Guideline of the European Central Bank of 23 October 2008 amending Guideline ECB/2000/7 on monetary policy instruments and procedures of the Eurosystem (ECB/2008/13)
Date: 2008-10-23
Institutions: European Central Bank
Subjects: European Central Bank, central bank, financial legislation, single monetary policy

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GUIDELINES

EUROPEAN CENTRAL BANK

GUIDELINE OF THE EUROPEAN CENTRAL BANK

of 23 October 2008

amending Guideline ECB/2000/7 on monetary policy instruments and procedures of the Eurosystem

(ECB/2008/13)

(2009/99/EC)

THE GOVERNING COUNCIL OF THE EUROPEAN CENTRAL BANK,

Having regard to the Treaty
Community
in particular
and
Article 105(2),

establishing the European
indent of
first
to the

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

Whereas:

(1)

(2)

(3)

Achieving a single monetary policy entails defining the
instruments and procedures to be used by the Euro­
system, consisting of the national central banks (NCBs)
of Member States that have adopted the euro (hereinafter
the participating Member States) and the European
Central Bank (ECB),
to implement such a
in order
policy in a uniform manner throughout the participating
Member States.

The ECB has the authority to establish the necessary
single
guidelines
monetary policy and the NCBs have an obligation to
act in accordance with such guidelines.

Eurosystem’s

implement

the

to

Current market events require certain changes to the
the Eurosystem’s
definition and implementation of
monetary
should
ECB/2000/7 of
therefore

policy. Appropriate
be made

to Guideline

amendments

(ii)

the

31 August 2000 on monetary policy instruments and
procedures of the Eurosystem (1), in particular to reflect
the following: (i) changes to the risk control framework
and to the rules on collateral eligibility for Eurosystem
credit operations;
acceptance of non-euro
denominated collateral in certain contingencies; (iii) the
need for provisions on the treatment of entities subject
to the freezing of funds and/or other measures imposed
by the European Community or by a Member State
under Article 60(2) of the Treaty; and (iv) harmonisation
with new provisions of Regulation (EC) No 1745/2003
of the European Central Bank of 12 September 2003 on
the application of minimum reserves (ECB/2003/9) (2),

HAS ADOPTED THIS GUIDELINE:

Article 1

Amendments to Annexes I and II

Guideline ECB/2000/7 is amended as follows:

1. Annex I is amended in accordance with Annex I to this

Guideline;

2. Annex II is amended in accordance with Annex II to this

Guideline.

Article 2

Verification

The NCBs shall forward details of the texts and means by which
they intend to comply with this Guideline to the ECB by
30 November 2008 at the latest.

(1) OJ L 310, 11.12.2000, p. 1.
(2) OJ L 250, 2.10.2003, p. 10.

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This Guideline shall enter into force on 1 November 2008. Article 1 shall apply from 1 February 2009.

Article 3

Entry into force

This Guideline is addressed to the NCBs of participating Member States.

Article 4

Addressees

Done at Frankfurt am Main, 23 October 2008.

For the Governing Council of the ECB
The President of the ECB

Jean-Claude TRICHET

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Annex I to Guideline ECB/2000/7 is amended as follows:

ANNEX I

1.

in the table of contents the title of Section 6.7 ‘Acceptance of non-euro-denominated collateral in contingencies’ is
inserted;

2. Section 1.3.1 is amended as follows:

(a)

in the first paragraph the fourth sentence of footnote 5 is replaced by the following:

‘Quick tenders are normally executed within a time frame of 90 minutes.’;

(b) the final sentence of the first indent of the first paragraph is replaced by the following:

‘The main refinancing operations play a pivotal role in pursuing the objectives of the Eurosystem’s open market
operations.’;

3.

in Section 2.2 the first two sentences of the fourth paragraph are replaced by the following:

‘In quick tenders and bilateral operations, the national central banks deal with the counterparties which are included
in their respective set of fine-tuning counterparties. Quick tenders and bilateral operations may also be executed with
a broader range of counterparties.’;

4. the title of Section 2.4 is replaced by the following:

‘2.4. Suspension or exclusion on grounds of prudence or events of default’;

5.

in Section 3.1.2 the final sentence of the first paragraph is deleted;

6.

in Section 3.1.3 the second sentence of the first paragraph is deleted;

7. Section 4.1 is amended as follows:

(a) under the heading ‘Access conditions’ the first paragraph is replaced by the following:

‘Institutions fulfilling the general counterparty eligibility criteria specified in Section 2.1 may access the marginal
lending facility. Access to the marginal lending facility is granted through the NCB in the Member State in which
the institution is established. Access to the marginal lending facility is granted only on days when TARGET2 (*) is
operational (**). On days when the SSSs are not operational, access to the marginal lending facilities is granted on
the basis of underlying assets which have already been pre-deposited with the NCBs.

