Instruction No. 12/2022

Instruction No. 12/2022
BO No. 6/2022 2nd Supplement • 2022/06/29
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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 2 May 2022, the Governing Council of the ECB approved European Central Bank Guideline (EU) 2022/987, amending European Central Bank Guideline (EU) 2015/510 (ECB/2014/60) on the framework for the implementation of the Eurosystem monetary policy (ECB/2022/17). 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 31 January, in its current version, the Bank of Portugal determines:
Instruction No. 3/2015 (BO No. 5, of 15-05-2015) is amended as follows:

Article 2 is amended as follows:
a) Paragraph 4) shall read as follows:
4) “Bilateral procedure”, a procedure through which the Bank of Portugal or, as the case may be, the ECB carry out definitive transactions directly with one or more counterparties, or through stock exchanges or market agents, without recourse to auctions;
b) Paragraph 24-b) is inserted:
24-b) “ECONS credit”, the credit granted under the contingency processing referred to in Annex II, Appendix IV, point 6, of Guideline ECB/2012/27; c) Paragraph 31) shall read as follows:
31) “Eurosystem credit operations”, a) reversible liquidity-providing operations, i.e. Eurosystem monetary policy operations for the provision of liquidity, with the exception of currency swaps for monetary policy purposes and outright purchases; b) intraday credit; and c) ECONS credit;

Instruction No. 12/2022 BO No. 6/2022 2nd Supplement • 2022/06/29 Topics Markets :: Money Markets
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Mod. 99999940/T – 01/14 d) Paragraph 42) shall read as follows:
42) “Indicative calendar of regular Eurosystem auctions”, a calendar prepared by the Eurosystem, indicating the reserve maintenance periods and, additionally, the announcement date, the allotment date and the maturity date of the main refinancing operations and the regular longer-term refinancing operations;
e) Paragraph 53) shall read as follows:
53) “Maintenance period”, the same as in Regulation (EU) 2021/378 of the European Central Bank (ECB/2021/1) ();
() Regulation (EU) 2021/378 of the European Central Bank of 22 January 2021 on the application of minimum reserve requirements (ECB/2021/1) (OJ L 73 of 3.3.2021, p. 1). f) Paragraph 68) shall read as follows:
68) “G-10 countries not belonging to the EEA”, the countries that participate in the Group of 10 countries (G-10) that do not belong to the EEA, namely Canada, the United States of America, Japan, the United Kingdom and Switzerland;
g) Paragraph 88-a) shall read as follows:
88-a) “Sustainability performance target”, a target set in a public issuance document, which quantitatively assesses the improvements in the sustainability profile of the issuer or of one or more companies belonging to the same group of issuers of sustainability-linked bonds over a predefined period of time with reference to one or more environmental objectives established in Regulation (EU) 2020/852 of the European Parliament and of the Council(*) and/or to one or more Sustainable Development Goals defined by the United Nations relating to climate change and environmental degradation(); Regulation (EU) 2020/852 of the European Parliament and of the Council of 18 June 2020 on the establishment of a framework to facilitate sustainable investment, and amending Regulation (EU) 2019/2088 (OJ L 198 of 22.6. 2020, p. 13). () Contained in the “United Nations 2030 Agenda for Sustainable Development” adopted by the United Nations General Assembly on 25 September 2015. h) The following paragraph 88-b) is inserted:
88-b) “Group of sustainability-linked bond issuers”, a group of companies that operate as a single economic entity and constitute a reporting entity for the purposes of consolidated financial statements, including the parent company and all its direct and indirect subsidiaries;

Instruction No. 12/2022 BO No. 6/2022 2nd Supplement • 2022/06/29 Topics Markets :: Money Markets
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Mod. 99999940/T – 01/14
2. In Article 3, paragraph 2 is amended and shall read as follows:
2. The obligations under the minimum reserve regime are specified in Regulation (EC) No 2531/98 and in Regulation (EU) 2021/378 (ECB/2021/1). Annex I contains, for information purposes, some of the obligations under the minimum reserve regime.
3. In Article 4, Table 1 is amended as follows:
(a) In the line “Ad hoc fine-tuning operations” in the fifth column (“Procedure”), the terms “Bilateral procedures” and the footnote are deleted; (b) In the line “Structural operations” in the fifth column (“Procedure”), following the expression “Bilateral procedures”, the following footnote () is inserted:
()The procedures for carrying out bilateral definitive transactions are communicated when necessary.
4. In Article 8, paragraph 2, point (c) is amended and shall read as follows:
(c) are normally executed through quick auctions, unless the Eurosystem decides to carry out a given ad hoc fine-tuning operation through a normal auction due to specific monetary policy considerations or in reaction to market conditions;
5. In Article 10, paragraph 4, point (c) is amended and shall read as follows:
(c) That fall under the category of open market operations, are executed through normal auctions, with the exception of ad hoc fine-tuning operations, which are executed through auctions;
6. In Article 11, paragraph 5, point (c) is amended and shall read as follows:
(c) Are executed through quick auctions, unless the Eurosystem decides to carry out a given operation through a normal auction due to specific monetary policy considerations or in reaction to market conditions;
7. In Article 12, paragraph 6, point (c) is amended and shall read as follows:
(c) Is executed through quick auctions, unless the ECB decides to carry out a given operation through a normal auction, due to specific monetary policy considerations or in reaction to market conditions;
8. In Article 14, paragraph 3, point (d) is amended and shall read as follows:
(d) Are executed in a decentralised manner by the NCBs, unless the Governing Council of the ECB decides that the ECB or one or more NCBs, acting as the operational arm of the ECB, must carry out the specific operation;
9. In Article 17, paragraph 6 is amended and shall read as follows:
6. The Governing Council of the ECB regularly decides on the interest rates applicable to the standing facilities. The revised interest rates enter into force at the beginning of the reserve maintenance period, as defined in Article 8 of Regulation (EU) 2021/378 (ECB/2021/1),

