Instruction No. 4/2026

Instruction No. 4/2026
BO No. 3/2026 Supplement • 2026/03/26
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Topics
Markets :: Money Markets
Mod. 99999940/T – 01/14
Index
"Annex XIV – Procedures for the use of collateral assets in Eurosystem credit operations (credit rights in the form of bank loans)"; Text of the Instruction Subject: Implementation of European Central Bank (ECB) Guideline (EU) 2026/689 (ECB/2026/1), which amends Guideline (EU) 2015/510 on the framework for the implementation of the Eurosystem monetary policy (ECB/2014/60), of European Central Bank Guideline (EU) 2026/690 (ECB/2026/2), which amends Guideline (EU) 2016/65 on the valuation haircuts to be applied in the implementation of the Eurosystem monetary policy (ECB/2015/35) and of European Central Bank Guideline (EU) 2026/692 (ECB/2026/4), which amends Guideline (EU) 2024/3129 on the management of collateral assets in Eurosystem credit operations (ECB/2024/22) Recitals:
(1) The pursuit of the single monetary policy requires the definition of tools, instruments and procedures to be used by the Eurosystem, which is composed of the European Central Bank ("ECB") and the national central banks of the Member States whose currency is the euro ("NCBs"), so that it can be implemented uniformly in all Member States whose currency is the euro.
(2) On 29 November 2024, the Governing Council of the ECB decided to adopt certain measures aimed at promoting greater harmonisation of the Eurosystem collateral framework. First, certain types of assets accepted under the temporary framework must be integrated into the general collateral framework, namely a) tradable assets denominated in United States dollars, British pounds and Japanese yen; and b) securitised debt instruments with a second-best credit quality assessment of level 3 on the Eurosystem harmonised rating scale and which meet the eligibility criteria stipulated in the temporary collateral framework. Second, the NCBs' internal statistical credit assessment systems (E-SIAC) must be accepted as a source of credit assessment, in addition to the NCBs' credit assessment systems (SIAC) which are currently accepted, so these must be designated as "complete internal credit assessment systems" (C-SIAC), to distinguish them from E-SIAC. Third, with regard to the procedure for accepting E-SIAC as a third credit assessment source for a counterparty, it is appropriate to waive the requirement for

Instruction No. 4/2026 BO No. 3/2026 Supplement • 2026/03/26 Topics Markets :: Money Markets
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Mod. 99999940/T – 01/14 submission of a reasoned statement, accompanied by adequate economic justification, to facilitate the use of E-SIAC. Finally, with a view to simplifying the Eurosystem collateral framework, the Governing Council of the ECB also decided that the eligibility of retail mortgage-backed securities (RMBS) and non-tradable debt instruments backed by eligible credit claims (DECC) as collateral assets in Eurosystem credit operations should be discontinued due to limited historical use and reduced demand. (3) Following the end of the transition period regarding the use of ECB loan data reporting models and the gradual discontinuation of the Eurosystem's designation process for loan data repositories, as decided by the ECB Governing Council on 22 March 2019, consequential changes to the relevant provisions of the Eurosystem monetary policy framework are necessary. (4) With regard to the eligibility criteria applicable to securitised debt instruments as eligible collateral assets for Eurosystem credit operations, new improvements are necessary to expressly exclude securitised debt instruments whenever the issuer of those instruments is subject to residual value risk. (5) With regard to the treatment of entities for which a resolution programme based on an open bank resolution strategy has been adopted, clarification of the Eurosystem counterparty framework is necessary in order to reflect the processes and timeframes applicable in the assessment of financial soundness. (6) Additional clarification is provided regarding the assessment of the financial soundness of a counterparty in the event that discretionary measures are taken by the Eurosystem based on prudential considerations. (7) The eligibility criteria applied to floating rate coupons with an inflation-indexed reference rate must be defined through specific provisions that distinguish them from those applicable to instruments with other floating rate coupons and must provide greater clarity. (8) It is important to clarify that the eligibility criteria relating to the issuance of international debt instruments should apply only to international debt instruments issued through international central securities depositories (ICSDs) in the form of a global debt certificate and represented by a physical certificate (paper) or by an electronic copy (digital) of a global debt certificate on paper. However, for international debt instruments issued through ICSDs in fully dematerialised form, the Eurosystem must reserve the right to verify whether such instruments a) do not give rise to significant risks that could affect the rights of the Eurosystem as holder of collateral assets and b) are validly constituted under the applicable legislation, regardless of the technology used in their issuance.

