Decision 2021-03 of 30 September 2021 amending Decision No 2020-02 of 20 April 2020 on additional temporary measures concerning Bank of France refinancing operations and collateral eligibility

Decision No 2021-03 of 30 September 2021 amending Decision No 2020-02 of 20 April 2020 on additional temporary measures concerning Bank of France refinancing operations and collateral eligibility

THE GOVERNOR OF THE BANK OF FRANCE

Having regard to:

• the Treaty on the Functioning of the European Union, and in particular Article 127(1) and Article 127(2), first indent,
• the Statute of the European System of Central Banks and of the European Central Bank (ECB), and in particular Articles 3.1, first indent, 12.1, 14.3 and 18.2,
• ECB Guideline (EU) 2014/528 of 9 July 2014 on additional temporary measures concerning Eurosystem refinancing operations and the eligibility of collateral and amending Guideline ECB/2007/9 (ECB/2014/31), as amended,
• ECB Guideline (EU) 2015/510 of 19 December 2014 on the implementation of the Eurosystem monetary policy framework (ECB/2014/60), as amended,
• ECB Guideline (EU) 2021/975 of 2 June 2021 amending Guideline ECB/2014/31 on additional temporary measures concerning Eurosystem refinancing operations and the eligibility of collateral (ECB/2021/26),
• the Monetary Agreement between the European Union and the Principality of Monaco of 26 December 2001, as amended on 29 November 2011,
• the Monetary and Financial Code, and in particular Article L. 142-8,
• the Governor of the Bank of France Decision No 2015-01 of 22 April 2015 on the implementation of the Bank of France's monetary policy and intraday credit policy, as amended,
• the Governor of the Bank of France Decision No 2020-02 of 20 April 2020 on additional temporary measures concerning Bank of France refinancing operations and the eligibility of collateral, as amended.

HEREBY DECIDES:

Article 1

The Governor of the Bank of France Decision No 2020-02 of 20 April 2020 on additional temporary measures concerning Bank of France refinancing operations and the eligibility of collateral (hereinafter "the Decision") is amended as follows:

1. The following paragraph is added to Article 8bis: "3. The provisions of this Article shall apply until 30 June 2022."

2. Article 8ter is replaced by the following text: "Article 8ter Admission of certain negotiable assets and certain eligible issuers as at 7 April 2020

3. Not applicable.

4. Notwithstanding the provisions of Article 59(3), Article 71 and Article 82(1)(a) of Decision No 2015-01, negotiable assets — other than asset-backed securities — issued on or before 7 April 2020, which, as at 7 April 2020, had been assigned a public rating provided by at least one accepted ECAI and satisfying the Eurosystem's minimum credit quality requirements, shall constitute eligible collateral for Eurosystem credit operations if at any time after 7 April 2020: a) these negotiable assets are subject to a public rating, provided by at least one accepted ECAI, which corresponds to at least credit quality step 5 in the Eurosystem's harmonised rating scale; and b) these negotiable assets continue to meet all other eligibility criteria applicable to negotiable assets under Decision No 2015-01. For the avoidance of doubt, the public rating as at 7 April 2020 referred to in this paragraph is established by the Eurosystem in accordance with the rules provided for in Article 82(1)(a), Article 82(2), Article 83, Article 84(a) and (b), Article 85 and Article 86 of Decision No 2015-01.

5. Where the compliance of a negotiable asset with the Eurosystem's minimum credit quality requirements as at 7 April 2020 is determined on the basis of a rating by an ECAI on the issuer or a rating by an ECAI on the guarantor provided by an accepted ECAI system, this negotiable asset shall constitute eligible collateral for Eurosystem credit operations if at any time after 7 April 2020: a) the rating by an ECAI on the issuer or the rating by an ECAI on the guarantor, as applicable, for this negotiable asset, corresponds to at least credit quality step 5 in the Eurosystem's harmonised rating scale; and b) this negotiable asset continues to meet all other eligibility criteria applicable to it under Decision No 2015-01.

6. Negotiable assets — other than asset-backed securities — issued after 7 April 2020, the issuer or the guarantor, as applicable, of which had, as at 7 April 2020, a public rating provided by at least one accepted ECAI system complying with the Eurosystem's minimum credit quality requirements, shall constitute eligible collateral for Eurosystem credit operations if at any time after 7 April 2020: a) these negotiable assets are subject to a public rating, provided by at least one accepted ECAI, which corresponds to at least credit quality step 5 in the Eurosystem's harmonised rating scale; and b) these negotiable assets meet all other eligibility criteria applicable to negotiable assets under Decision No 2015-01. For the avoidance of doubt, the public rating referred to in point (a) of this paragraph is assigned by the Eurosystem in accordance with the rules provided for in Article 82(1)(a), Article 82(2), Article 83, Article 84(a) and (b), Article 85 and Article 86 of Decision No 2015-01.

7. Covered bonds issued after 7 April 2020 under a covered bond programme which itself had, as at 7 April 2020, been subject to a credit assessment by at least one accepted ECAI system, and satisfying the Eurosystem's minimum credit quality requirements, shall constitute eligible collateral for Eurosystem credit operations if: a) at any time after 7 April 2020, this covered bond programme is subject to a public rating provided by at least one accepted ECAI system, corresponding to at least credit quality step 5 in the Eurosystem's harmonised rating scale; and b) these covered bonds meet all other eligibility criteria applicable to them under Decision No 2015-01.

