent of that NCB;
‘Union’ means the European Union;
‘valuation haircut’ means a percentage decrease applied to the market value of an asset mobilised as collateral in Eurosystem credit operations;
‘valuation markdown’ means a certain percentage decrease in the market value of assets, mobilised as collateral in Eurosystem credit operations, prior to the application of any valuation haircut;
‘variable rate tender procedure’ means a tender procedure whereby participating counterparties bid both the amount they want to transact and the interest rate, swap point or price at which they want to enter into transactions with the Eurosystem in competition with each other, and whereby the most competitive bids are satisfied first until the total amount offered is exhausted;
‘wind-down entity’ means an entity, whether privately or publicly owned, that (a) has as its main purpose the gradual divestment of its assets and the cessation of its business; or (b) is an asset management or divestment entity established to support financial sector restructuring and/or resolution, including asset management vehicles resulting from a resolution action in the form of the application of an asset separation tool pursuant to Article 26 of Regulation (EU) No 806/2014 of the European Parliament and of the Council ( 13 ) or national legislation implementing Article 42 of Directive 2014/59/EU of the European Parliament and of the Council ( 14 );
‘zero coupon’ means a debt instrument with no periodic coupon payments.
PART TWO
THE EUROSYSTEM MONETARY POLICY TOOLS, OPERATIONS, INSTRUMENTS AND PROCEDURES
Article 3
Eurosystem monetary policy implementation framework
The tools used by the Eurosystem in the implementation of monetary policy shall consist of:
open market operations;
standing facilities;
minimum reserve requirements.
Article 4
Indicative characteristics of the Eurosystem monetary policy operations
An overview of the characteristics of the Eurosystem monetary policy operations is set out in Table 1.
Table 1
Overview of characteristics of the Eurosystem monetary policy operations
Categories of the monetary policy operations |
Types of instruments |
Maturity |
Frequency |
Procedure |
||
Provision of liquidity |
Absorption of liquidity |
|||||
Open market operations |
Main refinancing operations |
Reverse transactions |
— |
One week |
Weekly |
Standard tender procedures |
Longer-term refinancing operations |
Reverse transactions |
— |
Three months (*1) |
Monthly (*1) |
Standard tender procedures |
|
Fine-tuning operations |
Reverse transactions |
Reverse transactions |
Non-standardised |
Non-standardised |
Tender procedures ►M11 ◄ |
|
Foreign exchange swaps |
Foreign exchange swaps |
|||||
— |
Collection of fixed-term deposits |
|||||
Structural operations |
Reverse transactions |
Reverse transactions |
Non-standardised |
Non-standardised |
Standard tender procedures (*2) |
|
— |
Issuance of ECB debt certificates |
Less than 12 months |
||||
Outright purchases |
Outright sales |
— |
||||
Standing facilities |
Marginal lending facility |
Reverse transactions |
— |
Overnight |
Access at the discretion of counterparties |
|
Deposit facility |
— |
Deposits |
Overnight |
Access at the discretion of counterparties |
||
(*1)
Pursuant to Article 7(2)(b), Article 7(2)(c), Article 7(3) and Article 7(4).
(*2)
Pursuant to Article 9(2)(c), Article 10(4)(c) and Article 13(5)(d).
(*3)
Pursuant to Article 9(2)(c) and Article 14(3)(c). |
TITLE I
OPEN MARKET OPERATIONS
CHAPTER 1
Overview of open market operations
Article 5
Overview of categories and instruments in respect of open market operations
Depending on their specific purpose, open market operations can be grouped under the following categories:
main refinancing operations;
longer-term refinancing operations;
fine-tuning operations;
structural operations.
Open market operations shall be conducted by means of the following instruments:
reverse transactions;
foreign exchange swaps for monetary policy purposes;
the collection of fixed-term deposits;
the issuance of ECB debt certificates;
outright transactions.
As regards the specific categories of open market operations laid down in paragraph 2, the following instruments referred to in paragraph 3 shall be applicable:
MROs and LTROs are conducted exclusively by means of reverse transactions;
fine-tuning operations may be conducted by means of:
reverse transactions;
foreign exchange swaps for monetary policy purposes;
the collection of fixed-term deposits;
structural operations may be conducted by means of:
reverse transactions;
the issuance of ECB debt certificates;
outright transactions.
CHAPTER 2
Categories of open market operations
Article 6
Main refinancing operations
As regards their operational features, MROs:
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.
Article 7
Longer-term refinancing operations
As regards their operational features, LTROs:
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.
Article 8
Fine-tuning operations
As regards their operational features, fine-tuning operations:
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 means of a 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;
are subject to the eligibility criteria for counterparties as laid down in Part Three, depending on:
the specific type of instrument for conducting fine-tuning operations; and
the applicable procedure for that specific type of instrument;
when conducted by means of reverse transactions, they are based on eligible assets as collateral.
Article 9
Structural operations
As regards their operational features, structural operations:
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.
CHAPTER 3
Instruments for open market operations
Article 10
Reverse transactions
As regards their operational features, reverse transactions for monetary policy purposes:
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 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.
Article 11
Foreign exchange swaps for monetary policy purposes
As regards their operational features, foreign exchange swaps for monetary policy purposes:
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, unless the Eurosystem decides to conduct the specific operation by means of a 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.
Counterparties participating in foreign exchange swaps for monetary policy purposes shall be subject to the eligibility criteria as laid down in Part Three, depending on the applicable procedure for the relevant operation.
Table 2
The exchange rate terms of foreign exchange swaps for monetary policy purposes
S |
= |
spot (on the transaction date of the foreign exchange swap) of the exchange rate between the euro (EUR) and a foreign currency ABC
|
FM |
= |
forward exchange rate between the euro and a foreign currency ABC on the repurchase date of the swap (M)
|
ΔΜ |
= |
forward points between the euro and ABC at the repurchase date of the swap (M)
|
N(.) |
= |
spot amount of currency; N(.)M is the forward amount of currency: or
or
|
Article 12
Collection of fixed-term deposits
As regards their operational features, the collection of fixed-term deposits:
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 means of a 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.