Instruction No. 4/2026 BO No. 3/2026 Supplement • 2026/03/26 Topics Markets :: Money Markets
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Mod. 99999940/T – 01/14
(9) The eligibility criteria applicable to credit rights as eligible collateral assets for Eurosystem credit operations must be clarified, expressly excluding non-performing credit claims, in order to ensure that the Eurosystem is protected against the risks they represent and that only suitable collateral assets are accepted for Eurosystem credit operations.
(10) Given the large variations in the number, value and types of assets, as well as the circumstances that may be involved in a default event, adjustments should be made to allow a more efficient and flexible application of pecuniary and non-pecuniary sanctions applied to counterparties that do not comply with certain rules on monetary policy operations.
(11) On 23 July 2025, the Governing Council of the ECB decided to introduce a "climate factor" into the Eurosystem collateral framework. The Eurosystem conducts credit operations with eligible counterparties to achieve its primary objective of price stability, which is defined by the Governing Council of the ECB as a symmetric objective of 2% inflation over the medium term. Under Article 18-1 of the Statute of the European System of Central Banks and of the European Central Bank, these operations must be secured by adequate collateral assets. A fundamental risk in these operations is the potential reduction in the value of collateral assets in the event of counterparty default and the Eurosystem becoming the owner of the collateral assets indefinitely. (12) Within its current collateral framework, the Eurosystem relies on various measures to mitigate the financial risks associated with its credit operations, but the potential financial impact of uncertainties related to the climate transition remains unresolved. The financial risks associated with the Eurosystem arise from the potential revaluation of asset prices due to unexpected shocks in the climate transition as the economy advances towards a low-carbon future, driven by changes in policy, technology, market dynamics and consumer preferences. Consequently, the Governing Council of the ECB decided to introduce a "climate factor", which consists of an additional risk control measure intended to mitigate the potential financial impact of uncertainties related to the climate transition, adjusting the value attributed to eligible tradable assets issued by certain non-financial companies and their respective subsidiaries, and mobilised as collateral assets, depending on the extent to which they may be affected by prospective uncertainties related to the climate transition. (13) The adjustment of the value attributed to eligible assets mobilised as collateral assets must be based on a set of objective criteria, with a view to ensuring that the measure is adequate to achieve its objective of mitigating financial risk and does not exceed what is necessary to achieve that objective. The climate factor must be calculated from a composite uncertainty score consisting of three elements: a) a sector-specific stress factor: a uniform "market factor", resulting from the expected loss in the adverse scenario of the Eurosystem's climate stress test, which applies to all assets issued by companies in a specific sector; b) issuer-specific exposure: a measure of an issuer's exposure to transition-related uncertainties, based on the methodology developed for targeting purchases under the corporate sector purchase programme (CSPP); and c) asset-specific vulnerability: an assessment of the sensitivity of the market price of an asset to unexpected future climate shocks, taking into account its residual maturity. Based on the uncertainty score, the Eurosystem must assign a climate factor to each eligible tradable
asset within the risk management measure, which may further adjust the value of its collateral assets after the application of other risk control measures. Assets that become eligible between two annual update exercises relating to the climate factor must initially be assigned a median climate factor of the asset type to which they belong, specifically bonds, medium-term debt securities or commercial paper. The application of a median climate factor based on asset type reflects the inherent differences in price sensitivity to similar shocks between asset types and balances risk management with efficiency considerations until the next annual update exercise. (14) The climate factor must be calibrated so as not to compromise the Eurosystem's ability to implement monetary policy through a wide availability of collateral assets. (15) The climate factor must reflect the uncertainties related to the climate transition to which tradable assets issued by certain non-financial companies, as well as their affiliated entities, may be exposed. The focus on these tradable assets is driven by better data availability in this segment and the experience acquired by the Eurosystem with the integration of climate transition risks into the CSPP. The climate factor, including its scope, methodology and calibration, must be regularly reviewed by the Governing Council of the ECB and updated as necessary to a) reflect the growing availability of data and relevant models and b) balance the evolution of relevant regulation and progress in risk assessment capabilities. (16) By introducing the climate factor as an additional risk control measure, the Eurosystem further ensures that it complies with Article 11 of the Treaty on the Functioning of the European Union, under which environmental protection requirements must be integrated into the definition and implementation of Union policies and actions, which includes the Union's monetary policy. Similarly, the introduction of the measure ensures compliance with the obligations of the Eurosystem stipulated in Article 7 of the Treaty, which requires the Union to ensure coherence between its different policies and actions. (17) Given the technical implementation of the climate factor within the Eurosystem Collateral Management System (ECMS), it is necessary to align the implementation date of the climate factor with the date of entry into operation of an updated version of the ECMS, scheduled for the second quarter of 2026, so that the climate factor must be applied from 15 June 2026. (18) In accordance with Article 18-1 of the Statute of the European System of Central Banks and of the European Central Bank, the ECB and the NCBs may conduct credit operations with credit institutions and other market participants, with loans granted on the basis

