‘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:

‘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:

‘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:

‘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;

‘end-of-day’ means the time of the business day following closure of ►M13  TARGET ◄ at which the payments processed in ►M13  TARGET ◄ are finalised for the day;

‘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;

‘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;

‘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:

‘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;

‘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);

‘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.

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:

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.