2012-09-12 | Règlement BCL 2012/N°12Added
The Central Bank of Luxembourg implements ECB Guideline ECB/2012/18 by establishing additional temporary measures for Eurosystem refinancing operations and collateral eligibility. The regulation permits the acceptance of certain asset-backed securities and state-guaranteed bank bonds as collateral, subject to specific credit rating thresholds (at least 'BBB' or 'A') and haircuts ranging from 16% to 32%. It restricts the submission of self-issued state-guaranteed bank bonds beyond the nominal value held on July 3, 2012, unless a derogation is granted by the Governing Council accompanied by a financing plan. These measures apply temporarily until the Governing Council determines they are no longer necessary for the proper functioning of the monetary policy transmission mechanism.
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BANQUE CENTRALE DU LUXEMBOURG
Regulation of the Central Bank of Luxembourg 2012/No. 12 of 12 September 2012 implementing the Guideline of the European Central Bank of 2 August 2012 on additional temporary measures concerning Eurosystem refinancing operations and collateral eligibility and amending Guideline ECB/2007/9 (ECB/2012/18)
The Directorate of the Central Bank of Luxembourg;
Having regard to the Treaty on the Functioning of the European Union, and in particular Article 127(2), first indent;
Having regard to the Statute of the European System of Central Banks and of the European Central Bank, and in particular Article 3.1, first indent, and Articles 5.1, 12.1, 14.3 and 18.2;
Having regard to Article 108bis of the Constitution;
Having regard to the Law of 23 December 1998 on the monetary status and the Central Bank of Luxembourg (hereinafter the "Central Bank"), as amended, in particular Articles 2(1), 2(2) and 34(1);
Whereas, pursuant to Article 18.1 of the Statute of the European System of Central Banks and of the European Central Bank, the European Central Bank (ECB) and the national central banks of the Member States whose currency is the euro (hereinafter the "NCBs") may conduct credit operations with credit institutions and other market participants on the basis of appropriate collateral for the loans. The general conditions under which the Central Bank is willing to conduct credit operations, including the criteria determining the eligibility of collateral for Eurosystem credit operations, are set out in the General Conditions of the Central Bank's operations which implement Annex I of Guideline ECB/2011/14 of 20 September 2011 concerning the monetary policy instruments and procedures of the Eurosystem 1;
1 OJ L 331 of 14.12.2011, p. 1.
Whereas on 8 December 2011 and 20 June 2012, the Governing Council decided to take additional measures for enhanced credit support in order to support the provision of bank credit and liquidity on the euro area money market; this includes in particular the measures defined in Decision ECB/2011/25 of 14 December 2011 on additional temporary measures concerning Eurosystem refinancing operations and collateral eligibility 2;
Whereas the NCBs should not be required to accept as collateral for Eurosystem credit operations bank bonds eligible for guarantee by a Member State subject to an European Union/International Monetary Fund programme, or by a Member State whose rating does not meet the Eurosystem reference for the definition of its minimum requirement for high quality signature, as defined in Decision ECB/2011/25;
Whereas Decision ECB/2011/25 re-examines the derogation from the prohibition of "close links" provided for in Section 6.2.3.2 of Annex I of Guideline ECB/2011/14 regarding bank bonds guaranteed by a State which are issued by the counterparties and used as collateral for their own use;
Whereas counterparties participating in Eurosystem credit operations should be able to increase the amounts of state-guaranteed bank bonds for their own use, which they held on 3 July 2012, subject to prior approval by the Governing Council in exceptional circumstances. Requests submitted to the Governing Council for prior approval must be accompanied by a financing plan;
Whereas Decision ECB/2011/25 had to be replaced by the Guideline of the European Central Bank of 2 August 2012 on additional temporary measures concerning Eurosystem refinancing operations and collateral eligibility and amending Guideline ECB/2007/9, which must be implemented by the Central Bank;
Whereas the additional measures set out in this Regulation must apply temporarily, until the Governing Council considers that they are no longer necessary to ensure the proper functioning of the monetary policy transmission mechanism.
2 OJ L 341 of 22.12.2011, p. 65.
Art. 1. Additional measures concerning refinancing operations and eligible collateral
Art. 2. Option to terminate or modify longer-term refinancing operations The Eurosystem and therefore the Central Bank may decide that, under certain conditions, counterparties may, before maturity, reduce the amount of certain longer-term refinancing operations or terminate them. These conditions are published in the announcement of the relevant tender or in another form that the Eurosystem deems adequate.
Art. 3. Admission of certain other asset-backed securities
3 Chapter 6 of Annex I of Guideline ECB/2011/14.
4 Section 6.3.2 of Annex I of Guideline ECB/2011/14.
5 Guideline ECB/2011/14.
6 A "BBB" rating corresponds to a rating of at least "Baa3" according to Moody's, "BBB-" according to Fitch or Standard & Poor's or a rating equal to "BBB" according to DBRS.
a) the assets generating the cash flows to which the securities are backed belong to one of the following asset categories: i) mortgage loans; ii) loans to small and medium-sized enterprises (SMEs); iii) commercial real estate loans; iv) car loans; v) hire-purchase and consumer credit;
b) there is no mixing of assets of different categories within the assets generating the cash flows;
c) the assets generating the cash flows to which the securities are backed do not contain loans that:
i) are non-performing at the time of issuance of the asset-backed securities; ii) become non-performing when they are included in the asset-backed securities during the life of the securities, for example upon substitution or replacement of the assets generating the cash flows; iii) are structured, syndicated or leveraged loans at any time;
d) the documentation concerning the asset-backed security transaction provides for provisions regarding service continuity.