Instruction No. 12/2022 BO No. 6/2022 2nd Supplement • 2022/06/29 Topics Markets :: Money Markets
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Mod. 99999940/T – 01/14 which follows the decision. The ECB publishes the calendar of reserve maintenance periods at least three months before the start of each year.
10. Articles 19, paragraphs 2 and 6 are amended and shall read as follows:
(a) 2. Access to the standing facility for marginal lending is granted only on TARGET2 business days, excluding days on which TARGET2 is not available at the end of the day due to a “prolonged disruption of TARGET2 over several business days”, as referred to in Article 182-a. On days when the relevant SLTs are not operational, access to the standing facility for marginal lending is granted based on eligible assets that have been previously deposited with the NCBs. (b) 6. At the end of each business day, a negative balance in a settlement account of a counterparty with its home NCB, after the completion of end-of-day control procedures, is automatically considered as a request for access (“automatic request”) to the standing facility for marginal lending. To be considered as meeting the requirement set out in Article 18, paragraph 4, counterparties must have deposited with the home NCB, and at a time prior to the triggering of said automatic request, eligible assets in sufficient value to secure the transaction. Non-compliance with this access condition is subject to the application of the sanctions provided for in Articles 149 to 152. If an automatic request submitted by a counterparty whose access to Eurosystem monetary policy operations has been limited in accordance with Article 153 results in that counterparty exceeding the defined limit, sanctions apply in accordance with Articles 149 to 152 with respect to the amount by which the limit is exceeded.
11. In Article 22, paragraph 1 is amended and shall read as follows:
1. Institutions that meet the eligibility criteria set out in Article 55 of this Guideline and that have access to an account with the NCB where transactions can be settled, notably in TARGET2, may access the deposit facility. Access to the deposit facility is granted only on TARGET2 business days, excluding days on which TARGET2 is not available at the end of the day due to a prolonged disruption of TARGET2 over several business days, as referred to in Article 182-a.
12. In Title III, the title of Chapter 1 shall read as follows:
Auctions for Eurosystem open market operations
13. Article 24 is amended and shall read as follows:

Instruction No. 12/2022 BO No. 6/2022 2nd Supplement • 2022/06/29 Topics Markets :: Money Markets
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Mod. 99999940/T – 01/14
Article 24
Types of procedures for open market operations Open market operations are executed through auctions.
14. In Title III, Chapter 1, Section 3, namely Articles 44 to 48, is repealed.
15. In Article 50, paragraph 2, Table 8, the expression “Settlement date of open market operations executed through quick auctions or bilateral procedures” is replaced by “Settlement date of open market operations executed through quick auctions”.
16. Article 52 is amended and shall read as follows:
Article 52
Settlement of open market operations carried out through quick auctions or bilateral procedures
1. The Eurosystem shall endeavour to settle on the same day as the transaction open market operations executed through quick auctions. Other settlement dates may be set, particularly in the case of operations carried out in the form of definitive transactions and currency swaps.
2. Ad hoc fine-tuning operations and structural operations carried out through definitive transactions and executed by means of bilateral procedures are settled in a decentralised manner through the NCBs.
17. In Article 54, paragraphs 1 and 2 are amended and shall read as follows:
1. In accordance with Article 3, paragraph 1, points (b) and (c) of Regulation (EU) 2021/378 (ECB/2021/1), settlement accounts of a counterparty with an NCB may be used as reserve accounts. Reserves held in settlement accounts may be used for intraday settlements. The daily reserves of a counterparty correspond to the end-of-day balances existing in its reserve accounts. For the purposes of this Article, “reserve account” has the same meaning as in Regulation (EU) 2021/378 (ECB/2021/1).
2. Reserves that meet the minimum reserve requirements in accordance with Regulation (EC) No 2531/98 and Regulation (EU) 2021/378 (ECB/2021/1) are remunerated in accordance with Regulation (EU) 2021/378 (ECB/2021/1).
18. In Article 55, point (a) is amended and shall read as follows:
(a) Are subject to the Eurosystem minimum reserve regime by virtue of Article 19-1 of the Statutes of the ESCB, and do not benefit from an exemption from compliance with the obligations arising from the Eurosystem minimum reserve regime under Regulation (EC) No 2531/98 and Regulation (EU) 2021/378 (ECB/2021/1);
19. In Article 55-a, paragraph 5 is amended and shall read as follows:

