2022-07-07 | Règlement BCL 2022/N°32Added · Updated
The regulation amends the 2014 Central Bank of Luxembourg regulation to implement ECB/2022/19 by updating haircuts for floating rate notes, removing the temporary haircut reduction, and ending the eligibility of assets with credit ratings downgraded below minimum thresholds as of 8 July 2022. It maintains eligibility for non-compliant Greek sovereign debt under specific conditions until PEPP reinvestments cease, while replacing Annexes II bis and II ter with new haircut tables for asset-backed securities and eligible marketable assets. These changes apply to Eurosystem counterparties participating in refinancing operations and affect the collateral requirements for credit institutions.
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BANQUE CENTRALE DU LUXEMBOURG
Regulation of the Central Bank of Luxembourg 2022/ No 32 of 7 July 2022 amending the Regulation of the Central Bank of Luxembourg 2014/ No 18 of 21 August 2014 implementing ECB/2014/31 on temporary additional measures concerning Eurosystem refinancing operations and collateral eligibility
The Management of the Central Bank of Luxembourg, Having regard to the Treaty on the Functioning of the European Union, and in particular Article 127(2), first indent; Having regard to the Statutes of the European System of Central Banks and of the European Central Bank, and in particular Articles 3.1, 12.1 and 18; Having regard to Article 108bis of the Constitution; Having regard to the Law of 23 December 1998 on the monetary status and the Central Bank of Luxembourg (hereinafter the 'Central Bank'), as amended, in particular Articles 2(1), 2(2) and 34(1); Whereas:
(1) Under Article 18.1 of the Statutes of the European System of Central Banks and of the European Central Bank, the European Central Bank (ECB) and the national central banks of Member States whose currency is the euro (hereinafter 'NCBs') may conduct credit operations with credit institutions and other market participants on the basis of appropriate collateral for the loans, in order to achieve the objectives of the European System of Central Banks. The general conditions under which the ECB and the NCBs are willing to conduct credit operations, including the criteria determining the eligibility of collateral for Eurosystem credit operations, are defined in European Central Bank (ECB/2014/60) Guideline (EU) 2015/510.
(2) It is necessary to further clarify the treatment, for eligibility purposes, of reference interest rates for marketable assets.
(3) The Governing Council has conducted a comprehensive review of the temporary collateral easing measures adopted since 2020, in response to exceptional economic and financial circumstances related to the spread of coronavirus disease 2019 (COVID-19). These measures included the temporary reduction of haircuts; the maintenance of eligibility of assets, as well as issuers and guarantors of these assets, which met the Eurosystem minimum credit quality requirements on 7 April 2020, but whose rating was subsequently lowered; and the authorization for NCBs to accept as eligible collateral sovereign debt securities issued by the central administration of the Hellenic Republic that do not meet the credit quality requirements. This review took into account a) the fact that Eurosystem counterparties participating in targeted longer-term refinancing operations conducted under European Central Bank (ECB/2019/21) Decision (EU) 2019/1311 should be able to continue to mobilize sufficient eligible collateral for these operations, b) the impact on collateral for Eurosystem counterparties related to each of these measures; c) risk-related considerations related to each of these measures; d) other policy and market considerations.
(4) In this context, the Governing Council decided on 23 March 2022, inter alia, to phase out the aforementioned haircut reduction in two steps, the first starting on 8 July 2022, in order to strengthen risk coverage and the effectiveness of the Eurosystem's risk management.
(5) It also decided not to admit, from 8 July 2022, marketable assets, nor the issuers and guarantors of these assets, which met the Eurosystem minimum credit quality requirements on 7 April 2020 but whose rating was subsequently lowered by credit rating agencies accepted by the Eurosystem to a credit quality level below the Eurosystem minimum requirement, in order to return to a consistent treatment of issuers, marketable assets and guarantors within the Eurosystem collateral framework, regardless of the timeline of action by rating agencies.