8. Negotiable assets referred to in Article 87(2) of Decision No 2015-01 which, as at 7 April 2020, did not have a public rating provided by an accepted ECAI system, but which, as at 7 April 2020, benefited from an implicit credit assessment performed by the Eurosystem, in accordance with the rules set out in Article 87(1) and (2) of Decision No 2015-01, complying with the Eurosystem's credit quality requirements, shall constitute eligible collateral for Eurosystem credit operations regardless of their date of issuance, if at any time after 7 April 2020: a) the issuer or the guarantor, as applicable, of these negotiable assets corresponds, at least, to a credit quality requirement equivalent to credit quality step 5 in the Eurosystem's harmonised rating scale; and b) these negotiable assets meet all other eligibility criteria applicable to them under Decision No 2015-01.

9. Notwithstanding the provisions of Article 59(3), Article 71 and Article 82(1)(b) of Decision No 2015-01, asset-backed securities issued on or before 7 April 2020, which as at 7 April 2020 had been subject to at least two public ratings provided by two different accepted ECAI systems, and satisfying the Eurosystem's minimum credit quality requirements under Decision No 2015-01, shall constitute eligible collateral for Eurosystem credit operations if at any time after 7 April 2020: a) these asset-backed securities are subject to at least two public ratings, each provided by a different accepted ECAI system, and corresponding to at least credit quality step 4 in the Eurosystem's harmonised rating scale; and b) these asset-backed securities continue to meet all other eligibility criteria applicable to asset-backed securities under Decision No 2015-01. For the avoidance of doubt, the requirements provided for in Article 3(1)(a) to (d) and Article 3(4) of this Decision shall not apply to the asset-backed securities referred to in this paragraph.

10. Asset-backed securities that were accepted by the Eurosystem as eligible collateral as at 7 April 2020 under Article 3(1) of this Decision, shall remain eligible if at any time after 7 April 2020: a) they are subject to two public ratings, provided by two accepted ECAI systems, which correspond to at least credit quality step 4 in the Eurosystem's harmonised rating scale; and b) they continue to meet all other requirements applicable to them under Article 3(1) (except the rating level), Article 3(2bis) and Article 3(4) of this Decision. For the avoidance of doubt, Article 3(2) of this Decision shall not apply to the asset-backed securities referred to in this paragraph.

11. As long as they continue to be accepted as eligible collateral by the Eurosystem under this Article, the negotiable assets, including covered bonds, referred to in paragraphs 2 to 6, shall be subject to the haircuts specified in Annex IIter to this Decision. Asset-backed securities, referred to in paragraphs 7 and 8, shall be subject to the haircuts specified in Annex IIter to this Decision. The haircuts shall be calculated on the basis of the current rating applicable at any time after 7 April 2020 in accordance with the rules relating to the priority given to credit assessments performed by an ECAI, which are provided for in Articles 83 to 88 of Decision No 2015-01.

12. In addition to the haircuts defined in paragraph 9, the following additional haircuts shall apply: a) asset-backed securities, covered bonds and unsecured debt instruments issued by credit institutions, the value of which is calculated on a theoretical basis in accordance with the rules of Article 134 of Decision No 2015-01, shall be subject to an additional haircut in the form of a 4% haircut valuation; b) covered bonds used for own-account purposes shall be subject to an additional haircut i) of 6.4% applied to the value of debt instruments allocated to credit quality steps 1 and 2; and ii) of 9.6% applied to the value of debt instruments allocated to credit quality steps 3, 4 and 5; c) for the purposes of point (b), 'used for own-account purposes' refers to the submission or use, by a counterparty, of covered bonds that are issued or guaranteed by the counterparty itself or by any other entity with which this counterparty has close links as determined in accordance with Article 138 of Decision No 2015-01; d) if the additional haircut referred to in point (b) cannot be applied due to a collateral management system of a NCB, a tripartite agent or TARGET2-Securities for the self-constitution of collateral, the additional haircut shall be applied in these systems or on this platform to the total value of issued covered bonds that can be subject to own-use.

13. For the avoidance of doubt, the provisions of this Article are independent and shall not be taken into account for the purpose of determining the eligibility of outright purchases under the Public Sector Purchase Programme (PSPP), the third Covered Bond Purchase Programme (CBPP3), the Asset-Backed Securities Purchase Programme (ABSPP), the Corporate Sector Purchase Programme (CSPP) and the Pandemic Emergency Purchase Programme (PEPP).

14. The provisions of this Article shall apply until 30 June 2022."

15. Annex IIbis is replaced by the following text: "ANNEX IIbis Haircut rates (in %) applied to asset-backed securities eligible under Article 3(2) and Article 8ter of this Decision

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

(*) That is, [0-1) weighted average life less than one year, [1-3) weighted average life equal to or greater than one year but less than three years, etc."

4. Annex IIter is replaced by the following text: "ANNEX IIter Haircut rates (in %) applied to negotiable assets, other than asset-backed securities, referred to in Articles 8bis and 8ter

Category I	Category II	Category III	Category IV
Credit Quality	Residual Maturity (in years) (*)	Fixed coupon & Variable coupon	Zero coupon
Step 4	[0-1)	6.4	6.4
[1-3)	9.6	10.4	12
[3-5)	11.2	12	16
[5-7)	12.4	13.6	20
[7-10)	13.2	14.4	21.6
[10,∞)	14.4	16.8	23.2
Step 5	[0-1)	8	8
[1-3)	11.2	12	16
[3-5)	13.2	14	22.4
[5-7)	14.4	15.6	27.2
[7-10)	15.2	16.4	28.8
[10,∞)	16.4	18.8	30.4

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

Article 2 Publication and entry into force

1. This Decision shall be published in the Official Publication Register of the Bank of France.
2. It shall enter into force on 30 September 2021.
3. This Decision shall apply in the overseas departments and regions, in Saint-Barthélemy, in Saint-Martin, in Saint-Pierre-and-Miquelon, as well as in the Principality of Monaco.

Done in Paris, 30 September 2021

The Governor of the Bank of France François VILLEROY de GALHAU