BANQUE CENTRALE DU LUXEMBOURG

Regulation of the Central Bank of Luxembourg 2014 / No. 16

of 12 May 2014 implementing the European Central Bank Guideline of 12 March 2014 amending Guideline ECB/2013/4 on additional temporary measures concerning Eurosystem refinancing operations and collateral eligibility and amending Guideline ECB/2007/9 (ECB/2014/12)

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, Articles 12.1, 14.3 and 18.2 thereof;

Having regard to Guideline ECB/2011/14 of 20 September 2011 concerning the instruments and procedures for monetary policy of the Eurosystem 1, Decision ECB/2013/6 of 20 March 2013 on the use of covered bonds and public sector securities issued by central governments and central banks as collateral for Eurosystem monetary policy operations 2 and Decision ECB/2013/35 of 26 September 2013 on additional measures concerning Eurosystem refinancing operations and collateral eligibility 3;

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 referred to as the "Central Bank") as amended, in particular Articles 2(1), 2(2) and 34(1);

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1 OJ L 331 of 14.12.2011, p. 1.
2 OJ L 95 of 5.4.2013, p. 22.

3 OJ L 301 of 12.11.2013, p. 6.

Considering that 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 referred to as the "NCBs") may carry out credit operations with credit institutions and other market participants on the basis of appropriate collateral for the loans. The general conditions under which the ECB and the NCBs are willing to carry out credit operations, including the criteria determining the eligibility of collateral for Eurosystem credit operations, are set out in Annex I to Guideline ECB/2011/14, as well as in Decision ECB/2013/6 and in Decision ECB/2013/35;

Considering that pursuant to Section 1.6 of Annex I to Guideline ECB/2011/14, the Governing Council may at any time modify the instruments, conditions, criteria and procedures relating to the conduct of the monetary policy operations of the Eurosystem;

Considering that Guideline ECB/2013/4, Decision ECB/2013/22 4 and Decision ECB/2013/36 5 define, together with other legal acts, the additional measures relating to Eurosystem refinancing operations and collateral eligibility to apply temporarily until the Governing Council considers that they are no longer necessary to ensure an appropriate monetary policy transmission mechanism;

Considering that Guideline ECB/2014/12 has amended Guideline ECB/2013/4 to reflect changes made to the Eurosystem collateral framework regarding:
a) the extension of data reporting requirements per underlying loan to credit card receivables securitisations, set out in Annex I to Guideline ECB/2011/14; b) the revision of the assignment of certain ratings within the scope of the Eurosystem harmonised rating scale, and c) the clarification of the rating rules concerning asset-backed securities;

Considering that Guideline ECB/2013/4 has been implemented at national level by Regulation of the Central Bank of Luxembourg 2013 / No. 15 (hereinafter referred to as the "Regulation BCL/2013/15") and that the amendments made to Guideline ECB/2013/4 must be reflected by amendments made to Regulation BCL/2013/15;

HAS ADOPTED THIS REGULATION:

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4 Decision ECB/2013/22 of 5 July 2013 on temporary measures concerning the eligibility of negotiable debt instruments issued or fully guaranteed by the Republic of Cyprus (OJ L 195 of 18.7.2013, p. 27).
5 Decision ECB/2013/36 of 26 September 2013 on additional temporary measures concerning Eurosystem refinancing operations and collateral eligibility (OJ L 301 of 12.11.2013, p. 13).

Article 1. Amendments

Regulation BCL/2013/15 is amended as follows:

1. In Article 1, paragraph 3 is replaced by the following text:

   « 3. For the purposes of Article 5(1) and Article 7, the Hellenic Republic and the Portuguese Republic shall be considered as euro area Member States complying with an EU/IMF programme. »

2. In Article 3, paragraph 1 is replaced by the following text:

   « 1. In addition to eligible asset-backed securities pursuant to Chapter 6 of Annex I to Guideline ECB/2011/14, asset-backed securities that do not meet the credit valuation requirements set out in Section 4.5.2 of Annex 8 to the General Conditions for Central Bank Operations 6 but otherwise meet all other applicable eligibility criteria for asset-backed securities under the General Conditions for Central Bank Operations 7 are eligible assets admitted as collateral for Eurosystem monetary policy operations, subject to having at least two ratings equal to or higher than ‘BBB’ 8 assigned by an approved external credit assessment institution (ECAI) regarding the issue. They also meet all of the following requirements:

   a) the assets generating the cash flows to which the securities are backed belong to one of the following asset categories: i) mortgage claims; ii) small and medium-sized enterprise (SME) loans; iii) commercial real estate loans; iv) auto loans; v) leasing; vi) consumer credit; vii) credit card receivables;

   b) there is no mixing of assets from 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, at any point in time, structured, syndicated or leveraged loans;

6 Section 6.3 of Annex I to Guideline ECB/2011/14.
7 Annex I to Guideline ECB/2011/14.
8 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 ‘BBBL’ according to DBRS. »

d) the documents concerning the asset-backed securities transaction provide for provisions relating to service continuity.

Article 2. Entry into force and application

This Regulation shall enter into force on the day of its publication.

Article 3. 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