For open market operations executed through quick auctions, counterparties shall be selected in accordance with paragraphs 2 and 3.
For structural operations carried out through definitive transactions, which are executed through quick auctions, the eligibility criteria set out in paragraph 3, point (b), apply.
For ad hoc fine-tuning operations executed through quick auctions, counterparties are selected as follows:
(a) for ad hoc fine-tuning operations carried out through currency swaps for monetary policy purposes, which are executed through quick auctions, the set of counterparties corresponds to the range of entities that are selected for Eurosystem foreign exchange operations and that are established in Member States whose currency is the euro. Counterparties for currency swaps for monetary policy purposes carried out through quick auctions do not have to comply with the criteria set out in Article 55. The criteria for selecting counterparties for participation in Eurosystem foreign exchange operations are based on the principles of prudence and efficiency stipulated in Annex V. NCBs may apply systems that impose limits with the aim of controlling credit risk vis-à-vis individual counterparties participating in currency swaps for monetary policy purposes; (b) for ad hoc fine-tuning operations in the form of reversible operations or through fixed-term deposits, which are executed through quick auctions, each NCB selects, for a specific transaction, a set of counterparties from among institutions that meet the eligibility criteria set out in Article 55 and that are established in a Member State whose currency is the euro. The institution’s activity in the money market should be the main criterion for selecting counterparties. NCBs may apply different selection criteria, such as those of operational efficiency and the institution’s bidding capacity. (c) Paragraph 4 is repealed; (d) Paragraph 5 shall read as follows:

Instruction No. 12/2022 BO No. 6/2022 2nd Supplement • 2022/06/29 Topics Markets :: Money Markets
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Mod. 99999940/T – 01/14
5. Without prejudice to the provisions of paragraphs 1 to 3, if the Governing Council of the ECB so decides, open market operations executed through quick auctions may also be carried out with a broader set of counterparties than that indicated in paragraphs 2 and 3.
21. Article 63 is amended as follows:
(a) In paragraph 1, point (b), subpoint (i) shall read as follows:
(i) at a given moment, the reference rate is only one of the following:
– an euro money market rate provided by a central bank or by an administrator located in the Union and included in the register referred to in Article 36 of Regulation (EU) 2016/1011 of the European Parliament and of the Council(), such as, for example, the euro short-term rate (€STR) (including the daily or average €STR), the Euribor or similar indices; with respect to the first and/or the last coupon, the reference rate may be a linear interpolation between two tenors of the same euro money market rate, such as, for example, a linear interpolation between two different tenors of the Euribor, – a constant maturity swap rate, for example CMS, EIISDA, EUSA, – the yield of a bond or of an index of several euro area government debt bonds with a residual maturity of one year or less, – an euro area inflation index; () Regulation (EU) 2016/1011 of the European Parliament and of the Council of 8 June 2016 on indices used as reference rates in the context of financial instruments and financial contracts or for the purpose of measuring the performance of investment funds and amending Directives 2008/48/EC and 2014/17/EU and Regulation (EU) No 596/2014 (OJ L 171 of 29.6.2016, p. 1). (b) In paragraph 1, point (c) shall read as follows:
(c) stepped or variable rate coupons with steps linked to sustainability performance targets, provided that compliance with those targets by the issuer or by any company belonging to the same group of sustainability-linked bond issuers is subject to verification by an independent third party, in accordance with the terms and conditions of the debt instrument.

Without prejudice to the eligibility of legislative covered bonds under Article 64-a, legislative covered bonds of the EEA for which an ISIN was assigned before 8 July 2022 and which are not subject to Directive (EU) 2019/2162 of the European Parliament and of the Council(*) (“legacy covered bonds”) may be collateralised by securitised debt instruments, provided that the set of underlying assets of these bonds (for the purposes of paragraphs 1 to 4, “cover pool”) contains only securitised debt instruments that meet all of the following conditions:
a) The assets generating cash flows underlying the securitised debt instruments must meet the criteria set out in Article 129, paragraph 1, points (d) to (f) of Regulation (EU) No 575/2013 at the time the ISIN was assigned; b) The assets generating cash flows must have been originated by an entity with a close relationship with the issuer, as described in Article 133;

Without prejudice to paragraph 4, the Bank of Portugal uses the following measures to ensure that securitised debt instruments that do not comply with the provisions of paragraph 1 are excluded from the pool of collateral assets:
a) It shall request a quarterly self-certification and commitment from the issuer that the pool of collateral assets does not contain securitised debt instruments that do not comply with the provisions of paragraph 1. The self-certification must be signed by the Chief Executive Officer (CEO), the Chief Financial Officer (CFO), or a manager of the issuer with a position of equivalent responsibility, or by an authorised signatory on their behalf. b) It shall request annually from the issuer an ex post confirmation by external auditors, or by persons responsible within the issuer for the control of the underlying asset pool, that securitised debt instruments that do not comply with the provisions of paragraph 1 are excluded from this underlying asset pool during the controlled period.
If the issuer does not satisfy a specific request, or if the Eurosystem considers that the content of a confirmation is so incorrect or insufficient that it does not allow verification that the pool of underlying assets complies with the criteria provided for in paragraph 1, the Eurosystem will not accept EEE legislative covered bonds referred to in paragraph 1 as eligible collateral assets, or will suspend their eligibility.
If applicable legislation or the prospectus excludes the inclusion of securitised debt instruments whose pool of collateral assets does not comply with the provisions of paragraph 1, no verification under paragraph 2 shall be required.
For the purposes of paragraph 1, point (b), close links are determined at the moment when the senior tranches of the securitised debt instruments are transferred to the pool of underlying assets of the EEE legislative covered bond referred to in paragraph 1.