Article 13
Issuance of ECB debt certificates
The ECB may issue ECB debt certificates at:
a discounted issue amount that is below the nominal amount; or
an amount above the nominal amount,
which are to be redeemed at maturity at a nominal amount.
The difference between the issue and the nominal (redemption) amount shall equal the interest accrued on the issue amount, at the agreed interest rate, over the maturity of the certificate. The interest rate applied shall be a simple interest rate based on the actual/360 day-count convention. The calculation of the issue amount shall be made in accordance with Table 3.
Table 3
Issuance of ECB debt certificates
The issue amount is:
where:
N |
= |
nominal amount of the ECB debt certificate |
rI |
= |
interest rate (in %) |
D |
= |
maturity of the ECB debt certificate (in days) |
PT |
= |
issue amount of the ECB debt certificate |
As regards the operational features of ECB debt certificates:
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 in a decentralised manner by the NCBs.
Article 14
Outright transactions
As regards their operational features, outright transactions:
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, unless the ECB’s Governing Council decides that the ECB or one or more NCBs, acting as the ECB’s operating arm, shall conduct the specific operation;
are based only on eligible marketable assets as specified in Part Four.
Article 15
Obligations of collateralisation and settlement in reverse transactions and foreign exchange swaps for monetary policy purposes
With regard to liquidity-providing reverse transactions and liquidity-providing foreign exchange swaps for monetary policy purposes, counterparties shall:
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.
With regard to liquidity-absorbing reverse transactions and liquidity-absorbing foreign exchange swaps for monetary policy purposes, counterparties shall:
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.
Article 16
Obligations for settlement for outright purchases and sales, the collection of fixed-term deposits and the issuance of ECB debt certificates
TITLE II
STANDING FACILITIES
Article 17
Standing facilities
Standing facilities shall consist of the following categories:
the marginal lending facility;
the deposit facility.
CHAPTER 1
Marginal lending facility
Article 18
Characteristics of the marginal lending facility
Article 19
Access conditions for the marginal lending facility
Article 20
Maturity and interest rate of the marginal lending facility
CHAPTER 2
Deposit facility
Article 21
Characteristics of the deposit facility
Article 22
Access conditions to the deposit facility
▼M13 —————
Article 23
Maturity and interest rate of the deposit facility
TITLE III
PROCEDURES FOR EUROSYSTEM MONETARY POLICY OPERATIONS
CHAPTER 1
Tender procedures for Eurosystem open market operations
Article 24
Types of procedures for open market operations
Open market operations shall be executed through tender procedures.
Article 25
Overview of tender procedures
Tender procedures shall be performed in six operational steps, as specified in Table 4.
Table 4
Operational steps for tender procedures
Step 1 |
Tender announcement (a) ECB public announcement (b) NCBs' public announcement and direct announcement to individual counterparties (if deemed necessary) |
Step 2 |
Counterparties' preparation and submission of bids |
Step 3 |
Compilation of bids by the Eurosystem |
Step 4 |
Tender allotment and announcement of tender results (a) ECB tender allotment decision (b) ECB public announcement of the allotment results |
Step 5 |
Certification of individual allotment results |
Step 6 |
Settlement of the transactions |
Tender procedures shall be conducted in the form of standard tender procedures or quick tender procedures. ►M13 The operational features of standard and quick tender procedures are identical, except for the time frame and the range of counterparties. ◄
▼M13 —————
Table 5a
Indicative time frame for standard and quick tender procedures (times are stated in Central European Time (*1))
|
Standard tender procedures |
Quick tender procedures |
|
|
MRO |
Regular LTRO |
|
Tender announcement |
T-1 15:40 |
T-1 15:55 |
T hh:mm |
Deadline for counterparties’ submission of bids |
T 09:30 |
T 10:00 |
+ 00:30 |
Announcement of tender results |
T 11:30 |
T 12:00 |
+ 01:35 |
Settlement of transactions |
T+1 |
T+1 |
T |
(*1)
Central European Time (CET) takes account of the change to Central European Summer Time. T stands for ‘trade day’. |
▼M13 —————
Article 26
Standard tender procedures
Article 27
Quick tender procedures
Article 28
Execution of standard tender procedures for MROs and regular LTROs, based on the tender calendar
The indicative trade days for MROs and regular LTROs are specified in Table 7.
Table 7
Normal trade days for MROs and regular LTROs
Category of open market operations |
Normal trade day (T) |
MROs |
Each Tuesday (*1) |
Regular LTROs |
The last Tuesday of each calendar month (*2) |
(*1)
Special scheduling can take place due to holidays.
(*2)
Due to the holiday period, the December operation is normally brought forward by one week, i.e. to the preceding Tuesday of the month. |
Article 29
Execution of tender procedures for fine-tuning and structural operations without a tender operation calendar
Article 30
Announcement of standard and quick tender procedures
Article 31
Form and place of submission of bids
Article 32
Submission of bids
Article 33
Minimum and maximum bid amounts
Article 34
Minimum and maximum bid rate
Article 35
Deadline for submission of bids
Article 36
Rejection of bids
An NCB shall reject:
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.
Article 37
Allotment in liquidity-providing and liquidity-absorbing fixed-rate tender procedures
In a fixed-rate tender procedure, the bids of counterparties shall be allotted in the following manner:
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.
The ECB may decide to allot:
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.
Article 38
Allotment in liquidity-providing variable rate tender procedures in euro
In a liquidity-providing variable rate tender procedure in euro, the bids of counterparties shall be allotted in the following manner:
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.
Article 39
Allotment in liquidity-absorbing variable rate tender procedures in euro
In a liquidity-absorbing variable rate tender procedure in euro, used for the issuance of ECB debt certificates and the collection of fixed term deposits, the bids of counterparties shall be allotted in the following manner:
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 .