___________
(*) From 19 November 2007, the decentralised technical infrastructure of TARGET has been replaced by the
single shared platform of TARGET2 through which all payment orders are submitted and processed and
through which payments are received in the same technical manner. Migration to TARGET2 has been
arranged in three country groups, allowing TARGET users to migrate to TARGET2 in different waves
and on different pre-defined dates. The composition of the country groups was the following: Group 1
(19 November 2007): Austria, Cyprus, Germany, Luxembourg, Malta and Slovenia; Group 2 (18 February
2008): Belgium, Finland, France, Ireland, Netherlands, Portugal and Spain; and Group 3 (19 May 2008):
Greece,
Italy, and the ECB. A fourth migration date (15 September 2008) was held in reserve as a
contingency measure. Certain non-participating NCBs are also connected to TARGET2 on the basis of a
separate agreement: Latvia and Lithuania (in Group 1), as well as Denmark, Estonia and Poland (in Group 3).
(**) In addition, access to the marginal lending facility is only granted when the requirements of the payment

system infrastructure in the RTGS have been fulfilled.’;

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(b) under the heading ‘Access conditions’ in the third paragraph footnote 4 is replaced by the following:

‘(4) TARGET2 closing days are announced on the ECB’s website (www.ecb.europa.eu), and on the Eurosystem

websites (see Appendix 5).’;

(c) under the heading ‘Access conditions’ in the third paragraph footnote 5 is deleted;

8.

in Section 4.2, under the heading ‘Access conditions’ in the second paragraph footnote 12 is deleted;

9.

in Section 5.1.3 the final sentence of the second paragraph is replaced by the following:

‘In a quick tender which is not announced publicly in advance the selected counterparties are contacted directly by
the NCBs. In a quick tender, which is announced publicly, the NCB may contact the selected counterparties directly.’;

10.

in Section 5.3.3 in the first paragraph footnote 12 is deleted;

11. Section 6.2 the second paragraph is replaced by the following:

‘The Eurosystem shall only provide counterparties with advice regarding eligibility as Eurosystem collateral if already
issued marketable assets or outstanding non-marketable assets are submitted to the Eurosystem as collateral. There
shall thus be no pre-issuance advice.’;

12. Section 6.2.1, under the heading ‘Type of asset’, is amended as follows:

(a)

the following footnote 5 is inserted in point (a) of the first paragraph after the words ‘unconditional principal
amount’:

‘(5) Bonds with warrants or other similar rights attached are not eligible.’;

(b) the fourth paragraph is replaced by the following:

‘The cash flow-generating assets backing the asset-backed securities must fulfil the following requirements:

(a)

the acquisition of such assets must be governed by the law of an EU Member State;

(b) they must be acquired from the originator or an intermediary by the securitisation special-purpose vehicle in
a manner which the Eurosystem considers to be a “true sale” that is enforceable against any third party, and
be beyond the reach of the originator and its creditors, including in the event of the originator’s insolvency;
and

(c)

they must not consist, in whole or in part, actually or potentially, of credit-linked notes or similar claims
resulting from the transfer of credit risk by means of credit derivatives.’;

(c)

the fifth paragraph is replaced by the following:

‘Within a structured issue, in order to be eligible, a tranche (or sub-tranche) may not be subordinated to other
tranches of the same issue. A tranche (or sub-tranche) is considered to be non-subordinated vis-à-vis other
tranches (or sub-tranches) of the same issue if,
in accordance with the priority of payment applicable after
the delivery of an enforcement notice, as set out in the offering circular, no other tranche (or sub-tranche) is
given priority over that tranche (or sub-tranche) in respect of receiving payment (principal and interest), and
thereby such tranche (or sub-tranche) is last in incurring losses among the different tranches or sub-tranches of a
structured issue.’;

13.

in Section 6.2.1, under the heading ‘Place of issue’ the first sentence of footnote 7 is replaced by the following:

‘Since 1 January 2007, international debt securities in global bearer form issued through the ICSDs Euroclear Bank
(Belgium) and Clearstream Banking Luxembourg must, in order to be eligible, be issued in the form of New Global
Notes (NGNs) and must be deposited with a Common Safekeeper (CSK) which is an ICSD or, if applicable, a CSD
that fulfils the minimum standards established by the ECB.’;

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14. Section 6.2.2, under the heading ‘Credit claims’ is amended as follows:

(a)

in the first paragraph of the first indent of the first paragraph the final sentence is replaced by the following:

‘Credit claims may not afford rights to the principal and/or the interest that are subordinated to the rights of
holders of other credit claims (or other tranches or sub-tranches in the same syndicated loan) or debt instruments
of the same issuer.’;