Instruction No. 4/2026 BO No. 3/2026 Supplement • 2026/03/26 Topics Markets :: Money Markets
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Mod. 99999940/T – 01/14 of adequate collateral assets. The general conditions for the conduct of credit operations by the ECB and the NCBs, including the criteria that determine the eligibility of collateral assets for the purposes of Eurosystem credit operations, are established in European Central Bank Guideline (EU) 2015/510 (ECB/2014/60)1.
(19) All assets eligible for Eurosystem credit operations are subject to specific risk control measures intended to protect the Eurosystem against financial losses, in the event that collateral assets need to be enforced due to counterparty default. The Eurosystem's risk control framework is subject to periodic reviews in order to ensure adequate protection, resulting in changes, whenever necessary, to the relevant legal acts, in order to reflect the results of those reviews. (20) It is necessary to clarify the valuation haircuts applied to credit rights that include an option to change the type of interest payment or the possibility that the type of interest payment may change depending on the occurrence of a predefined event, during their validity period. (21) On 13 August 2024, the Governing Council of the ECB adopted European Central Bank Guideline (EU) 2024/3129 (ECB/2024/22)2, which established harmonised rules and mechanisms for the mobilisation and management of eligible collateral assets under European Central Bank Guideline (EU) 2015/510 (ECB/2014/60)3 and/or European Central Bank Guideline ECB/2014/31 of the European Central Bank,4 at national or cross-border level, for the purpose of securing Eurosystem credit operations. Such eligible collateral assets include RMBS and DECC, the eligibility of which the Governing Council of the ECB decided to discontinue on 29 November 2024. In the exercise of the competence attributed to it by Articles 12, 15, 16 and 24 of its Organic Law, approved by Law No. 5/98 of 31 January, the Bank of Portugal approves the following Instruction:
Article 1.
Object
This Instruction amends Bank of Portugal Instruction No. 3/2015 of 15 May.

1 European Central Bank Guideline (EU) 2015/510 of 19 December 2014 on the framework for the implementation of the Eurosystem monetary policy (General Documentation Guideline) (ECB/2014/60) (OJ L 91 of 2.4.2015, p. 3, ELI: http://data.europa.eu/eli/guideline/2015/510/oj.)
2 European Central Bank Guideline (EU) 2024/3129 of 13 August 2024 on the management of collateral assets in Eurosystem credit operations (ECB/2024/22) (OJ L, 2024/3129, 20.12.2024, ELI: http://data.europa.eu/eli/guideline/2024/3129/oj).
3 European Central Bank Guideline (EU) 2015/510 of 19 December 2014 on the framework for the implementation of the Eurosystem monetary policy (General Documentation Guideline) (ECB/2014/60) (OJ L 91 of 2.4.2015, p. 3, ELI: http://data.europa.eu/eli/guideline/2015/510/oj).
4 European Central Bank Guideline ECB/2014/31 of 9 July 2014 on additional temporary measures relating to Eurosystem refinancing operations and the eligibility of collateral assets and amending Guideline ECB/2007/9 (OJ L 240 of 13.8.2014, p. 28, ELI: http://data.europa.eu/eli/guideline/2014/528/oj).