Article 40
Allotment in liquidity-providing variable rate foreign exchange swap tender procedures
In a liquidity-providing variable rate foreign exchange swap tender procedure, the bids of counterparties shall be allotted in the following manner:
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:
if the foreign currency interest rate is higher than the corresponding interest rate for the euro, the swap point quotation is positive, i.e. the euro is quoted at a premium to the foreign currency; and
if the foreign currency interest rate is lower than the corresponding interest rate for the euro, the swap point quotation is negative, i.e. the euro is quoted at a discount to the foreign currency.
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.
Article 41
Allotment in liquidity-absorbing variable rate foreign exchange swap tender procedures
In a liquidity-absorbing variable rate foreign exchange swap tender procedure, the bids of counterparties shall be allotted in the following manner:
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:
if the foreign currency interest rate is higher than the corresponding interest rate for the euro, the swap point quotation is positive, i.e. the euro is quoted at a premium to the foreign currency; and
if the foreign currency interest rate is lower than the corresponding interest rate for the euro, the swap point quotation is negative, i.e. the euro is quoted at a discount to the foreign currency.
Bids with the highest swap point quotations shall be satisfied first and subsequently successively lower swap point quotations shall be accepted until:
the total amount of the fixed currency to be absorbed is exhausted; and
at the lowest 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.
Article 42
Type of auction for variable rate tender procedures
For variable rate tender procedures, the Eurosystem may apply either a single rate auction (Dutch auction) or multiple rate auction (American auction).
Article 43
Announcement of tender results
▼M11 —————
CHAPTER 2
Settlement procedures for Eurosystem monetary policy operations
Article 49
Overview of settlement procedures
Payment orders relating to the participation in open market liquidity-providing operations or use of the marginal lending facility shall only be settled at the moment of or after the final transfer of the eligible assets as collateral to the operation. For this purpose, counterparties shall:
pre-deposit the eligible assets at an NCB; or
settle the eligible assets with an NCB on a delivery-versus-payment basis.
Article 50
Settlement of open market operations
The indicative settlement dates are summarised in Table 8.
Table 8
Indicative settlement dates for Eurosystem open market operations (*1)
Monetary policy instrument |
Settlement date for open market operations based on standard tender procedures |
►M11 Settlement date for open market operations based on quick tender procedures ◄ |
Reverse transactions |
T + 1 |
T |
Outright transactions |
According to market convention for the eligible assets |
|
Issuance of ECB debt certificates |
T + 2 |
— |
Foreign exchange swaps |
T, T + 1 or T + 2 |
|
Collection of fixed-term deposits |
T |
|
(*1)
The settlement date refers to Eurosystem business days. T refers to the trade day. |
Article 51
Settlement of open market operations executed by means of standard tender procedures
Article 52
Settlement of open market operations conducted by means of quick tender procedures or bilateral procedures
Article 53
Further provisions relating to settlement and end-of-day procedures
Article 54
Reserve holdings and excess reserves
Reserve holdings that exceed the minimum reserves referred to in paragraph 2 shall be remunerated in accordance with Decision (EU) 2019/1743 of the European Central Bank (ECB/2019/31) ( 17 ).
PART THREE
ELIGIBLE COUNTERPARTIES
Article 55
Eligibility criteria for participation in Eurosystem monetary policy operations
With regard to Eurosystem monetary policy operations, subject to Article 57, the Eurosystem shall only allow participation by institutions that fulfil the following criteria:
they shall be subject to the Eurosystem's minimum reserve system pursuant to Article 19.1 of the Statute of the ESCB and shall not have been granted an exemption from their obligations under the Eurosystem's minimum reserve system pursuant to Regulation (EC) No 2531/98 and Regulation (EU) 2021/378 (ECB/2021/1);
they shall be one of the following:
subject to at least one form of harmonised Union/EEA supervision by competent authorities in accordance with Directive 2013/36/EU and Regulation (EU) No 575/2013;
publicly owned credit institutions, within the meaning of Article 123(2) of the Treaty, subject to supervision of a standard comparable to supervision by competent authorities under Directive 2013/36/EU and Regulation (EU) No 575/2013;
institutions subject to non-harmonised supervision by competent authorities of a standard comparable to harmonised Union/EEA supervision by competent authorities under Directive 2013/36/EU and Regulation (EU) No 575/2013, e.g. branches established in Member States whose currency is the euro of institutions incorporated outside the EEA. For the purpose of assessing an institution's eligibility to participate in Eurosystem monetary policy operations, as a rule, non-harmonised supervision shall be considered to be of a standard comparable to harmonised Union/EEA supervision by competent authorities under Directive 2013/36/EU and Regulation (EU) No 575/2013, if the relevant Basel III standards adopted by the Basel Committee on Banking Supervision are considered to have been implemented in the supervisory regime of a given jurisdiction;
they must be financially sound within the meaning of Article 55a;
they shall fulfil all operational requirements specified in the contractual or regulatory arrangements applied by the home NCB or ECB with respect to the specific instrument or operation.
Article 55a
Assessment of the financial soundness of institutions
In its assessment of the financial soundness of individual institutions for the purposes of this Article, the Eurosystem may take into account the following prudential information:
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).
Article 56
Access to open market operations executed by means of standard tender procedures and to standing facilities
Institutions fulfilling the eligibility criteria under Article 55 shall have access to any of the following Eurosystem monetary policy operations:
standing facilities;
open market operations executed by means of standard tender procedures.
Article 57
Selection of counterparties for access to open market operations executed by means of quick tender procedures
For fine-tuning operations that are executed by means of quick tender procedures, counterparties shall be selected as follows:
For fine-tuning operations that are conducted by means of foreign exchange swaps for monetary policy purposes and executed by means of quick tender 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 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, 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.