(*) Directive (EU) 2019/2162 of the European Parliament and of the Council of 27 November 2019 on covered bonds and public supervision of covered bonds and amending Directives 2009/65/EC and 2014/59/EU (OJ L 328 of 18.12.2019, p. 29).

Article 90 is amended as follows:
a) The title shall read as follows:
Capital amount, coupon and other elements of eligible credit claims b) After the semicolon in point (a), the word 'and' is deleted;

Instruction No. 12/2022 BO No. 6/2022 2nd Supplement • 2022/06/29 Topics Markets :: Money Markets
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Mod. 99999940/T – 01/14 c) Point (b) shall read as follows:
"(b) Have one of the following interest rates:
i) zero coupon; ii) fixed rate; iii) variable rate, i.e., linked to a reference interest rate and with the following structure: coupon rate = reference rate ± x, with f ≤ coupon rate ≤ c, where:
– at any given time, the reference rate is only one of the following:
– a money market interest rate provided by a central bank or by an administrator located in the Union and included in the register referred to in Article 36 of Regulation (EU) 2016/1011, for example, the Euro Short-Term Rate (€STR) (including the daily compounded or average €STR), the Euribor or similar indices; – a constant maturity swap rate (for example, CMS, EIISDA, EUSA); – the yield of a bond or an index of several euro area government debt bonds; – f (floor, minimum limit) and c (ceiling, maximum limit), if they exist, are values that are either pre-set at origination or may change during the life of the credit claim; they may also be introduced after the origination of the credit claim; – x (margin); d) The following point (b-a) is inserted:
(b-a) Its coupon structure (regardless of whether it is a fixed or variable rate credit claim) may contain a margin pre-set at origination or that may vary over the life of the credit claim. In the event of a change in the margin, the assessment of the eligibility of the coupon structure must be based on the remaining life of the credit claim; and e) Point (c) shall read as follows:
(c) Its current coupon does not imply a negative cash flow or a reduction in capital payment. If, in the current interest accrual period, the coupon structure implies a negative cash flow linked to the coupon, the credit claim is ineligible from the moment of coupon repricing. It may become eligible again at the start of a new interest accrual period, when the cash flow

26. Article 107-a, paragraph 2 is amended and shall read as follows:
"2. Debt instruments secured by eligible credit claims must have fixed and unconditional capital and a coupon structure that complies with the criteria established in Article 63.
The pool of underlying assets may only contain credit claims for which a specific ECB data reporting model for debt instruments secured by eligible credit claims is available.

27. Article 110, paragraph 1 is amended and shall read as follows:
1. Counterparties that securitise credit claims as collateral assets must select a credit assessment system from one of the three credit assessment sources accepted by the Eurosystem in accordance with the general acceptance criteria set out in Title V of Part IV. If counterparties select an IEAC source, any of the external institutions may be used.

28. Article 112-a, paragraphs 1 and 2 are amended and shall read as follows:
1. Non-tradable debt instruments secured by eligible credit claims do not have to be assessed by one of the three credit assessment sources accepted by the Eurosystem, set out in Part IV, Title V.
2. Each of the credit claims constituting the underlying assets of non-tradable debt instruments secured by eligible credit claims must have a credit assessment provided by one of the three credit assessment sources accepted by the Eurosystem in accordance with the general acceptance criteria set out in Part IV, Title V. Furthermore, the credit assessment system or source used must be the same system or source selected by the originator in accordance with Article 110. The rules regarding the Eurosystem's credit quality step requirements set out in Section 1 apply to the underlying credit claims.

