Decision No. 2019-01 amending Decision No. 2015-01 of 22 April 2015 on the implementation of monetary policy and intraday credit of the Bank of France

Decision No. 2019-01 of 5 August 2019 amending Decision No. 2015-01 of 22 April 2015 on the implementation of monetary policy and intraday credit of the Bank of France

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) 2015/510 of 19 December 2014 on the implementation of the Eurosystem monetary policy framework (ECB/2014/60), as amended,
• ECB Guideline of 10 May 2019 [February 2018] amending Guideline (EU) 2015/510 on the implementation of the Eurosystem monetary policy framework (ECB/2019/11),
• 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 monetary policy and intraday credit of the Bank of France, as amended,

HEREBY DECIDES:

Article 1
Modifications

The Governor of the Bank of France Decision No. 2015-01 of 22 April 2015 on the implementation of monetary policy and intraday credit of the Bank of France (hereinafter "the Decision") is amended as follows:

1. In Article 2:
   a) Paragraph 2) is replaced by the following text:
   "2) 'agency', an entity established in a Member State whose currency is the euro and which carries out certain activities of general interest at national or regional level or meets their financing needs, and which the Eurosystem has classified as an agency. The list of entities classified as agencies is published on the ECB website and specifies whether the quantitative criteria for the calculation of the haircut set out in Annex XII bis are met for each entity;";

   b) The following paragraph 26 bis) is inserted:
   "26 bis) 'ESMA securitisation repository activation date', the first day on which a) a securitisation repository has been registered by the European Securities and Markets Authority (ESMA) and has thereby become an ESMA securitisation repository and b) the relevant delegated acts, formalised using standardised templates, have been adopted by the Commission pursuant to Article 7(4) of Regulation (EU) 2017/2402 of the European Parliament and of the Council* and have become applicable;"

   • Regulation (EU) 2017/2402 of the European Parliament and of the Council of 12 December 2017 laying down a general framework for securitisation and creating a specific framework for simple, transparent and standardised securitisation, and amending Directives 2009/65/EC, 2009/138/EC and 2011/61/EU and Regulations (EC) No 1060/2009 and (EU) No 648/2012 (OJ L 347, 28.12.2017, p. 35).

   c) The following paragraph 26 ter) is inserted:
   "26 ter) 'ESMA securitisation repository', a securitisation repository within the meaning of Article 2(23) of Regulation (EU) 2017/2402, which is registered with ESMA in accordance with Article 10 of that Regulation;";

   d) The following paragraph 31 bis) is inserted:
   "31 bis) 'Eurosystem-designated repository', an entity designated by the Eurosystem in accordance with Annex VIII and which continues to meet the designation obligations set out in that Annex;";

   e) The following paragraph 50 bis) is inserted:
   "50 bis) 'loan-level data repository', an ESMA securitisation repository or a Eurosystem-designated repository;";

2. In Article 15, paragraph 1, point b), is replaced by the following text:
   "b) ensure the provision of appropriate collateral until the maturity of the operation; the value of the assets pledged as collateral must at all times cover the total outstanding amount of the liquidity-providing operation, including accrued interest over the life of the operation. If the accrued interest has a positive rate, the applicable amount must be added daily to the total outstanding amount of the liquidity-providing operation and if the accrued interest has a negative rate, the applicable amount must be subtracted daily from the total outstanding amount of the liquidity-providing operation;";

3. In Article 19, paragraph 5 is replaced by the following text:
   "5. A counterparty may send a request for access to the marginal lending facility to the central bank of its home country. The central bank of the home country shall process the request on the same day in TARGET2 provided that it receives the request no later than fifteen minutes after the TARGET2 closing time. The deadline for submitting the request for access to the marginal lending facility is extended by fifteen additional minutes on the last Eurosystem working day of a reserve maintenance period. In exceptional circumstances, the Eurosystem may decide to postpone these deadlines. The request for access to the marginal lending facility specifies the amount of credit required. The counterparty delivers sufficient eligible assets as collateral for the operation, unless it has already previously deposited these assets with the central bank of its home country in accordance with Article 18(4).";