Instruction No. 4/2026 BO No. 3/2026 Supplement • 2026/03/26 Topics Markets :: Money Markets
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Mod. 99999940/T – 01/14

Instruction No. 4/2026 BO No. 3/2026 Supplement • 2026/03/26 Topics Markets :: Money Markets
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Mod. 99999940/T – 01/14
Article 2.
Amendments

1. Article 2 is amended as follows:
   a) Point 7-a) is added, with the following wording:
   "7-a) 'Climate factor', an adjustment that may be applied to the value attributed to tradable assets issued by certain non-financial companies and by their respective issuer business groups, mobilised as collateral assets in Eurosystem credit operations, in order to mitigate the potential financial impact of uncertainties related to the climate transition;"; b) Point 10-a) is added, with the following wording:
   "Issuer business group", for the purposes of the climate factor, a group of companies that operate as a single economic entity and constitute a reporting entity for the purposes of consolidated accounts, including the parent company and all its direct and indirect subsidiaries;"; c) In point 16), letter e) is repealed; d) In point 23), letters c) and d) are repealed; e) Point 26-a) is repealed; f) Point 26-b) is repealed; g) Point 31-a) is repealed; h) Point 49) is repealed; i) Point 50-a) shall have the following wording:
   "50-a) 'Loan data repository', a securitisation repository within the meaning of Article 2, point 23), of Regulation (EU) 2017/2402 of the European Parliament and of the Council (), registered with the European Securities and Markets Authority (ESMA), in accordance with Article 10 of the same regulation; () 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 of 28.12.2017, p. 35, ELI: http://data.europa.eu/eli/reg/2017/2402/oj)."; j) Point 70) shall have the following wording:
   "70) 'Non-tradable asset', any of the following types of asset: fixed-term deposits and credit rights;";

Instruction No. 4/2026 BO No. 3/2026 Supplement • 2026/03/26 Topics Markets :: Money Markets
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Mod. 99999940/T – 01/14 k) Point 70-a) is repealed; l) The following point 79-a) is added:
"79-a) 'Residual value risk', the risk arising from a payment related to a cash-generating asset in any of the following cases:
a) The payment is structured in such a way as to depend systematically on the sale or refinancing of the assets in question, without any additional recourse to the debtor to cover any potential difference between the proceeds from the sale of the assets and the payments scheduled under the cash-generating asset, or any potential deficit in those scheduled payments resulting from the total or partial non-refinancing of the assets; b) The debtor has the option, inter alia, to deliver the assets for full settlement of its payment obligations, but is not obliged to cover any difference between the proceeds from the sale of the assets and the payments scheduled under the cash-generating asset, or any potential deficit in those scheduled payments resulting from the total or partial non-refinancing of the assets; c) In the case of letters a) or b), regardless of the existence of any repurchase, guarantee or any other obligation on the part of a third party or party to the transaction to make the scheduled payment or to cover any potential difference between the proceeds from the sale of the assets and the payments scheduled under the cash-generating asset, or any potential deficit in those scheduled payments resulting from the total or partial non-refinancing of the assets; m) Point 79-b) is added, with the following wording:
"79-b) 'Resolution authority', a resolution authority within the meaning of Article 2(1), point 18), of Directive 2014/59/EU of the European Parliament and of the Council () or the Single Resolution Board established under Article 42 of Regulation (EU) No 806/2014 of the European Parliament and of the Council (); () Directive 2014/59/EU of the European Parliament and of the Council of 15 May 2014 establishing a framework for the recovery and resolution of credit institutions and investment firms and amending Council Directive 82/891/EEC, and Directives 2001/24/EC, 2002/47/EC, 2004/25/EC, 2005/56/EC, 2007/36/EC, 2011/35/EU, 2012/30/EU and 2013/36/EU and Regulations (EU) No 1093/2010 and (EU) No 648/2012 of the European Parliament and of the Council (OJ L 173 of 12.6.2014, p. 190, ELI: http://data.europa.eu/eli/dir/2014/59/oj). () Regulation (EU) No 806/2014 of the European Parliament and of the Council of 15 July 2014 establishing uniform rules and a uniform procedure for the resolution of credit institutions and certain investment firms in the framework of a Single Resolution Mechanism and a Single Resolution Fund and amending Regulation (EU) No 1093/2010 (OJ L 225 of 30.7.2014, p. 1, ELI: http://data.europa.eu/eli/reg/2014/806/oj).";

Instruction No. 4/2026 BO No. 3/2026 Supplement • 2026/03/26 Te