29. Title VII and Article 132 are repealed.

30. Article 133 is amended as follows:
a) In paragraph 3, point (b), the introductory phrase shall read as follows:
For EEE legislative covered bonds, with the exception of intra-group aggregated covered bond structures issued in accordance with Article 8 of Directive (EU) 2019/2162:
b) In paragraph 3, point (b), sub-point (i) shall read as follows:
(i) that were issued on or before 7 July 2022, comply with the requirements established in Articles 129, paragraphs 1 to 3 and 6, of Regulation (EU) No 575/2013 applicable at the date of issuance and are included in the list of eligible tradable assets published on the ECB website on 7 July 2022; or that were issued on or after 8 July 2022 and comply with the requirements established in Articles 129, paragraphs 1 to 3-B, 6 and 7, of Regulation (EU) No 575/2013 applicable at the date of issuance; c) In paragraph 4, the first paragraph shall read as follows:
If it is necessary to verify compliance with paragraph 3, point (b), sub-points (i) or (ii), i.e., regarding EEE legislative covered bonds, if applicable legislation or the prospectus does not exclude i) intra-group aggregated covered bond structures issued in accordance with the relevant national transposition measures of Article 8 of Directive (EU) 2019/2162 or ii) the debt instruments referred to in paragraph 3, point (b), sub-point (ii), from the pool of underlying assets and if the counterparty or an entity with which it has a close link has issued the aforementioned debt instruments, the NCBs may adopt all or some of the following measures to carry out spot checks on compliance with paragraph 3, point (b), sub-points (i) or (ii):
d) In paragraph 4, points (b) and (c) shall read as follows:
(b) If the control reports do not provide sufficient information for verification purposes, the Bank of Portugal may request a self-certification and commitment from the counterparty securitising an EEE legislative covered bond confirming that the EEE legislative covered bond is not part of an intra-group aggregated covered bond structure issued in accordance with the relevant national transposition measures of Article 8 of Directive (EU) 2019/2162, in breach of paragraph 3, point (b), sub-point (i), and that the pool of underlying assets of the EEE legislative covered bonds does not include, in breach of paragraph 3, point (b), sub-point (ii), unsecured bank bonds issued by that counterparty or by another entity with which it has a close link and fully guaranteed by one or more EEE public entities with the right to levy taxes. The counterparty's self-certification must be signed by the general director, the financial director or a director of a similar category of the counterparty, or by an authorised signatory on their behalf. (c) Annually, the Bank of Portugal may obtain from the counterparty securitising an EEE legislative covered bond an ex post confirmation by external auditors or by persons responsible for the control of the underlying asset pool that the EEE legislative covered bond is not part of an intra-group aggregated covered bond structure issued in accordance with the relevant national transposition measures of Article 8 of Directive (EU) 2019/2162 in breach of paragraph 3, point (b), sub-point (i) and that the pool of underlying assets of the EEE legislative covered bonds does not include, in breach of

31. Article 136 is amended as follows:
a) In paragraph 1, the percentage value '10%' is replaced by the percentage value '2.5%'; b) Paragraph 2 shall read as follows:
2. If a close link is established or a merger takes place between two or more issuers of unsecured debt instruments, the threshold set in paragraph 1 shall apply from the third month following the date of the merger or the establishment of the close link.

32. In Article 148, paragraph 1 shall read as follows:
1. The ECB shall impose sanctions in accordance with Regulation (EC) No 2532/98, Regulation (EC) No 2157/1999 (ECB/1999/4), Regulation (EC) No 2531/98, Regulation (EU) 2021/378 (ECB/2021/1) and Decision (EU) 2021/1815 of the European Central Bank (ECB/2021/45) () on institutions that fail to comply with the obligations arising from ECB regulations or decisions regarding the maintenance of minimum reserves. The relevant sanctions and procedural rules for their application are specified in those legal acts.
() Decision (EU) 2021/1815 of the European Central Bank of 7 October 2021 on the methodology applied in the calculation of penalties for non-compliance with the minimum reserve requirement and related minimum reserve requirements (ECB/2021/45) (OJ L 367 of 15.10.2021, p. 4).

33. In Article 149, paragraph 1, point (d) shall read as follows:
(d) regarding end-of-day procedures and access conditions to the permanent facility for liquidity provision, in the event of a negative balance on a counterparty's settlement account in TARGET2, after the completion of end-of-day control procedures, and consequently it is considered that this has resulted in an automatic request for access to the permanent facility for liquidity provision as provided for in Article 19, paragraph 6, the obligation to present in advance as collateral sufficient eligible assets or, in the case of a counterparty whose access to Eurosystem monetary policy operations has been limited in accordance with Article 158, the obligation to keep recourse to Eurosystem monetary policy operations within the defined limit.

34. To Article 150, the following paragraph 2-a is added:
2-a If the calculation of a pecuniary sanction in accordance with Annex VII, following the application of the 50% reduction provided for in paragraph 2, results in an amount lower than 500 EUR, the minimum pecuniary sanction of 500 EUR shall be applied.

35. After Article 182, Part VII-A is inserted, which includes Articles 187-a to 187-d:

Part VII-A
Special provisions in the event of TARGET2 disruption over several business days

Article 182-a
Prolonged TARGET2 disruption over several business days

The ECB may declare that a disruption of the TARGET2 system that hinders the normal processing of payments to be considered a 'prolonged TARGET2 disruption over several business days' if:
a) The contingency solution referred to in Article 2, point 86), of Guideline ECB/2012/27 is activated as a result of the interruption; and b) The disruption lasts, or the ECB predicts it will last, more than one business day. Regular monetary policy operations may be postponed or cancelled after the activation of the contingency solution referred to in point (a).
The declaration referred to in paragraph 1 must be communicated via the ECB website. Within such a declaration, or after it, the ECB will communicate the consequences of the disruption for specific monetary policy operations and instruments.
Following a declaration made under this Article, special measures and provisions regarding certain monetary policy operations and instruments may be applied, as specified in this Guideline and, in particular, in Articles 182-b, 182-c and 182-d.
Once the TARGET2 system disruption is resolved, the ECB will issue a communication via its website declaring that the special measures and provisions adopted by virtue of that prolonged TARGET2 disruption over several business days are no longer applicable.