4. In Article 22, paragraph 2 is replaced by the following text:
   "2. To have access to the deposit facility, the counterparty must submit a request to the central bank of its home country. The central bank of the home country shall process the request on the same day in TARGET2 provided that it receives the request no later than fifteen minutes after the TARGET2 closing time. The deadline for submitting the request for access to the deposit facility is extended by fifteen additional minutes on the last Eurosystem working day of a reserve maintenance period. In exceptional circumstances, the Eurosystem may decide to postpone these deadlines. The request indicates the amount to be deposited under this facility.";

5. In Article 59, paragraphs 4 and 5 are replaced by the following text:
   "4. The Eurosystem publishes information on credit quality steps on the ECB website in the form of the Eurosystem Harmonised Scale, which includes the mapping of credit assessments provided by accepted External Credit Assessment Institutions (ECAIs) to credit quality steps.
   5. To assess credit quality requirements, the Eurosystem relies on information from one of the three credit assessment systems listed in Part Five, Title V.";

6. Article 69, paragraph 2 is deleted;

7. In Article 70, the following paragraph 3 bis is added:
   "3 bis. For debt securities issued or guaranteed by agencies, the issuer or guarantor must be established in a Member State whose currency is the euro.";

8. In Article 73, paragraph 1 is replaced by the following text:
   "1. For asset-backed securities to be eligible, all assets generating cash flows to which they are backed must be homogeneous, i.e. it must be possible to report them using one of the reporting template types mentioned in Annex VIII, which must cover one of the following:
   a) residential mortgage loans; c) loans to small and medium-sized enterprises (SMEs); d) auto loans; e) consumer loans; f) finance leases; g) credit card receivables.";

9. Article 74 is amended as follows:
   a) Paragraph 3 is replaced by the following text:
   "3. For the purposes of paragraph 2, a trustee is considered an intermediary." b) Paragraph 4 is replaced by the following text:
   "4. The debtors and creditors of the assets generating cash flows are registered or, if they are natural persons, reside in the EEA. Debtors who are natural persons must have resided in the EEA at the time the assets generating cash flows were granted. Any corresponding security is located in the EEA and the law governing the assets generating cash flows is the law of an EEA country."

10. Article 78 is amended as follows:
    a) Paragraph 1 is replaced by the following text:
    "1. Complete and standardised loan-level data concerning the common pool of assets generating cash flows to which the securities are backed are provided in accordance with the procedures described in Annex VIII, which include information on the required data quality rating and on the requirements for loan-level data repositories. In its assessment of the eligibility of securities, the Eurosystem takes into account: a) any failure to provide the data, and b) the frequency with which it is found that individual loan-level data fields contain no useful data." b) Paragraph 2 is replaced by the following text:
    "2. Notwithstanding the required ratings presented in Annex VIII for loan-level data, the Eurosystem may accept asset-backed securities with a rating below the required rating (A1) as collateral on a case-by-case basis, provided that the inability to obtain the required rating is adequately explained. For each adequate explanation, the Eurosystem indicates a maximum tolerance threshold and a tolerance period, as specified on the ECB website. The tolerance period indicates the timeframe within which the data quality concerning the asset-backed securities must be improved."

11. Article 81 bis is amended as follows:
    a) In paragraph 1, the first indent is replaced by the following text:
    "- debt securities issued by agencies," b) Paragraph 5 is deleted;

12. Article 90 is replaced by the following text:
    "Article 90
    Principal and coupons of private claims
    In order to be eligible, private claims must meet the following requirements:
    a) they have, until their final repayment, a fixed, unconditional principal; and b) an interest rate which, until their final repayment, is one of the following:
    i) 'zero coupon' type; ii) fixed; iii) variable, i.e. indexed to a reference interest rate and having the following structure: coupon rate = reference rate ± x, with f ≤ coupon rate ≤ c, where:

    • the reference rate is only one of the following rates at any given time:
    • a euro money market rate, notably Euribor, LIBOR or other similar indices,
    • a constant maturity swap rate, notably CMS, EIISDA, EUSA indices,
    • the yield of a euro area government bond or an index of several euro area government bonds,
    • f (floor) and c (cap), if applicable, and x (margin) are numbers which are either predefined at origination or may vary over the life of the claim; f and/or c may also be introduced after the origination of the private claim, and
      c) their most recent cash flows were not negative. In the event of negative cash flows, the private claim becomes ineligible from that moment. It may become eligible again once the cash flows become positive, subject to meeting all other relevant requirements."