▼M11 —————
PART FOUR
ELIGIBLE ASSETS
TITLE I
GENERAL PRINCIPLES
Article 58
Eligible assets and accepted collateralisation techniques to be used for Eurosystem credit operations
Counterparties shall provide eligible assets by:
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,
in either case pursuant to the national contractual or regulatory arrangements established and documented by the home NCB.
Article 59
General aspects of the Eurosystem credit assessment framework for eligible assets
For the purposes of the ECAF, the Eurosystem shall define credit quality requirements in the form of credit quality steps by establishing threshold values for the probability of default (PD) over a one-year horizon, as follows.
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.
TITLE II
ELIGIBILITY CRITERIA AND CREDIT QUALITY REQUIREMENTS FOR MARKETABLE ASSETS
CHAPTER 1
Eligibility criteria for marketable assets
Article 60
Eligibility criteria relating to all types of marketable assets
In order to be eligible as collateral for Eurosystem credit operations, marketable assets shall be debt instruments fulfilling the eligibility criteria laid down in Section 1, except in the case of certain specific types of marketable assets, as laid down in Section 2.
Article 61
List of eligible marketable assets and reporting rules
Article 62
Principal amount of marketable assets
In order to be eligible, until their final redemption, debt instruments shall have:
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.
Article 63
Acceptable coupon structures for marketable assets
►M9 In order to be eligible, debt instruments shall have one of the following coupon structures until final redemption: ◄
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:
the reference rate is only one of the following at a single point in time:
f (floor), c (ceiling), l (leveraging/deleveraging factor) and x (margin) are, if present, numbers that are either pre-defined at issuance, or may change over time only according to a path predefined at issuance, where l is greater than zero throughout the entire lifetime of the asset. For floating coupons with an inflation index reference rate, l shall be equal to one; or
multi-step or floating coupons with steps linked to SPTs, provided that:
the compliance with SPTs by the issuer, or any undertaking belonging to the same sustainability-linked bond issuer group, is subject to verification by an independent third party in accordance with the terms and conditions of the debt instrument; and
the step-up event and/or the associated step-up payment have not been cancelled or disapplied by the issuer or by other means.
Article 64
Non-subordination with respect to marketable assets
Eligible debt instruments shall not give rise to rights to the principal and/or the interest that are subordinated to the rights of holders of other debt instruments of the same issuer.
Article 64a
Marketable assets other than ABSs and covered bonds
Article 65
Currency of denomination of marketable assets
In order to be eligible, debt instruments shall be denominated in euro or in one of the former currencies of the Member States whose currency is the euro.
Article 66
Place of issue of marketable assets
International debt instruments issued through the ICSDs shall comply with the following criteria, as applicable.
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.
Article 67
Settlement procedures for marketable assets
Article 68
Acceptable markets for marketable assets
The assessment of non-regulated markets by the Eurosystem shall be based on the following principles of safety, transparency and accessibility.
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.
Article 69
Type of issuer or guarantor for marketable assets
▼M7 —————
Article 70
Place of establishment of the issuer or guarantor
Article 71
Credit quality requirements for marketable assets
In order to be eligible, debt instruments shall meet the credit quality requirements specified in Chapter 2, except where otherwise stated.
Article 72
Eligibility criteria for asset-backed securities
In order to be eligible for Eurosystem credit operations, asset-backed securities shall comply with the general eligibility criteria relating to all types of marketable assets laid down in Section 1, with the exception of the requirements laid down in Article 62 relating to the principal amount, and in addition, the specific eligibility criteria laid down in this subsection.
Article 73
Homogeneity and composition of the cash-flow generating assets
In order for ABSs to be eligible, all cash-flow generating assets backing the ABSs shall be homogenous, i.e. it shall be possible to report them according to one of the types of loan-level templates referred to in Annex VIII, which shall relate to one of the following:
residential mortgages;
loans to small and medium-sized enterprises (SMEs);
auto loans;
consumer finance loans;
leasing receivables;
credit card receivables.
▼M6 —————
▼M4 —————
Article 74
Geographical restrictions concerning asset-backed securities and cash-flow generating assets
Article 75
Acquisition of cash-flow generating assets by the SPV
Article 76
Assessment of clawback rules for asset-backed securities
ABSs shall only be considered eligible if the Eurosystem has ascertained that its rights would be protected in an appropriate manner against clawback rules considered relevant by the Eurosystem under the law of the relevant EEA country. For this purpose, before the ABSs may be considered eligible, the Eurosystem may require:
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.
Clawback rules, which the Eurosystem considers to be severe and therefore not acceptable, shall include:
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.
For the purposes of this criterion, the seller may be the originator or intermediary, as applicable.
Article 77
Non-subordination of tranches for asset-backed securities
Article 77a
Restrictions on investments for asset-backed securities
Any investments of monies standing to the credit of the issuer's or of any intermediary SPV's bank accounts under the transaction documentation shall not consist, in whole or in part, actually or potentially, of tranches of other ABSs, credit-linked notes, swaps or other derivative instruments, synthetic securities or similar claims.
Article 78
Availability of loan level data for asset-backed securities
▼M9 —————
Article 79
Data requests for asset-backed securities
The Eurosystem shall reserve the right to request from any third party it considers relevant, including but not restricted to, the issuer, the originator and/or the arranger, any clarification and/or legal confirmation that it considers necessary to assess the eligibility of ABSs and with regard to the provision of loan-level data. If a third party fails to comply with a particular request, the Eurosystem may decide not to accept the ABSs as collateral or may decide to suspend the eligibility of such collateral.
Article 79a
Assessment of information in relation to the eligibility of asset-backed securities
The Eurosystem may decide not to accept ABSs for use as collateral in Eurosystem credit operations on the basis of its assessment of the information provided. In its assessment, the Eurosystem shall take into account whether the information submitted is deemed sufficiently clear, consistent and comprehensive to demonstrate fulfilment of each of the eligibility criteria applicable to ABSs, in particular with respect to whether the cash-flow generating assets have been acquired in a manner which the Eurosystem considers to be a ‘true sale’ as laid down in Article 75(2).