Article 182-b
Processing of Eurosystem monetary policy operations in the event of prolonged TARGET2 disruption over several business days In the event of a declaration of prolonged TARGET2 disruption over several business days under Article 182-a, the following provisions may apply to the processing of Eurosystem monetary policy operations:

Article 182-c
Access to the permanent facility for liquidity provision in the event of prolonged TARGET2 disruption over several business days In the event of a declaration of prolonged TARGET2 disruption over several business days under Article 187-A, the following provisions may apply to access to the permanent facility for liquidity provision:
a) Notwithstanding Article 19, paragraph 6, a negative balance on a counterparty's settlement account with its home NCB at the end of the day shall be treated as intraday liquidity and remunerated at an interest rate of zero. b) An interest rate of zero shall be applied to any credit to be settled granted under the permanent facility for liquidity provision under Article 20 on the day prior to the activation of the contingency solution. The said interest rate will be applied during the period of the disruption. Any credit granted under the permanent facility for liquidity provision and settled in real time on the day of the prolonged TARGET2 disruption, but before the disruption is declared as such, shall be treated as credit granted on the business day on which the prolonged TARGET2 disruption is resolved. Interest due on any credit received under the permanent facility for liquidity provision shall only be paid together with the repayment of that credit after the contingency solution has been deactivated and the ECB has issued a communication under Article 182-a, paragraph 4. The calculation of the interest payment excludes the business day or days during which the prolonged TARGET2 disruption persisted.

Article 182-d
No imposition of sanctions in the event of prolonged TARGET2 disruption over several business days No sanction shall be applied to a counterparty under Article 149 if a prolonged TARGET2 disruption over several business days is declared under Article 182-a, which affects that counterparty's ability to fulfil the obligations incumbent upon it under this Guideline.

36. Annex I is amended and shall read as follows:
Annex I – Minimum Reserves
The content of this Annex is presented for information purposes only. In the event of a conflict between the provisions of this Annex and the legal regime of the Eurosystem minimum reserves described in paragraph 1, the latter shall prevail.

1. Under Article 19 of the Statute of the European System of Central Banks and of the European Central Bank (hereinafter 'the ESCB Statutes'), the European Central Bank (ECB) requires credit institutions established in the Member States participating to hold minimum reserves in accounts opened at national central banks (NCBs), within the framework of the Eurosystem minimum reserves regime. The legal regime of the Eurosystem minimum reserves is defined in Article 19 of the ESCB Statutes, in Regulation (EC) No 2531/98 and in Regulation (EU) 2021/378 (ECB/2021/1). The application of Regulation (EU) 2021/378 (ECB/2021/1) ensures the uniformity of the terms and conditions of the Eurosystem minimum reserves regime in all Member States whose currency is the euro.

2. The minimum reserves regime aims to stabilise money market interest rates and to create (or increase) a structural shortage of liquidity.

3. In accordance with Article 1, point (a), of Regulation (EU) 2021/378 (ECB/2021/1), the Eurosystem minimum reserves regime applies to credit institutions:
i) authorised in accordance with Article 8 of Directive 2013/36/EU; or ii) exempt from the said authorisation under Article 2, paragraph 5, of Directive 2013/36/EU;

Furthermore, euro area branches of credit institutions not established in the euro area are also subject to the Eurosystem minimum reserve regime. However, branches established outside the euro area of credit institutions established in the euro area are not subject to this regime.

Under Article 4(1) of Regulation (EU) 2021/378 (ECB/2021/1), institutions are exempt from minimum reserve requirements if their authorization is revoked or withdrawn, or if they are subject to winding-up proceedings under Directive 2001/24/EC of the European Parliament and of the Council (*).
Under Article 4(2) of Regulation (EU) 2021/378 (ECB/2021/1), the ECB may grant exemptions from minimum reserve requirements, at the request of the relevant NCB, to institutions that find themselves in the circumstances provided for in points (a) to (d) of the same paragraph. Such institutions include, among others, institutions that have been subject to a resolution measure under Directive 2001/24/EC; institutions that have been subject to a freezing decision imposed by the Union or by a Member State or subject to measures imposed by the Union under Article 75 of the Treaty, which limit their ability to use their funds; institutions subject to a Eurosystem decision suspending or excluding access to open market operations or to the Eurosystem permanent facilities; and institutions in respect of which it is not appropriate to require minimum reserves.
The exemptions referred to in Article 4 of Regulation (EU) 2021/378 (ECB/2021/1) apply from the beginning of the maintenance period in which the relevant event occurs.
Under Article 3(3) of Regulation (EU) 2021/378 (ECB/2021/1), the ECB publishes on its website a list of institutions subject to minimum reserve requirements under the said regulation.
The ECB also publishes a list of institutions exempt from minimum reserve requirements, excluding the institutions referred to in Article 4(2), points (a) to (c), of Regulation (EU) 2021/378 (ECB/2021/1).
The reserve base of each institution is determined based on elements of its balance sheet. Balance sheet data are reported to the NCBs within the framework of the ECB’s monetary and financial statistics. Institutions calculate their reserve base for a given reserve maintenance period based on data relating to the month that precedes by two months the month in which that maintenance period begins under Article 5(5) of Regulation (EU) No 2021/378 (ECB/2021/1), subject to the exceptions applicable to small credit institutions under Article 5(6) of the said regulation.
Reserve ratios are determined by the ECB, subject to the maximum limit specified in Regulation (EC) No 2531/98.

