Instruction No. 10/2020

Instruction No. 10/2020 BO No. 4/2020 2nd Supplement • 2020/04/20 .................................................................................................................................................................................................. Topics Markets :: Money Markets Mod. 99999940/T – 01/14 Index Text of the Instruction Text of the Instruction Subject: Implementation of the Eurosystem monetary policy On April 7, 2020, the Governing Council of the ECB approved Decision (EU) 2020/506 of the European Central Bank, which amends Guideline (EU) 2015/510 of the European Central Bank (ECB/2014/60) on the framework for the implementation of the Eurosystem monetary policy (ECB/2020/20), and Guideline (EU) 2016/65 on the haircuts to be applied in the implementation of the Eurosystem monetary policy (ECB/2015/35). Thus, in exercise of the powers conferred upon it by Articles 12, 15, 16, and 24 of its Organic Law, approved by Law No. 5/98 of January 31, in its current version, the Bp determines: Instruction No. 3/2015 (BO No. 5, of 15-05-2015) is amended as follows:

1. Article 93 is amended, taking the following wording: Article 93 Minimum size of credit rights For domestic use, credit rights must, at the time they are submitted to the Bp as collateral assets by a counterparty, have a minimum value of 20,000 EUR. For use on a cross-border basis, the minimum limit is 500,000 EUR.
2. Article 136, paragraph 1 is amended, taking the following wording:
3. Counterparties may not present or use as collateral assets debt instruments without collateral assets issued by a credit institution, or by any other entity with which that credit institution has close relations, to the extent that the value of the said assets issued by the said credit institution or by another entity with which the credit institution has close relations is cumulatively greater than 10% of the total value of the collateral assets mobilized by the counterparty, after the application of haircuts. The said threshold does not apply in the following cases:

Instruction No. 10/2020 BO No. 4/2020 2nd Supplement • 2020/04/20 Topics Markets :: Money Markets .................................................................................................................................................................................................. Mod. 99999940/T – 01/14 3. In Annex X, Haircuts, the following are amended, taking the following wording: 3.1 Article 4, letters a) and b) a) Securitised debt instruments (ABS), covered bonds compliant with the UCITS Directive, and unsecured debt instruments issued by credit institutions that are theoretically valued according to the rules contained in Article 129 of this Instruction are subject to an additional haircut in the form of an additional valuation reduction of 4%; b) Covered bonds for own use are subject to an additional haircut of i) 6.4% on the value of debt instruments to which a quality level of 1 and 2 has been assigned, and ii) 9.6% on the value of debt instruments with a credit quality level of 3; 3.2 Article 5, number 5 5. Non-tradable debt instruments secured by mortgage loans to individuals are subject to a haircut of 25.2%. 3.3 Table 2 is amended, being replaced by the following: Table 2: Haircut levels applicable to eligible transactionable assets in categories I to IV of the haircuts

Instruction No. 10/2020 BO No. 4/2020 2nd Supplement • 2020/04/20 Topics Markets :: Money Markets .................................................................................................................................................................................................. Mod. 99999940/T – 01/14 () i.e., [0-1) residual maturity less than one year, [1-3) residual maturity equal to or greater than one year and less than three years, etc. 3.4 Table 2a is amended, being replaced by the following: Table 2a Haircut levels applicable to eligible transactionable assets included in category V Category V Credit Quality Weighted average life Haircut Levels 1 and 2 (AAA to A-) [0,1) 3.2 [1,3) 3.6 [3,5) 4.0 [5,7) 7.2 [7,10) 10.4 [10, ∞) 16.0 () i.e., [0-1) residual maturity less than one year, [1-3) residual maturity equal to or greater than one year and less than three years, etc.

Instruction No. 10/2020 BO No. 4/2020 2nd Supplement • 2020/04/20 Topics Markets :: Money Markets .................................................................................................................................................................................................. Mod. 99999940/T – 01/14 3.5 Table 3 is amended, being replaced by the following: Table 3: Haircut levels applicable to eligible credit rights with fixed or variable interest rate payments 4. This Instruction enters into force on April 20, 2020. 5. The amendments contained in numbers 1 and 2 of this Instruction entered into force on April 8, 2020. 6. This Instruction is republished in its entirety, being available at https://www.bportugal.pt/instrucao/32015