Article 80
Legacy covered bonds backed by asset-backed securities
Without prejudice to the eligibility of legislative covered bonds pursuant to Article 64a, EEA legislative covered bonds for which an ISIN has been opened prior to 8 July 2022 and that are not subject to Directive (EU) 2019/2162 of the European Parliament and of the Council ( 20 ) (‘legacy covered bonds’), may be backed by ABSs provided that the cover pool of such bonds (for the purposes of paragraphs 1 to 4, ‘the cover pool’) only contains ABSs that comply with all of the following.
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 at the time the ISIN was opened.
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.
Subject to paragraph 4, the NCBs shall use the following measures to verify that the cover pool does not contain ABSs that do not comply with paragraph 1.
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.
For the purposes of paragraph 1(b), the close links shall be determined at the time that the senior units of the ABSs are transferred into the cover pool of the EEA legislative covered bond referred to in paragraph 1.
Article 81
Eligibility criteria for debt certificates issued by the ECB or by NCBs prior to the date of adoption of the euro in their respective Member State
Article 81a
Eligibility criteria for certain unsecured debt instruments issued by credit institutions or investment firms, or by their closely linked entities
By derogation from Article 64 and provided that they fulfil all other eligibility criteria, the following subordinated unsecured debt instruments issued by credit institutions or investment firms, or by their closely linked entities as referred to in Article 141(3), shall be eligible until maturity, provided that they are issued before 31 December 2018 and their subordination results neither from contractual subordination as defined in paragraph 2 nor from structural subordination pursuant to paragraph 3:
▼M7 —————
CHAPTER 2
Eurosystem's credit quality requirements for marketable assets
Article 82
Eurosystem's credit quality requirements for marketable assets
Further to the general rules set out in Article 59 and to the specific rules set out in Article 84, marketable assets shall comply with the following credit quality requirements in order to be eligible as collateral for Eurosystem credit operations:
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.
Article 83
Types of ECAI credit assessments used for credit quality assessments of marketable assets
The following types of ECAI credit assessments from accepted ECAIs shall be used in determining compliance with the credit quality requirements applicable to marketable assets.
(a) |
An ECAI issue rating : this rating refers to an ECAI credit assessment assigned to either an issue or, in the absence of an issue rating from the same ECAI, the programme or issuance series under which an asset is issued. An ECAI assessment for a programme or issuance series shall only be relevant if it applies to the particular asset in question and is explicitly and unambiguously matched with the asset's ISIN code by the ECAI, and a different issue rating from the same ECAI does not exist. For ECAI issue ratings, the Eurosystem shall make no distinction in respect of the original maturity of the asset. |
(b) |
An ECAI issuer rating : this rating refers to an ECAI credit assessment assigned to an issuer. For ECAI issuer ratings, the Eurosystem shall make a distinction in respect of the original maturity of the asset as regards the acceptable ECAI credit assessment. The distinction shall be made between:
(i)
short-term assets, i.e. those assets with an original maturity of up to and including 390 days; and
(ii)
long-term assets, i.e. those assets with an original maturity of more than 390 days. For short-term assets, ECAI short-term and long-term issuer ratings shall be acceptable. For long-term assets, only ECAI long-term issuer ratings shall be acceptable. |
(c) |
An ECAI guarantor rating : this rating refers to an ECAI credit assessment assigned to a guarantor, if the guarantee meets the requirements of Title IV. For ECAI guarantor ratings, the Eurosystem shall make no distinction in respect of the original maturity of the asset. Only ECAI long-term guarantor ratings shall be acceptable. |
Article 84
Priority of ECAI credit assessments in respect of marketable assets
For marketable assets, ECAI credit assessments which determine the compliance of the asset with the credit quality requirements shall be taken into account by the Eurosystem in accordance with the following rules:
For marketable assets other than marketable assets issued by central governments, regional governments, local governments, agencies, multilateral development banks or international organisations and ABSs, the following rules shall apply.
The Eurosystem shall consider ECAI issue ratings in priority to ECAI issuer or ECAI guarantor ratings. Without prejudice to the application of this priority rule, in accordance with Article 82(1)(a), at least one ECAI credit assessment must comply with the Eurosystem's applicable credit quality requirements.
If multiple ECAI issue ratings are available for the same issue, then the first-best of those ECAI issue ratings shall be taken into account by the Eurosystem. If the first-best ECAI issue rating does not comply with the Eurosystem's credit quality threshold for marketable assets, the asset shall not be eligible, even if a guarantee that is acceptable under Title IV exists.
In the absence of any ECAI issue rating or, in the case of covered bonds, in the absence of an issue rating fulfilling the requirements of Annex IXb, an ECAI issuer or ECAI guarantor rating may be considered by the Eurosystem. If multiple ECAI issuer and/or ECAI guarantor ratings are available for the same issue, then the first-best of those ratings shall be taken into account by the Eurosystem.
For marketable assets issued by central governments, regional governments, local governments, agencies, multilateral development banks or international organisations, the following rules shall apply.
In accordance with Article 82(1)(a), at least one ECAI credit assessment must comply with the Eurosystem's applicable credit quality requirements. The Eurosystem shall only consider ECAI issuer or ECAI guarantor ratings.
If multiple ECAI issuer and ECAI guarantor ratings are available, the first-best of those ratings shall be taken into account by the Eurosystem.
Covered bonds issued by agencies shall not be assessed in accordance with the rules in this point and shall instead be assessed in accordance with point (a).
For ABSs, the following rules shall apply.
In accordance with Article 82(1)(b), at least two ECAI credit assessments shall comply with the Eurosystem's applicable credit quality requirements. The Eurosystem shall only consider ECAI issue ratings.
If more than two ECAI issue ratings are available, the first- and second-best of such ECAI issue ratings shall be taken into account by the Eurosystem.