The amount of minimum reserves to be held by institutions is calculated by applying the reserve ratios established in Article 6(1) of Regulation (EU) 2021/378 (ECB/2021/1) to each of the liabilities of the reserve base under Article 5 of the same regulation. The NCBs use the minimum reserves calculated under Article 6 of Regulation (EU) 2021/378 (ECB/2021/1) to remunerate the minimum reserves held and to assess compliance with the obligation to hold minimum reserves.
To pursue the objective of interest rate stabilization, the Eurosystem minimum reserve regime allows counterparties to use averaging clauses, which implies that compliance with minimum reserves is determined based on the average of end-of-day balances of one or more reserve accounts during a maintenance period. The definition of “maintenance period” is contained in Article 8 of Regulation (EU) 2021/378 (ECB/2021/1).
According to Article 9 of Regulation (EU) 2021/378 (ECB/2021/1), the minimum reserves actually held by institutions are remunerated at the average, during the maintenance period considered, of the interest rate applied by the Eurosystem to main refinancing operations (weighted by the number of calendar days), according to the following formula (rounded to the nearest cent):

Where:
Rt = remuneration payable on minimum reserves during maintenance period t; Ht = daily average of minimum reserves actually held during maintenance period t; ntt = number of calendar days of maintenance period t; rt = rate of remuneration payable on minimum reserves during maintenance period t. Standard rounding of the remuneration rate to two decimal places applies; i = i-th calendar day of maintenance period t; MR i = marginal interest rate for the latest main refinancing operation on day i. The end-of-day balance of TARGET2 during the prolonged TARGET2 disruption over several business days referred to in Article 182a shall be taken into account retroactively in the calculation of this formula after the TARGET2 disruption has been resolved. The end-of-day balance, applied to the number of days of the prolonged TARGET2 disruption over several business days, shall be determined according to the best information available to the ECB. Balances held in the contingency solution applied during a prolonged TARGET2 disruption over several business days, intraday or for a longer period, are remunerated at zero percent. If an institution fails to comply with other obligations stipulated in ECB regulations and decisions relating to the Eurosystem minimum reserve regime (e.g., late reporting of data or provision of incorrect information), the ECB has the power to impose sanctions under Regulation (EC) No 2532/98, Regulation (EC) 2157/1999 (ECB/1999/4) and Decision (EU) 2021/1815 (ECB/2021/45).

(*) Directive 2001/24/EC of the European Parliament and of the Council of 4 April 2001 on the reconciliation and winding-up of credit institutions (OJ L 125 of 5.5.2001, p. 15).

In Annex VI-A, Section I is amended and shall read as follows:

I. Eligibility criteria for securities settlement systems (SSSs) and links between SSSs

The Eurosystem determines the eligibility of an SSS operated by a central securities depository (CSD) established in a Member State whose currency is the euro, by a national central bank (NCB) or by a public body specified in Article 1(4) of Regulation (EU) No 909/2014 of the European Parliament and of the Council of a Member State whose currency is the euro (hereinafter “SSS operator”), based on the following criteria:
a) The euro area SSS operator complies with the requirements set out in Regulation (EU) No 909/2014; and b) The NCB of the Member State in which the respective SSS operates has created and maintains with the euro area SSS operator contractual provisions or other types of legally binding agreements adequate, which include the Eurosystem requirements set out in Section II.
The Eurosystem determines the eligibility of a direct link or a relayed link involving SSS operators based on the following criteria:
a) The direct link is in compliance or, in the case of a relayed link, all underlying direct links are in compliance with the requirements set out in Regulation (EU) No 909/2014; b) The NCBs of the Member State in which the investor SSS, any intermediate SSS and the issuer SSS are established have created and maintained with the euro area SSS operator contractual provisions or other types of legally binding agreements adequate, which include the Eurosystem requirements set out in Section II; c) The investor SSS, any intermediate SSS and the issuer SSS involved in the link are all considered eligible by the Eurosystem;

d) In the case of relayed links, all underlying direct links are considered eligible by the Eurosystem.

Before determining the eligibility of a direct link or a relayed link involving one or more SSSs operated by CSDs established in an EEA State whose currency is not the euro, by NCBs or by public bodies of an EEA State whose currency is not the euro (hereinafter “non-euro area EEA SSS” operated by a “non-euro area EEA SSS operator”), the Eurosystem carries out an economic feasibility analysis in which it takes into consideration, inter alia, the value of eligible assets issued or held in those SSSs.
In the event of a positive outcome of the economic feasibility analysis, the Eurosystem determines the eligibility of a link involving non-euro area EEA SSSs based on the following criteria.
a) The non-euro area EEA operators of SSSs involved in the link and the link itself comply with the requirements set out in Regulation (EU) No 909/2014. b) With regard to direct links, the NCB of the Member State in which the investor SSS operates has created and maintains with the euro area operator of the investor SSS contractual provisions or other types of legally binding agreements adequate. These must stipulate the obligation of the euro area SSS operator to implement the provisions set out in Section II in its legal agreements with the non-euro area EEA operator of the issuer SSS. With regard to relayed links, all underlying direct links in which a non-euro area EEA SSS acts as issuer SSS must comply with the criteria in the first subparagraph of point (b). In a relayed link where both the intermediate SSS and the issuer SSS are non-euro area EEA SSSs, the NCB of the Member State in which the investor SSS operates must create and maintain with the euro area operator of the investor SSS contractual provisions or other types of legally binding agreements adequate. These must stipulate not only the obligation of the euro area SSS operator to implement the provisions set out in Section II in its legal agreements with the non-euro area EEA operator of the intermediate SSS, but also the obligation of the non-euro area EEA operator of the intermediate SSS to implement the provisions set out in Section II in its contractual provisions or other types of legally binding agreements adequate with the non-euro area EEA operator of the issuer SSS. c) All euro area SSSs involved in the link are considered eligible by the Eurosystem. d) In the case of relayed links, all underlying direct links are considered eligible by the Eurosystem.

e) The NCB of the non-euro area EEA State in which the investor SSS operates has committed to reporting information on eligible assets traded in accepted markets in the form determined by the Eurosystem.

