Guideline (EU) 2019/1032 of the European Central Bank of 10 May 2019 amending Guideline (EU) 2015/510 on the implementation of the Eurosystem monetary policy framework (ECB/2019/11)

‘5 A counterparty may send a request to its home NCB for access to the marginal lending facility. Provided that the request is received by the home NCB at the latest 15 minutes following the TARGET2 closing time, the NCB shall process the request on the same day in TARGET2. The deadline for requesting access to the marginal lending facility shall be postponed by an additional 15 minutes on the last Eurosystem business day of a reserve maintenance period. Under exceptional circumstances, the Eurosystem may decide to apply later deadlines. The request for access to the marginal lending facility shall specify the amount of credit required. The counterparty shall deliver sufficient eligible assets as collateral for the transaction, unless such assets have already been pre-deposited by the counterparty with the home NCB pursuant to Article 18(4).’;

‘2 To be granted access to the deposit facility, the counterparty shall send a request to its home NCB. Provided that the request is received by the home NCB at the latest 15 minutes following the TARGET2 closing time, the home NCB shall process the request on the same day in TARGET2. The deadline for requesting access to the deposit facility shall be postponed by an additional 15 minutes on the last Eurosystem business day of a reserve maintenance period. Under exceptional circumstances, the Eurosystem may decide to apply later deadlines. The request shall specify the amount to be deposited under the facility.’;

‘4 The Eurosystem shall publish information on credit quality steps on the ECB's website in the form of the Eurosystem's harmonised rating scale, including the mapping of credit assessments, provided by the accepted external credit assessment institutions (ECAIs), to credit quality steps.

5 In the assessment of the credit quality requirements, the Eurosystem takes into account credit assessment information from credit assessment systems belonging to one of the three sources in accordance with Title V of Part Four.’;

‘3a For debt instruments issued or guaranteed by agencies, the issuer or guarantor shall be established in a Member State whose currency is the euro.’;

‘1 In order for ABSs to be eligible, all cash-flow generating assets backing the ABSs shall be homogenous, i.e. it shall be possible to report them according to one of the types of loan-level templates referred to in Annex VIII, which shall relate to one of the following: (a) residential mortgages; (b) loans to small and medium-sized enterprises (SMEs); (c) auto loans; (d) consumer finance loans; (e) leasing receivables; (f) credit card receivables.’;

‘3 For the purpose of paragraph 2, a mortgage trustee or receivables trustee shall be considered to be an intermediary.’;

‘4 The obligors and the creditors of the cash-flow generating assets shall be incorporated, or, if they are natural persons, shall be resident in the EEA. Obligors who are natural persons must have been resident in the EEA at the time the cash-flow generating assets were originated. Any related security shall be located in the EEA and the law governing the cash-flow generating assets shall be the law of an EEA country.’;

‘1 Comprehensive and standardised loan-level data on the pool of cash-flow generating assets backing the ABSs shall be made available in accordance with the procedures set out in Annex VIII, which include the information on the required data quality score and the requirements for loan-level data repositories. In its eligibility assessment, the Eurosystem takes account of: (a) any failure to deliver data, and (b) how frequently individual loan-level data fields are found not to contain meaningful data.’;

‘2 Notwithstanding the required scoring values set out in Annex VIII in respect of loan-level data, the Eurosystem may accept as collateral asset-backed securities with a score lower than the required scoring value (A1), on a case-by-case basis and subject to the provision of adequate explanations for the failure to achieve the required score. For each adequate explanation, the Eurosystem shall specify a maximum tolerance level and a tolerance horizon, as further specified on the ECB's website. The tolerance horizon shall indicate the time period within which the data quality for the ABSs must improve.’;

In order to be eligible, credit claims shall comply with the following requirements: (a) they have, until final redemption, a fixed, unconditional principal amount; and (b) an interest rate that shall, until final redemption, be one of the following: (i) a “zero coupon”; (ii) fixed; (iii) floating, i.e. linked to a reference interest rate and with the following structure: coupon rate = reference rate ± x, with f ≤ coupon rate ≤ c, where: the reference rate is only one of the following at a single point in time: a euro money market rate, e.g. Euribor, LIBOR or similar indices; a constant maturity swap rate, e.g. CMS, EIISDA, EUSA; the yield of one or an index of several euro area government bonds; f (floor), c (ceiling), if they are present, and x (margin) are numbers that are either pre-defined at origination or may change over the life of the credit claim; f and/or c may also be introduced after origination of the credit claim; and (c) their most recent cash flow was not negative. If a negative cash flow occurs, the credit claim is ineligible as at that moment. It may become eligible again after a cash flow that is not negative, provided it meets all other relevant requirements.’;

For domestic use, credit claims shall, at the time of their submission as collateral by the counterparty, meet a minimum size threshold of EUR 25000, or any higher amount that may be laid down by the home NCB. For cross-border use, a minimum size threshold of EUR 500000 shall apply.’;

NCBs, or supervisors or external auditors, shall conduct a one-off verification of the appropriateness of the procedures used by the counterparty to submit the information on credit claims to the Eurosystem. In the event of significant changes to such procedures, a new one-off verification of those procedures may be conducted.’;

Non-marketable assets shall be assigned a value by the Eurosystem corresponding to the outstanding amount of such non-marketable assets.’;

1 This Guideline shall take effect on the day of its notification to the national central banks of the Member States whose currency is the euro.

2 The national central banks of the Member States whose currency is the euro shall take the necessary measures to comply with this Guideline and apply them from 5 August 2019. They shall notify the European Central Bank of the texts and means relating to those measures by 21 June 2019 at the latest.

This Guideline is addressed to all Eurosystem central banks.