13. Article 93 is replaced by the following text:
    "Article 93
    Minimum size of private claims
    For national use, private claims must meet a minimum threshold of EUR 25,000 or any higher amount set by the central bank of their home country at the time they are presented by the counterparty as collateral. For cross-border use, a minimum threshold of EUR 500,000 applies."

14. In Article 95, paragraph 1 is replaced by the following text:
    "1. The debtors and guarantors of eligible private claims are non-financial corporations, public sector entities (excluding public financial corporations), multilateral development banks or international organisations."

15. Article 100 is replaced by the following text:
    "Article 100
    Verification of procedures used to submit private claims The central banks, or the prudential supervisory authorities or external auditors, shall carry out, on a one-off basis, a verification of the appropriateness of the procedures used by the counterparty to transmit information relating to private claims to the Eurosystem. In the event of significant changes to these procedures, a new one-off verification of these procedures may be carried out."

16. In Article 107 bis, paragraph 2 is replaced by the following text:
    "2. DVCs comprise a fixed, unconditional principal and have a coupon structure satisfying the criteria set out in Article 63. The hedging portfolio contains only private claims for which there is:
    a) either a loan-level data reporting template for DVCs provided by the ECB; b) or a loan-level data reporting template for asset-backed securities (ABS) in accordance with Article 73."

17. Article 107 sexies is amended as follows:
    a) Paragraph 3 is replaced by the following text:
    "3. At the level of the underlying individual private claims, complete and standardised loan-level data concerning the common pool of underlying private claims are provided in accordance with the procedures and subject to the same controls applicable to the assets generating cash flows to which securities are backed described in Annex VIII, except as regards the reporting frequency, the applicable loan-level data reporting template and the transmission, by the parties concerned, of loan-level data to a loan-level data repository. DVCs can only be eligible if all underlying private claims are homogeneous, i.e. it is possible to report them using a single ECB loan-level data reporting template specific to DVCs. The Eurosystem may consider a DVC to be non-homogeneous after assessing the relevant data." b) Paragraph 5 is replaced by the following text:
    "5. The data quality requirements applied to asset-backed securities apply to DVCs, including the ECB loan-level data reporting template specific to DVCs. Loan-level data are transmitted in the ECB loan-level data reporting template specific to DVCs, as published on the ECB website, to:
    a) an ESMA securitisation repository; or b) a Eurosystem-designated repository." c) The following paragraph 5 bis is inserted:
    "5 bis. The transmission of loan-level data on DVCs to ESMA securitisation repositories in accordance with paragraph 5, point a), begins at the start of the calendar month immediately following the date occurring three months from the ESMA repository activation date. The transmission of loan-level data on DVCs to Eurosystem-designated repositories in accordance with paragraph 5, point b), is authorised until the end of the calendar month in which the date occurring three years and three months from the ESMA repository activation date occurs. The ESMA repository activation date is published on the ECB website."

18. In Article 114, paragraph 5 is replaced by the following text:
    "5. If the guarantor is not a public sector entity authorised to collect taxes, a legal opinion on the legal validity, binding effect and enforceability of the collateral is submitted to the relevant central bank, in terms acceptable to the Eurosystem, both in substance and in form, before the negotiable asset or the private claim benefiting from the collateral can be considered eligible. The legal opinion is prepared by persons who are independent of the counterparty, the issuer/debtor and the guarantor and who are qualified in the legal field to issue such an opinion in accordance with the applicable law, for example, lawyers practising in a law firm or working within a university establishment or a public body. The legal opinion also specifies that the collateral is not a personal guarantee and can only be enforced by the holders of the negotiable assets or by the creditor of the private claim. If the guarantor is established in a country different from that whose legislation governs the collateral, the legal opinion also attests that the collateral is valid and enforceable under the legislation of the guarantor's place of establishment. For negotiable assets, the counterparty submits the legal opinion to the central bank which declares the relevant asset pledged as collateral for inclusion on the list of eligible assets. For private claims, the counterparty seeking to mobilise the private claim submits the legal opinion to the central bank of the country whose legislation governs the claim. The enforceability requirement is subject to insolvency or bankruptcy law, general principles of equity and other similar laws and principles applicable to the guarantor and, in general, having an impact on the rights of creditors vis-à-vis the guarantor."