(6) The Governing Council further decided to continue to authorize NCBs to accept as eligible collateral marketable debt securities issued by the central administration of the Hellenic Republic that do not meet the Eurosystem credit quality requirements but meet all other eligibility criteria applicable to marketable assets, at least as long as reinvestments in these securities continue under the Pandemic Emergency Purchase Programme (PEPP), subject to a specific haircut table. This measure, which will be temporary, is based on the following additional considerations: a) the need to continue to avoid fragmentation of access to Eurosystem monetary policy operations, which would harm the proper functioning of the monetary policy transmission mechanism to the Greek economy while it has not yet recovered from the consequences of the pandemic; b) the commitments made by the Hellenic Republic under enhanced surveillance, conducted in accordance with Regulation (EU) No 472/2013 of the European Parliament and of the Council, and the monitoring of its implementation by Union institutions; c) the fact that medium-term debt relief measures concerning the Hellenic Republic, put in place through the European Stability Mechanism and the European Stability Mechanism, depend on the continued implementation of these commitments; d) information on the economic and financial situation of the Hellenic Republic available to the ECB due to its participation in the enhanced surveillance framework; e) the fact that even after the end of enhanced surveillance: i) the economic, budgetary and financial situation of the Hellenic Republic will be regularly reviewed under post-programme surveillance in accordance with Article 14 of Regulation (EU) No 472/2013 and the European Stability Mechanism's quarterly early warning system, ii) debt relief measures for the Hellenic Republic will continue to be linked to this post-programme surveillance and iii) payments to the Hellenic Republic provided for under the Recovery and Resilience Facility in accordance with Regulation (EU) 2021/241 of the European Parliament and of the Council depend on the success of milestones and targets agreed in accordance with Article 24 of that Regulation; f) the periodic assessments of sovereign debt sustainability that will be carried out by the European Stability Mechanism, the European Commission and the ECB; g) the fact that the ECB will continue to have access to information concerning the economic and financial situation of the Hellenic Republic and even after the end of enhanced surveillance, through the mechanisms set out in points e) i) and e) iii) above.
(7) Since Guideline ECB/2014/31 has been amended accordingly by Guideline ECB/2022/19, it is appropriate to implement the new measures by amending the Regulation of the Central Bank of Luxembourg 2014/ No 18 of 21 August 2014 implementing Guideline ECB/2014/31 on temporary additional measures concerning Eurosystem refinancing operations and collateral eligibility accordingly, as amended.
HAS ADOPTED THIS REGULATION:
Article 1. Amendments
The Regulation of the Central Bank of Luxembourg 2014/ No 18 of 21 August 2014 is amended as follows:
Article 2. Entry into force
This Regulation shall enter into force on the day following its publication.
Article 3. Publication
This Regulation shall be published in the Official Journal of the Grand Duchy of Luxembourg and on the website of the Central Bank (www.bcl.lu).
BANQUE CENTRALE DU LUXEMBOURG
The Management
ANNEX I
'Annex II bis
Haircut rates (in %) applied to eligible asset-backed securities under Article 3, paragraph 2, of this Guideline Weighted average life (*) Haircut [0,1) 5.4 [1,3) 8.1 [3,5) 11.7 [5,7) 13.5 [7,10) 16.2 [10,∞) 27
ANNEX II
'Annex II ter
Haircut rates (in %) applied to eligible marketable assets referred to in Article 8a Credit quality Residual maturity (in years) (*) Category I Fixed coupon Zero coupon Variable coupon Tier 4 [0,1) 7.2 [1,3) 10.8 11.7 10.8 [3,5) 12.6 13.5 12.6 [5,7) 14.0 15.3 14.0 [7,10) 14.9 16.2 14.9 [10,∞) 16.2 18.9 16.2 Tier 5 [0,1) 9 [1,3) 12.6 13.5 12.6 [3,5) 14.9 15.8 14.9 [5,7) 16.2 17.6 16.2 [7,10) 17.1 18.5 17.1 [10,∞) 18.5 21.2 18.5
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Source: Banque Centrale du Luxembourg — original document · Summary generated with machine assistance and reviewed before publication; the authoritative text is the regulator's original document. How RegAlert works
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