Article 85
Multi-issuer securities
For marketable assets with more than one issuer (multi-issuer securities), the applicable ECAI issuer rating shall be determined on the basis of each issuer's potential liability as follows:
If each issuer is jointly and severally liable for the obligations of all other issuers under the issue or, if applicable, for the programme, or issuance series, the ECAI issuer rating to be considered shall be the highest rating among the first-best ECAI issuer ratings of all the relevant issuers; or
If any issuer is not jointly and severally liable for the obligations of all other issuers under the issue or, if applicable, for the programme, or issuance series, the ECAI issuer rating to be considered shall be the lowest rating among the first-best ECAI issuer ratings of all the relevant issuers.
Article 86
Non-euro ratings
For the purpose of ECAI issuer ratings, a foreign currency rating shall be acceptable. If the asset is denominated in the domestic currency of the issuer, the local currency rating shall also be acceptable.
Article 87
Credit quality assessment criteria for marketable assets in the absence of a credit assessment provided by an accepted ECAI
If the debt instruments are issued or guaranteed by a regional government or a local authority or a ‘public sector entity’ as defined in point 8 of Article 4(1) of Regulation (EU) No 575/2013 (hereinafter a ‘CRR public sector entity’) established in a Member State whose currency is the euro, the credit assessment shall be performed by the Eurosystem in accordance with the following rules.
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.
Subject to the provisions of Article 61(1), if the debt instruments are issued or guaranteed by non-financial corporations established in a Member State whose currency is the euro, the credit quality assessment shall be performed by the Eurosystem based on the credit quality assessment rules applicable to the credit quality assessment of credit claims in Chapter 2 of Title III.
Table 9
Implicit credit quality assessments for issuers or guarantors without an ECAI credit quality assessment
|
Allocation of issuers or guarantors under Regulation (EU) No 575/2013 (CRR (*1)) |
ECAF derivation of the implicit credit quality assessment of the issuer or guarantor belonging to the corresponding class |
Class 1 |
Regional governments, local authorities and CRR public sector entities (CRR PSEs) that are treated by the competent authorities in the same manner as the central government for capital requirements purposes pursuant to Articles 115(2) and 116(4) of Regulation (EU) No 575/2013 |
Allocated the ECAI credit quality assessment of the central government in whose jurisdiction the entity is established |
Class 2 |
Other regional governments, local authorities and CRR PSEs |
Allocated a credit quality assessment one credit quality step (*2) below the ECAI credit quality assessment of the central government in whose jurisdiction the entity is established |
Class 3 |
Public sector entities as defined in point (75) of Article 2 that are not CRR PSEs |
►M9 Treated like private sector issuers or debtors, i.e. their marketable assets are not eligible ◄ |
(*1)
Regulation (EU) No 575/2013, also referred to as the CRR for the purposes of this table.
(*2)
Information on the credit quality steps is published on the ECB's website. |
Article 88
Additional credit quality requirements for asset-backed securities
TITLE III
ELIGIBILITY CRITERIA AND CREDIT QUALITY REQUIREMENTS FOR NON-MARKETABLE ASSETS
CHAPTER 1
Eligibility criteria for non-marketable assets
Article 89
Eligible type of asset
Article 90
Principal amount, coupon and other elements of eligible credit claims
In order to be eligible, credit claims shall comply with the following requirements from the moment they are mobilised until their final redemption or demobilisation:
they have a fixed, unconditional principal amount; ►M11 ————— ◄
they have an interest rate that shall be one of the following:
a ‘zero coupon’;
fixed;
floating, i.e. linked to a reference interest rate and with the following structure: coupon rate = reference rate ± x, with f ≤ coupon rate ≤ c, where:
their coupon structure (irrespective of whether it is for a fixed or floating interest rate credit claim) may contain a margin that is either pre-defined at origination or may change over the life of the credit claim. In the event of a margin change, the eligibility assessment of the coupon structure shall be based on the remaining lifetime of the credit claim; and
their current coupon does not lead to a negative cash flow or to a reduction of principal payment. If in the current accrual period the coupon structure leads to a negative coupon-related cash flow, the credit claim is ineligible as of the moment of the coupon reset. It may become eligible again at the start of a new accrual period when the coupon-related cash flow applied to the debtor turns non-negative, provided it meets all other relevant requirements.
Article 91
Non-subordination
Credit claims may not afford rights to the principal and/or the interest that are subordinated to: (a) the rights of holders of other unsecured debt obligations of the debtor including other shares or sub-shares in the same syndicated loan; and (b) the rights of holders of debt instruments of the same issuer.
Article 92
Credit quality requirements for credit claims
The credit quality of credit claims is assessed on the basis of the credit quality of the debtor or guarantor. The relevant debtor or guarantor shall comply with the Eurosystem's credit quality requirements as specified in the ECAF rules for credit claims laid down in Chapter 2 of Title III of Part Four.
Article 93
Minimum size of credit claims
For domestic use, credit claims shall, at the time of their submission as collateral by the counterparty, meet a minimum size threshold of EUR 25 000 , or any higher amount that may be laid down by the home NCB. For cross-border use, a minimum size threshold of EUR 500 000 shall apply.
Article 94
Currency of denomination of credit claims
Credit claims shall be denominated in euro or in one of the former currencies of the Member States whose currency is the euro.
Article 95
Type of debtor or guarantor
Article 96
Location of the debtor or guarantor
Article 97
Governing laws
The credit claim agreement and the agreement between the counterparty and the home NCB mobilising the credit claim as collateral shall both be governed by the law of a Member State whose currency is the euro. Furthermore, there shall be no more than two governing laws in total that apply to the:
counterparty;
creditor;
debtor;
guarantor (only where a guarantee exists and the guarantee is used to establish the compliance of the credit claim with the credit quality requirements for non-marketable assets);
credit claim agreement;
the agreement between the counterparty and the home NCB mobilising the credit claim as collateral.
Article 98
Handling procedures
Credit claims shall be handled in accordance with the Eurosystem procedures laid down in the relevant national documentation of the NCBs.