The asset-backed securities referred to in paragraph 1 that have at least two ratings equal to or higher than "A" 7 are subject to a haircut of 16%.
The asset-backed securities referred to in paragraph 1 that do not have at least two ratings equal to or higher than "A" are subject to the following haircuts: a) asset-backed securities secured by commercial real estate loans are subject to a haircut of 32%; and b) all other asset-backed securities are subject to a haircut of 26%.
A counterparty may not submit as collateral asset-backed securities that are eligible under paragraph 1, if that counterparty, or a third party with which it has close links, acts as a provider of interest rate risk hedging in relation to that security.
The Central Bank may accept as collateral for Eurosystem monetary policy operations asset-backed securities, the underlying assets of which comprise either mortgage loans or loans to small and medium-sized enterprises (SMEs), or both, and which do not meet the credit assessment requirements set out in Section 4.5.2 of Annex 8 of the General Conditions of the Central Bank's operations 8 nor the requirements referred to in paragraph 1, points a) to d), and paragraph 4 above, but which otherwise meet all eligibility criteria applicable to asset-backed securities under the General Conditions of the Central Bank's operations 9 and have at least two ratings equal to or higher than "BBB".
7 An "A" rating corresponds to a rating of at least "A3" according to Moody's, "A-" according to Fitch or Standard & Poor's or a rating equal to "AL" according to DBRS.
8 Section 6.3.2 of Annex I of Guideline ECB/2011/14.
9 Guideline ECB/2011/14.
Only asset-backed securities issued before 20 June 2012 are concerned, which are subject to a haircut of 32%.
"mortgage loan": in addition to loans backed by mortgage loans, residential real estate loans secured (without a mortgage claim) where the security gives rise to a prompt payment after default. These securities may be provided in different contractual configurations, including insurance contracts, provided they are granted by a public sector entity or a financial institution subject to public control. The credit assessment of the guarantor for this security must correspond to credit quality step 3 on the Eurosystem harmonised rating scale, for the life of the operation;
"small enterprise" and "medium-sized enterprise": any entity carrying out an economic activity, regardless of the legal status of that entity, when the declared turnover for the entity, or when the entity is part of a consolidated group, for the consolidated group, is less than EUR 50 million;
"non-performing loans": loans where the repayment of interest or principal is overdue for more than 90 days and where the debtor is in default, as defined in Annex VII of Directive 2006/48/EC of the European Parliament and of the Council of 14 June 2006 on the taking up and pursuit of the business of credit institutions 10, or loans where there is good reason to doubt that they will be fully repaid;
"structured loan": a structure involving subordinated private claims;
"syndicated loan": a loan granted by a group of lenders grouped within a banking syndicate;
"leveraged loan": a loan granted to a company already having a considerable level of indebtedness, for example to finance a buyout or takeover, which is used to acquire the capital of a company that is also a debtor of the loan;
"debt service continuity provisions": the provisions contained in the legal documentation concerning an asset-backed security, which ensure that the failure of the management body does not lead to the cessation of debt service, trigger the appointment of a backup management body and contain a high-level action plan indicating the operational measures to be implemented once the backup management body is appointed as well as how the management of the loans should be transferred.
10 OJ L 177 of 30.6.2006, p. 1.
Art. 4. Acceptance of state-guaranteed bank bonds
The Central Bank is not required to accept as collateral for Eurosystem credit operations bank bonds eligible for guarantee by a Member State subject to an European Union/International Monetary Fund programme, or by a Member State whose rating does not meet the Eurosystem reference for the definition of its minimum requirement for high quality signature in respect of issuers and guarantors of marketable assets pursuant to Sections 4.5.1 and 4.5.2 of Annex 8 of the General Conditions of the Central Bank's operations 11.
Counterparties may not present bank bonds that they themselves issue and which are guaranteed by an EEA public sector entity authorised to levy taxes as collateral for Eurosystem credit operations or similar bonds issued by entities with close links for an amount exceeding the nominal value of these bonds already presented as collateral on 3 July 2012.
In exceptional cases, the Governing Council may decide to derogate from the provisions provided for in paragraph 2. A request for derogation must be accompanied by a financing plan.
Art. 5. Entry into force
This Regulation shall enter into force on the day of its publication.
Art. 6. Publication
This Regulation shall be published in the Mémorial and on the website of the Central Bank (www.bcl.lu).
BANQUE CENTRALE DU LUXEMBOURG
The Directorate
11 Sections 6.3.1 and 6.3.2 of Annex I of Guideline ECB/2011/14 of 20 September 2011 concerning the monetary policy instruments and procedures of the Eurosystem.
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