(*) Regulation (EU) No 909/2014 of the European Parliament and of the Council of 23 July 2014 on improving securities settlement in the European Union and on central securities depositories and amending Directives 98/26/EC and 2014/65/EU and Regulation (EU) No 236/2012 (OJ L 257 of 28.8.2014, p. 1).

38. In Annex VII, Section II, point 2 is repealed.

39. Annex X is amended as follows:
i. In Article 4, points (a) and (b) shall read as follows:
a) Securitised debt instruments (ABS), covered bonds 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 valuation margin in the form of an additional write-down of 4.5 %; b) Covered bonds for own use are subject to an additional valuation margin of i) 7.2 % on the value of debt instruments to which a credit quality level of 1 and 2 has been assigned, and ii) 10.8 % on the value of debt instruments to which a credit quality level 3 has been assigned;
ii. Article 5(5) is amended and shall read as follows:
5. Non-tradable debt instruments secured by mortgage loans to individuals are subject to a valuation margin of 28.4 %.

40. Table 2 is amended and shall read as follows:

Table 2
Valuation margin levels (in %) applicable to eligible traded assets in valuation margin categories I to IV

Valuation margin categories
Credit Quality
Residual Maturity (years) (*)
Category I
Category II
Category III
Category IV
Fixed Coupon
Zero Coupon
Variable Coupon
Fixed Coupon
Zero Coupon
Variable Coupon
Fixed Coupon
Zero Coupon
Variable Coupon
Fixed Coupon
Zero Coupon
Variable Coupon

[0,1)
1 and 2
0.5
0.9
6.8

[1,3)
0.9
1.8
0.5
1.4
2.3
0.9
1.8
2.7
0.9
9.0
9.5
6.8

[3,5)
1.4
2.3
0.5
2.3
3.2
0.9
2.7
4.1
0.9
11.7
12.2
6.8

[5,7)
1.8
2.7
0.9
3.2
4.1
1.4
4.1
5.4
1.8
13.1
14.0
9.0

[7,10)
2.7
3.6
1.4
4.1
5.9
2.3
5.4
7.2
2.7
14.9
16.2
11.7

[10,∞)
4.5
6.3
1.8
7.2
9.5
3.2
8.1
11.7
4.1
18.0
23.0
13.1

Level 3
[0,1)
5.4
6.3
7.2
11.7
11.7
11.7

[1,3)
6.3
7.2
5.4
8.6
12.2
6.3
10.8
13.5
7.2
20.3
22.5
11.7

[3,5)
8.1
9.0
5.4
12.2
16.7
6.3
14.9
19.8
7.2
25.2
29.3
11.7

[5,7)
9.0
10.4
6.3
12.6
18.0
8.6
16.7
23.4
10.8
27.5
31.5
20.3

[7,10)
10.4
11.7
8.1
14.4
22.1
12.2
17.1
25.2
14.9
27.9
33.3
25.2

[10,∞)
11.7
14.4
9.0
17.1
26.6
12.6
17.6
27.0
16.7
28.4
34.2
27.5

(*) 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.

Table 2a is amended and shall read as follows:

Table 2a
Valuation margin levels (in %) applicable to eligible traded assets included in valuation margin category V

Category V
Credit Quality
Weighted Average Maturity (*)
Valuation Margin
Levels 1 and 2
[0,1)
3.6
[1,3)
4.1
[3,5)
4.5
[5,7)
8.1
[7,10)
11.7
[10,∞)
18

(*) i.e., [0,1) weighted average maturity less than one year, [1,3) weighted average maturity equal to or greater than one year and less than three years, etc.

Table 3 is amended and shall read as follows:

Table 3
Valuation margin levels (in %) applicable to eligible credit rights

Credit Quality
Residual Maturity (years) (*)
Fixed Rate Interest Payment
Variable Rate Interest Payment

Levels 1 and 2
[0,1)
7.2
7.2
[1,3)
10.8
7.2
[3,5)
14.4
7.2
[5,7)
16.7
10.8
[7,10)
21.6
14.4
[10,∞)
31.5
16.7

Level 3
[0,1)
13.5
13.5
[1,3)
25.2
13.5
[3,5)
32.9
13.5
[5,7)
38.7
25.2
[7,10)
40.5
32.9
[10,∞)
43.2
38.7

(*) 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.

This Instruction enters into force on July 8, 2022.
This Instruction is republished in its entirety, and is available at https://www.bportugal.pt/instrucao/32015

Lineage: No known changes

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