Guideline (EU) 2016/64 of the European Central Bank of 18 November 2015 amending Guideline (EU) 2015/510 on the implementation of the Eurosystem monetary policy framework (General Documentation Guideline) (ECB/2015/34)

1 The Eurosystem shall apply the following risk control measures for eligible assets: (a) valuation haircuts as laid down in Guideline (EU) 2016/65 of the European Central Bank (ECB/2015/35) ; (b) variation margins (marking-to-market): the Eurosystem requires the haircut-adjusted market value of the eligible assets used in its liquidity-providing reverse transactions to be maintained over time. If the value of the eligible assets, which are measured on a daily basis, falls below a certain level, the home NCB shall require the counterparty to supply additional assets or cash by way of a margin call. Similarly, if the value of the eligible assets exceeds a certain level following their revaluation, the NCB may return the excess assets or cash; (c) limits in relation to the use of unsecured debt instruments issued by a credit institution or by any other entity with which that credit institution has close links as described in Article 138; (d) valuation markdowns as laid down in Guideline (EU) 2016/65 (ECB/2015/35).

2 The Eurosystem may apply the following additional risk control measures: (a) initial margins, meaning that counterparties provide eligible assets with a value at least equal to the liquidity provided by the Eurosystem plus the value of the relevant initial margin; (b) limits in relation to issuers, debtors or guarantors: the Eurosystem may apply additional limits, other than those applied to the use of unsecured debt instruments referred to in paragraph (1)(c), to the exposure vis-à-vis issuers, debtors or guarantors; (c) supplementary haircuts; (d) additional guarantees from guarantors meeting the Eurosystem's credit quality requirements in order to accept certain assets; (e) the exclusion of certain assets from use as collateral in Eurosystem credit operations.

1 Counterparties may use eligible assets on a cross-border basis throughout the euro area for all types of Eurosystem credit operations.

2 Counterparties may mobilise eligible assets other than fixed-term deposits, for cross-border use in accordance with the following: (a) marketable assets shall be mobilised via: (i) eligible links between EEA SSSs that have been positively assessed pursuant to the Eurosystem User Assessment Framework; (ii) applicable CCBM procedures; (iii) eligible links in combination with the CCBM; and (b) credit claims, DECCs and RMBDs shall be mobilised in accordance with applicable CCBM procedures.

3 Marketable assets may be used through an NCB account in an SSS located in a country other than that of the NCB in question if the Eurosystem has approved the use of such an account.

4 De Nederlandsche Bank shall be authorised to use its account with Euroclear Bank to settle collateral transactions in Eurobonds issued in that ICSD. The Central Bank of Ireland shall be authorised to open a similar account with Euroclear Bank. This account can be used for all eligible assets held in Euroclear Bank, i.e. including eligible assets transferred to Euroclear Bank through eligible links.

5 Counterparties shall execute the transfer of eligible assets via their securities settlement accounts with an SSS that has been positively assessed pursuant to the Eurosystem User Assessment Framework.

6 A counterparty that does not have a safe custody account with an NCB or a securities settlement account with an SSS that has been positively assessed pursuant to the Eurosystem User Assessment Framework may settle transactions through the securities settlement account or the safe custody account of a correspondent credit institution.’;

Articles 129 to 133a in Guideline (EU) 2015/510 (ECB/2014/60) and Annex X thereto are repealed.

1 This Guideline shall take effect on the day of its notification to the NCBs.

2 The NCBs shall take the necessary measures to comply with this Guideline and apply them from 25 January 2016. They shall notify the ECB of the texts and means relating to those measures by 5 January 2016 at the latest.

This Guideline is addressed to all Eurosystem central banks.