Decision No. 2022-01 of January 6, 2022 amending Decision No. 2020-02 of April 20, 2020 on additional temporary measures concerning Banque de France refinancing operations and collateral eligibility

Decision No. 2022-01 of January 6, 2022 amending Decision No. 2020-02 of April 20, 2020 on additional temporary measures concerning refinancing operations of the Banque de France and the eligibility of collateral

THE GOVERNOR OF THE BANQUE DE FRANCE

Having regard to:

• the Treaty on the Functioning of the European Union, and in particular Article 127, paragraph 1 and paragraph 2, first indent,
• the Statutes 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 refinancing operations of the Eurosystem 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 Decision (EU) 2021/975 of 2 June 2021 amending Guideline ECB/2014/31 on additional temporary measures concerning refinancing operations of the Eurosystem 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 Order of 23 March 2020 granting State guarantee to credit institutions and financing companies as well as to lenders mentioned in Article L. 548-1 of the Monetary and Financial Code, pursuant to Article 6 of Law No. 2020-289 of 23 March 2020 on the 2020 Finance Revision Act, as amended,
• the Governor of the Banque de France Decision No. 2015-01 of 22 April 2015 on the implementation of the monetary policy and intraday credit of the Banque de France, as amended,
• Decision No. 2020-02 of 20 April 2020 on additional temporary measures concerning refinancing operations of the Banque de France and the eligibility of collateral, as amended,

DECIDES

Article 1

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

1. In Article 4 (BDF1):

a) Paragraph 1.a) i) a. is replaced by the following text:

"a. Loans in euros or US dollars (USD) whose credit quality, defined by a credit assessment, corresponds to a maximum one-year probability of default of 1.5% according to an internal rating system authorized by the competent supervisory authority or to the obtaining of at least a Banque de France (FIBEN) rating of 4+. The residual maturity of loans concerning debtors whose one-year probability of default is greater than 1% and less than or equal to 1.5% (EQC 5) must be less than or equal to 30 years;"

b) After paragraph 1. a) iii) i), two paragraphs j) and k) are inserted as follows:

"j. Restructured loans that have returned to soundness are eligible, provided that the net guarantee rate of calls on the guarantee, calculated by the counterparty, is greater than or equal to 70%. This rate, hereinafter referred to as the "residual guarantee rate", is calculated as follows:

Residual guarantee rate =
(remaining nominal amount * initial guarantee rate – calls on the guarantee) remaining nominal amount

This formula applies taking into account the following:

1. The nominal amount is understood as the amount outstanding at the time of the mobilization of the claim;
2. The initial guarantee rate is understood as the rate of 70%, 80% or 90% guaranteed by the State, as defined at the granting of the loan;
3. Calls on the guarantee are understood as the amount received from the State as an advance, net of the portion corresponding to the write-off of the claim."

"k. The calculation of the residual guarantee rate of restructured loans that have returned to soundness determines their attachment to the lower bracket of 70%, 80% or 90%. The discount applicable to these loans will be determined according to the discount grids appearing in Annex BDF bis. The bracket for these loans must be declared according to the following correspondence:

Residual Guarantee Rate | Bracket Attachment
70% ≤ Residual Guarantee Rate ≤ 79.99% | 70%
80% ≤ Residual Guarantee Rate ≤ 89.99% | 80%
90% ≤ Residual Guarantee Rate ≤ 99.99% | 90%
".

2. Annex BDF bis is replaced by the following text:

"Annex BDF bis
Discounts applicable to loans guaranteed by the French State pursuant to Article 6 of Law No. 2020-289 of 23 March 2020 on the 2020 Finance Revision Act

TABLE 1: DISCOUNTS APPLICABLE TO LOANS GUARANTEED BY THE FRENCH STATE FOR TWO MONTHS OR LESS

TABLE 2: DISCOUNTS APPLICABLE TO LOANS GUARANTEED BY THE FRENCH STATE FOR MORE THAN TWO MONTHS, WITHOUT DEFINITION OF AN AMORTIZATION PLAN OVER A PERIOD OF ONE, TWO, THREE, FOUR OR FIVE ADDITIONAL YEAR(S) AT THE END OF THE FIRST YEAR

FIBEN Rating	Probability of Default (IRB)	Quota Guaranteed by the State
		90%	80%	70%
1+ / 1 / 1-	PD ≤ 0.1%	12.8%	12.8%	12.8%
2+ / 2 / 2-	0.1% < PD ≤ 0.4%	14.4%	16.1%	17.7%
3+ / 3 / 3- / 4+	0.4% < PD ≤ 1.0%	15.7%	18.6%	21.4%
-	1.0% < PD ≤ 1.5%	16.6%	20.5%	24.3%
4 to 8 and unrated	PD > 1.5%	21.5%	30.2%	39.0%

FIBEN Rating	Probability of Default (IRB)	Discount Rate
1+ / 1 / 1-	PD ≤ 0.1%	12.8%
2+ / 2 / 2-	0.1% < PD ≤ 0.4%	29.2%
3+ / 3 / 3- / 4+	0.4% < PD ≤ 1.0%	41.6%
-	1.0% < PD ≤ 1.5%	51.2%

TABLE 3: DISCOUNTS APPLICABLE TO LOANS GUARANTEED BY THE FRENCH STATE FOR MORE THAN TWO MONTHS, AFTER DEFINITION OF AN AMORTIZATION PLAN OVER A MAXIMUM PERIOD OF FIVE ADDITIONAL YEARS AT THE END OF THE FIRST YEAR

• That is to say [0-1[ residual duration less than one year, [1-3[ residual duration equal to or greater than one year but less than three years, etc.

Residual Duration (in years) at the end of the first year *	FIBEN Rating	Probability of Default (IRB)	Quota Guaranteed by the State
			90%	80%	70%
[0-1[	1+ / 1 / 1-	PD ≤ 0.1%	6.40%	6.40%	6.40%
	2+ / 2 / 2-	0.1% < PD ≤ 0.4%	7.00%	7.50%	8.10%
	3+ / 3 / 3- / 4+	0.4% < PD ≤ 1.0%	8.60%	10.70%	12.90%
	-	1.0% < PD ≤ 1.5%	9.80%	13.10%	16.50%
	4 to 8 and unrated	PD > 1.5%	15.80%	25.10%	34.50%
[1-3[	1+ / 1 / 1-	PD ≤ 0.1%	9.60%	9.60%	9.60%
	2+ / 2 / 2-	0.1% < PD ≤ 0.4%	10.90%	12.20%	13.40%
	3+ / 3 / 3- / 4+	0.4% < PD ≤ 1.0%	12.50%	15.40%	18.20%
	-	1.0% < PD ≤ 1.5%	13.40%	17.30%	21.10%
	4 to 8 and unrated	PD > 1.5%	18.60%	27.70%	36.70%
[3-5[	1+ / 1 / 1-	PD ≤ 0.1%	12.80%	12.80%	12.80%
	2+ / 2 / 2-	0.1% < PD ≤ 0.4%	14.40%	16.10%	17.70%
	3+ / 3 / 3- / 4+	0.4% < PD ≤ 1.0%	15.70%	18.60%	21.40%
	-	1.0% < PD ≤ 1.5%	16.60%	20.50%	24.30%
	4 to 8 and unrated	PD > 1.5%	21.50%	30.20%	39.00%

Article 2

Publication and entry into force

1. This Decision is published in the Official Publication Register of the Banque de France.
2. It enters into force on January 11, 2022.
3. This Decision is applicable 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, on January 6, 2022

François VILLEROY de GALHAU