19. In Article 119, paragraphs 1 and 2 are replaced by the following text:
    "1. The information, regarding credit assessment, on which the Eurosystem relies to assess the eligibility of assets as collateral for Eurosystem credit operations is provided by credit assessment systems from one of the following three sources:
    a) ECAIs; b) Internal Credit Assessment Systems (ICAS) of the central banks; c) Internal Rating Based Systems (IRB systems) of counterparties.
    2. Each credit assessment source listed in paragraph 1 may comprise several credit assessment systems. The credit assessment systems meet the eligibility criteria provided for in this Title. A list of accepted credit assessment systems, i.e. accepted ECAIs and ICAS, is published on the ECB website."

20. Article 124 is deleted;

21. Article 125 is deleted;

22. Article 135 is replaced by the following text:
    "Article 135
    Valuation rules for non-negotiable assets
    The Eurosystem assigns to non-negotiable assets a value corresponding to the outstanding amount of these non-negotiable assets."

23. In Article 138, paragraph 3, point b), is replaced by the following text:
    "b) covered bonds meeting the requirements set out in Article 129(1) to (3) and (6) of Regulation (EU) No 575/2013. From 1 February 2020, these covered bonds must have an ECAI rating regarding the issuance as defined in Article 83(a), which meets the requirements of Annex IX ter;"

24. In Article 141, paragraph 1, point c), is replaced by the following text:
    "c) if the assets are issued by an agency, a multilateral development bank or an international organisation."

25. Annexes VI, VIII and IX ter are amended in accordance with the text set out in Annex I of this Decision;

26. The text set out in Annex II of this Decision is inserted as a new Annex XII bis.

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 5 August 2019.
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, 5 August 2019

The Governor of the Bank of France,
François VILLEROY de GALHAU

Annex I
The Annexes VI, VIII and IX ter of the Governor of the Bank of France Decision No. 2015-01 of 22 April 2015 are amended as follows:

1. Annex VI is amended as follows:
   a) The title of Table 2 is replaced by the following title:
   "Eligible links between securities settlement systems"; b) The first sentence following the title of Table 2 is replaced by the following text:
   "Use of eligible assets issued in the securities settlement system of Country B and held by a counterparty established in Country A via an eligible link between the securities settlement systems of Countries A and B in order to obtain credit from the central bank of Country A." c) The first sentence following the title of Table 3 is replaced by the following text:
   "Use of eligible assets issued in the securities settlement system of Country C and held in the securities settlement system of Country B by a counterparty established in Country A via an eligible link between the securities settlement systems of Countries B and C in order to obtain credit from the central bank of Country A."

2. Annex VIII is amended as follows:
   a) The title and introductory paragraph are replaced as follows:
   "ANNEX VIII
   LOAN-LEVEL DATA REPORTING OBLIGATIONS FOR ASSET-BACKED SECURITIES AND REQUIREMENTS FOR LOAN-LEVEL DATA REPOSITORIES This Annex applies to the provision of complete and standardised loan-level data concerning the common pool of assets generating cash flows to which securities are backed, as specified in Article 78, and defines the requirements for loan-level data repositories." b) Section I is amended as follows:
   i) Paragraphs 1 and 2 are replaced by the following text:
   "1. Loan-level data must be transmitted by the parties concerned to a loan-level data repository in accordance with this Annex. The loan-level data repository publishes this data in electronic form.
   2. Loan-level data may be transmitted for each transaction taken individually using:
   a) for transactions reported in an ESMA securitisation repository, the corresponding templates specified in the delegated acts adopted by the Commission pursuant to Article 7(4) of Regulation (EU) 2017/2402; or b) for transactions reported in a Eurosystem-designated repository, the corresponding, up-to-date loan-level data reporting template, published on the ECB website. In each case, the corresponding template to be transmitted depends on the type of asset to which the securities are backed, as defined in Article 73(1)." ii) The following paragraphs 2 bis and 2 ter are inserted:
   "2 bis. The transmission