Article 99
Additional legal requirements for credit claims
In order to ensure that a valid security is created over credit claims and that the credit claim can be swiftly realised in the event of a counterparty default, additional legal requirements shall be met. These legal requirements relate to:
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.
Article 100
Verifications of the procedures and systems used to submit credit claims
Article 101
Verification of existence of credit claims
The NCBs shall, as a minimum, take all of the following steps to verify the existence of credit claims mobilised as collateral:
They shall obtain a written confirmation from counterparties, at least each quarter, by which counterparties shall confirm:
the existence of the credit claims (this confirmation could be replaced with cross-checks of information held in central credit registers, where these exist);
the compliance of credit claims with the eligibility criteria applied by the Eurosystem;
that such credit claim is not used simultaneously as collateral to the benefit of any third party and that the counterparty shall not mobilise such credit claim as collateral to any third party;
that the counterparty will undertake to communicate to the relevant NCB no later than within the course of the next business day, any event that materially affects the contractual relationship between the counterparty and the NCB, in particular early, partial or total repayments, downgrades and material changes in the conditions of the credit claim.
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) ( 21 ).
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.
Article 102
Validity of the agreement for the mobilisation of credit claims
The agreement for the mobilisation of the credit claim as collateral shall be valid between the counterparty and the relevant NCB under the applicable national law. ►M9 All the necessary legal formalities to ensure the validity of the agreement and to ensure the mobilisation of a credit claim as collateral shall be fulfilled by the counterparty and/or the transferee, as appropriate. ◄
Article 103
Full effect of the mobilisation vis-à-vis third parties
As regards notification of the debtor, the following shall apply, depending on the applicable national law.
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.
Article 104
Absence of restrictions concerning mobilisation and realisation of credit claims
Article 105
Absence of restrictions concerning banking secrecy and confidentiality
The counterparty and the debtor shall have agreed contractually that the debtor unconditionally consents to disclosure by the counterparty to the Eurosystem of details in respect of the credit claim and on the debtor that are required by the home NCB for the purpose of ensuring that a valid security is created over credit claims and that the credit claims can be swiftly realised in the event of a counterparty default. This requirement shall not be necessary if unrestricted provision of such information is ensured under the applicable national law, as specified in the applicable national documentation of the home NCB.
Article 106
Eligibility criteria for fixed-term deposits
Fixed-term deposits, as described in Article 12, that are held by a counterparty shall be eligible assets as collateral for Eurosystem credit operations.
Article 107
Eligibility criteria for RMBDs
Article 107a
Eligible type of asset
Article 107b
Non-subordination with respect to DECCs
DECCs shall not give rise to rights to the principal and/or the interest that are subordinated to the rights of holders of other debt instruments of the same issuer.
Article 107c
Credit quality requirements
DECCs shall comply with the Eurosystem's credit quality requirements as laid down in Section 3 of Chapter 2 of Title III of this Part Four.
Article 107d
Acquisition of the underlying credit claims by the issuer
The pool of underlying credit claims shall have been acquired by the issuer from the originator in a manner which the Eurosystem considers to be a ‘true sale’ or equivalent to a ‘true sale’ that is enforceable against any third party, and which is beyond the reach of the originator and its creditors, including in the event of the originator's insolvency.
Article 107e
Transparency requirements for DECCs
Data quality requirements applied for ABSs shall apply to DECCs, including the specific ECB DECC loan-level data reporting template. The loan-level data shall be submitted in the specific ECB DECC loan-level data reporting template, as published on the ECB's website, to:
an ESMA securitisation repository; or
a Eurosystem designated repository.
Submissions of loan-level data on DECCs to Eurosystem designated repositories in accordance with paragraph 5(b) shall be permitted until the end of the calendar month in which the date three years and three months from the ESMA reporting activation date falls.
The ESMA reporting activation date shall be published by the ECB on its website.
Article 107f
Types of eligible underlying credit claims
To ensure that a valid security is created over the underlying credit claims, enabling the issuer and the holders of the DECCs to swiftly realise those claims in the event of the originator's default, the following additional legal requirements as specified in paragraphs 3 to 9 shall be met:
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.
The NCB of the country where the originator is established shall, as a minimum, take all of the following steps to verify the existence of the underlying credit claims:
It shall obtain written confirmation from the originator, at least on a quarterly basis, by which the originators shall confirm:
the existence of the underlying credit claims: this confirmation could be replaced with cross-checks of information held in central credit registers, where these exist;
compliance of the underlying credit claims with the eligibility criteria applied by the Eurosystem;
that the underlying credit claims are not used simultaneously as collateral to the benefit of any third party and that the originator will not mobilise such underlying credit claims as collateral to the Eurosystem or any third party;
that the originator will undertake to communicate to the relevant NCB no later than within the course of the next business day, any event that materially affects the collateral value of the underlying credit claims, in particular early, partial or total repayments, downgrades and material changes in the conditions of the underlying credit claims.
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.
The agreement for the transfer of the underlying credit claims to the issuer or for their mobilisation by way of transfer, assignment or pledge shall be valid between the issuer and the originator and/or the transferee/assignee/pledgee, as appropriate, under the applicable national law. All the necessary legal formalities to ensure the validity of the agreement and to ensure the valid indirect or direct transfer of the underlying credit claims as collateral shall be fulfilled by the originator and/or the transferee, as appropriate. As regards notification of the debtor, the following shall apply, depending on the applicable national law.
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.
Notwithstanding the paragraphs 6 and 7, a facility agent for the collection and distribution of payments and administration of the loan shall not be considered as a restriction on the transfer and realisation of a syndicated loan share, provided that:
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.
CHAPTER 2
Eurosystem's credit quality requirements for non-marketable assets
Article 108
Eurosystem's credit quality requirements for non-marketable assets
In order for non-marketable assets to be eligible, the following Eurosystem credit quality requirements shall apply.
