# L_2020379EN.01009401.xml

| 13.11.2020 | EN | Official Journal of the European Union | L 379/94 |
| --- | --- | --- | --- |

13.11.2020

EN

Official Journal of the European Union

L 379/94

---

GUIDELINE (EU) 2020/1692 OF THE EUROPEAN CENTRAL BANK

of 25 September 2020

amending Guideline (EU) 2016/65 on the valuation haircuts applied in the implementation of the Eurosystem monetary policy framework

(ECB/2020/46)

THE GOVERNING COUNCIL OF THE EUROPEAN CENTRAL BANK,

Having regard to the Treaty on the Functioning of the European Union and in particular the first indent of Article 127(2) thereof,

Having regard to the Statute of the European System of Central Banks and of the European Central Bank, and in particular the first indent of Article 3.1, Articles 9.2, 12.1, 14.3, 18.2 and the first paragraph of Article 20 thereof,

Whereas:

| (1) | Adjustments need to be made to the Eurosystem risk control and valuation framework to reflect the fact that non-legislative covered bonds (i.e. contractual covered bonds) should no longer be accepted as Eurosystem collateral. |
| --- | --- |

(1)

Adjustments need to be made to the Eurosystem risk control and valuation framework to reflect the fact that non-legislative covered bonds (i.e. contractual covered bonds) should no longer be accepted as Eurosystem collateral.

| (2) | Therefore, Guideline (EU) 2016/65 of the European Central Bank (ECB/2015/35) (1) should be amended accordingly, |
| --- | --- |

(2)

Therefore, Guideline (EU) 2016/65 of the European Central Bank (ECB/2015/35) (1) should be amended accordingly,

HAS ADOPTED THIS GUIDELINE:

Article 1

Amendments

Guideline (EU) 2016/65 (ECB/2015/35) is amended as follows:

| (1) | Article 2 is amended as follows:






  (a) | in point (b), the wording ‘as well as UCITS compliant jumbo covered bonds’ is replaced by the wording ‘as well as jumbo covered bonds;’; |
| --- | --- | --- |

(1)

Article 2 is amended as follows:

(a)

in point (b), the wording ‘as well as UCITS compliant jumbo covered bonds’ is replaced by the wording ‘as well as jumbo covered bonds;’;

| (b) | point (c) is replaced by the following:






  ‘(c) | legislative covered bonds other than jumbo covered bonds; multi cédulas; and debt instruments issued by (i) non-financial corporations, (ii) corporations in the government sector, and (iii) agencies which are non-credit institutions that do not meet the quantitative criteria set out in Annex XIIa to Guideline (EU) 2015/510 (ECB/2014/60), are included in haircut category III;’; |
| --- | --- | --- |

(b)

point (c) is replaced by the following:

‘(c)

legislative covered bonds other than jumbo covered bonds; multi cédulas; and debt instruments issued by (i) non-financial corporations, (ii) corporations in the government sector, and (iii) agencies which are non-credit institutions that do not meet the quantitative criteria set out in Annex XIIa to Guideline (EU) 2015/510 (ECB/2014/60), are included in haircut category III;’;

multi cédulas

| (2) | in the Annex, Table 1 is replaced by the following:


  ‘Table 1


  Haircut categories for eligible marketable assets based on the type of issuer and/or type of asset










  Category I | Category II | Category III | Category IV | Category V |
| --- | --- | --- | --- | --- | --- |
| debt instruments issued by central governments
  ECB debt certificates
  debt certificates issued by national central banks (NCBs) prior to the date of adoption of the euro in their respective Member State | debt instruments issued by local and regional governments
  debt instruments issued by entities (credit institutions or non-credit institutions) classified by the Eurosystem as agencies and which meet the quantitative criteria set out in Annex XIIa to Guideline (EU) 2015/510 (ECB/2014/60)
  debt instruments issued by multilateral development banks and international organisations
  jumbo covered bonds | Legislative covered bonds other than jumbo covered bonds

  multi cédulas

  debt instruments issued by non-financial corporations, corporations in the government sector and agencies which are non-credit institutions that do not meet the quantitative criteria set out in Annex XIIa to Guideline (EU) 2015/510 (ECB/2014/60) | unsecured debt instruments issued by credit institutions and agencies which are credit institutions that do not meet the quantitative criteria set out in Annex XIIa to Guideline (EU) 2015/510 (ECB/2014/60)
  unsecured debt instruments issued by financial corporations other than credit institutions | asset-backed securities’ |

(2)

in the Annex, Table 1 is replaced by the following:

‘Table 1

‘Table 1

Haircut categories for eligible marketable assets based on the type of issuer and/or type of asset

Haircut categories for eligible marketable assets based on the type of issuer and/or type of asset

Category I

Category II

Category III

Category IV

Category V

debt instruments issued by central governments

ECB debt certificates

debt certificates issued by national central banks (NCBs) prior to the date of adoption of the euro in their respective Member State

debt instruments issued by local and regional governments

debt instruments issued by entities (credit institutions or non-credit institutions) classified by the Eurosystem as agencies and which meet the quantitative criteria set out in Annex XIIa to Guideline (EU) 2015/510 (ECB/2014/60)

debt instruments issued by multilateral development banks and international organisations

jumbo covered bonds

Legislative covered bonds other than jumbo covered bonds

multi cédulas

multi cédulas

debt instruments issued by non-financial corporations, corporations in the government sector and agencies which are non-credit institutions that do not meet the quantitative criteria set out in Annex XIIa to Guideline (EU) 2015/510 (ECB/2014/60)

unsecured debt instruments issued by credit institutions and agencies which are credit institutions that do not meet the quantitative criteria set out in Annex XIIa to Guideline (EU) 2015/510 (ECB/2014/60)

unsecured debt instruments issued by financial corporations other than credit institutions

asset-backed securities’

Article 2

Taking effect and implementation

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 1 January 2021.They shall notify the European Central Bank of the texts and means relating to those measures by 6 November 2020 at the latest.

Article 3

Addressees

This Guideline is addressed to the national central banks of the Member States whose currency is the euro.

Done at Frankfurt am Main, 25 September 2020.

For the Governing Council of the ECB

The President of the ECB

Christine LAGARDE

---

(1)  Guideline (EU) 2016/65 of the European Central Bank of 18 November 2015 on the valuation haircuts applied in the implementation of the Eurosystem monetary policy framework (ECB/2015/35) (OJ L 14, 21.1.2016, p. 30).

1

---