For credit claims, the credit quality of credit claims shall be assessed on the basis of the credit quality of the debtor or guarantor, which shall comply, as a minimum, with credit quality step 3, as specified in the Eurosystem's harmonised rating scale.
For RMBDs, a credit quality assessment shall comply, as a minimum, with credit quality step 2, as specified in the Eurosystem's harmonised rating scale.
Article 109
General rules for the credit quality assessment of credit claims
Article 110
Selection of the credit assessment system or source
Article 111
Credit assessment of credit claims with public sector entities, or non-financial corporations, as debtors or guarantors
The Eurosystem shall assess the credit quality of credit claims with public sector entities acting as debtors or guarantors in accordance with the following rules, applied in the following order.
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.
Article 112
Establishment of Eurosystem's credit quality requirements for RMBDs
For the purpose of meeting the credit quality requirements laid down in Article 108, the home NCB shall assess the credit quality of RMBDs on the basis of a jurisdiction-specific credit quality assessment framework laid down in the applicable national documentation.
Article 112a
The Eurosystem's credit quality requirements for DECCs
TITLE IV
GUARANTEES FOR MARKETABLE AND NON-MARKETABLE ASSETS
Article 113
Applicable requirements for guarantees
Article 114
Features of the guarantee
Article 115
Non-subordination of the obligations of the guarantor
The obligations of the guarantor under the guarantee shall at least rank equally, pari passu, and rateably, pro rata, with all other unsecured obligations of the guarantor.
Article 116
Credit quality requirements for guarantors
The guarantor shall comply with the Eurosystem's credit quality requirements specified under the ECAF rules for guarantors of marketable assets laid down in Articles 82 to 84 or with the rules for guarantors of credit claims laid down in Article 108.
Article 117
Type of guarantor
The guarantor shall be:
for marketable assets in accordance with Article 69: a central bank of a Member State, a public sector entity, an agency, a credit institution, a financial corporation other than a credit institution, a non-financial corporation, a multilateral development bank or an international organisation; or
for credit claims in accordance with Article 95: a non-financial corporation, a public sector entity, a multilateral development bank or an international organisation.
Article 118
Place of establishment of guarantor
The guarantor shall be established:
in the case of marketable assets in accordance with Article 70, in the EEA, unless a guarantee is not used to establish the compliance of that marketable asset with 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 used to establish the compliance of that credit claim with the credit quality requirements for non-marketable assets. The option to use a credit assessment in respect of a guarantor to establish the compliance of that credit claim with the relevant credit quality requirements for credit claims is addressed in Article 108.
TITLE V
EUROSYSTEM CREDIT ASSESSMENT FRAMEWORK FOR ELIGIBLE ASSETS
Article 119
Accepted credit assessment sources and systems
The credit assessment information on which the Eurosystem bases the eligibility assessment of assets eligible as collateral for Eurosystem credit operations shall be provided by credit assessment systems belonging to one of the three following sources:
ECAIs;
NCBs' in-house credit assessment systems (ICASs);
counterparties' internal rating-based (IRB) systems.
Article 120
General acceptance criteria for external credit assessment institutions as credit assessment systems
For the purposes of the ECAF, the general acceptance criteria for ECAIs shall be the following:
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.
Article 121
General acceptance criteria and operational procedures for the NCBs' in-house credit assessment systems
Article 122
General acceptance criteria for internal ratings-based systems
A request filed by a counterparty in accordance with paragraph 1 shall include the following information and documents which, if necessary, shall be translated into a working language of the home NCB:
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. The probability of default, as referred to in Article 59(3), reported by the counterparty’s IRB system shall be the ‘final’ probability of default used for the calculation of own fund requirements, including any supervisory regulatory floors, add-ons, appropriate adjustments, margin of conservatism, overrides and mapping to master scales;
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.
Article 123
Reporting obligations of counterparties using an internal ratings-based system
Counterparties shall fulfil any further operational criteria specified in the relevant contractual or regulatory arrangements applied by the home NCB, including provisions in relation to:
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. These shall include, but are not limited to, any changes affecting the probabilities of default, as referred to in Article 122(3), point (d), used by the IRB system to calculate own funds requirements.
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Article 126
ECAF performance monitoring process
TITLE VI
RISK CONTROL AND VALUATION FRAMEWORK OF MARKETABLE AND NON-MARKETABLE ASSETS
Article 127
Purpose of the risk control and valuation framework
Article 128
Risk control measures
The Eurosystem shall apply the following risk control measures for eligible assets:
valuation haircuts as laid down in Guideline (EU) 2016/65 of the European Central Bank (ECB/2015/35) ( 22 );
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).
The Eurosystem may apply the following additional risk control measures:
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.
CHAPTER 3
Valuation rules for marketable and non-marketable assets
Article 134
Valuation rules for marketable assets
For the purposes of determining the value of assets used as collateral in open market operations conducted by means of reverse transactions, the NCBs shall apply the following rules.
For each eligible marketable asset, the Eurosystem shall define the most representative price to be used for the calculation of the market value.
A marketable asset's value shall be calculated on the basis of the most representative price on the business day preceding its valuation date. In the absence of a representative price for a particular asset the Eurosystem shall define a theoretical price.
The market or theoretical value of a marketable asset shall be calculated including accrued interest.
Depending on differences in national legal systems and operational practices, the treatment of income flows, e.g. coupon payments that are related to an asset and are received during the life of a Eurosystem credit operation, may differ between NCBs. If the income flow is transferred to the counterparty, the home NCB shall ensure that the relevant operations will still be fully covered by a sufficient amount of eligible assets before the transfer of the income takes place. Each NCB shall aim to ensure that the economic effect of the treatment of income flows is equivalent to a situation in which the income is transferred to the counterparty on the payment day.
Article 135
Valuation rules for non-marketable assets
Non-marketable assets shall be assigned a value by the Eurosystem corresponding to the outstanding amount of such non-marketable assets.
Article 136
Margin calls