(b) in the second paragraph of the first indent of the first paragraph the following sentence is inserted after the

second sentence:

‘Furthermore, credit claims with interest rate linked to the inflation rate are also eligible.’;

(c)

In the fifth indent of the first paragraph footnote 20 is deleted;

15. Section 6.2.3, under the heading ‘Rules for the use of eligible assets’ is amended as follows:

(a) points (i) to (iii) of the third paragraph are replaced by the following:

‘(i) the counterparty owns directly, or indirectly, through one or more other undertakings, 20 % or more of the

capital of the issuer/debtor/guarantor; or

(ii) the issuer/debtor/guarantor owns directly, or indirectly through one or more other undertakings, 20 % or

more of the capital of the counterparty; or

(iii) a third party owns more than 20 % of the capital of the counterparty and more than 20 % of the capital of

the issuer/debtor/guarantor, either directly or indirectly, through one or more undertakings.’;

(b) the fourth and fifth paragraphs are replaced by the following:

‘The above provision on close links does not apply to: (a) close links between the counterparty and the public
authorities of EEA countries or in the case where a debt instrument is guaranteed by a public sector entity which
has the right to levy taxes; (b) covered bank bonds issued in accordance with the criteria set out in Article 22(4)
of the UCITS Directive; or (c) cases in which debt instruments are protected by specific legal safeguards
comparable to those instruments given under (b) such as in the case of non-marketable retail mortgage-
backed debt instruments (RMBDs) which are not securities.

Moreover, a counterparty may not submit as collateral any asset-backed security if the counterparty (or any third
party with which it has close links) provides a currency hedge to the asset-backed security by entering into a
currency hedge transaction with the issuer as a hedge counterparty or provides liquidity support for 20 % or
more of the outstanding amount of the asset-backed security.’;

(c) Table 4 entitled ‘Eligible assets for Eurosystem monetary policy operations’ is updated as follows:

— footnote 4 is deleted,

— in the column on eligibility criteria the words ‘Governing laws related to credit claims’ are replaced by

‘Governing laws’,

— in the 10th row of the column on marketable assets the words ‘Not applicable’ are replaced by ‘For asset-
backed securities the acquisition of the underlying assets must be governed by the law of an EU Member
State.’;

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16. Section 6.3.1 is amended as follows:

(a)

the following is inserted as the fourth paragraph:

‘With regard to the ECAI source, the assessment must be based on a public rating. The Eurosystem reserves the
right to request any clarification that it considers necessary. For asset-backed securities, ratings must be explained
in a publicly available credit rating report, being a detailed pre-sale or new issue report, including, inter alia, a
comprehensive analysis of structural and legal aspects, a detailed collateral pool assessment, an analysis of the
transaction participants as well as an analysis of any other relevant particularities of a transaction. Moreover
ECAIs must publish regular surveillance reports for asset-backed securities at least on a quarterly basis (*). These
reports should at least contain an update of the key transaction data (e.g. composition of the collateral pool,
transaction participants, capital structure), as well as performance data.

___________
(*) For asset backed securities whose underlying assets pay principal or interest at semi-annual or annual

frequency, surveillance reports can follow a semi-annual or annual frequency respectively.’;

(b) in the fifth paragraph footnote 26 is replaced by the following:

‘ “Single A” means a minimum long-term rating of “A-” by Fitch or Standard & Poor’s, or “A3” by Moody’s, or
“AL” by DBRS.’;

(c)

the sixth and seventh paragraphs are replaced by the following:

to determine whether an issue,

‘The Eurosystem reserves the right
issuer, debtor or guarantor fulfils its
requirements for high credit standards on the basis of any information it may consider relevant and may
reject, limit the use of assets or apply supplementary haircuts on such grounds if required to ensure adequate
risk protection of the Eurosystem in line with Article 18.1 of the Statute of the ESCB. Such measures can also be
applied to specific counterparties, in particular if the credit quality of the counterparty appears to exhibit a high
correlation with the credit quality of the collateral assets submitted by the counterparty. In case such a rejection is
based on prudential information, the use of any such information transmitted either by counterparties or by
supervisors shall be strictly commensurate with, and necessary for, the performance of the Eurosystem’s tasks of
conducting monetary policy.

Assets issued or guaranteed by entities subject to the freezing of funds and/or other measures imposed by the
European Community or by a Member State under Article 60(2) of the Treaty restricting the use of their funds or
in respect of which the ECB’s Governing Council issued a decision suspending or excluding their access to open
market operations or the Eurosystem’s standing facilities may be excluded from the list of eligible assets.’;

17.

in Section 6.3.4, under the heading ‘External credit assessment institution source’ the first sentence of the second
indent of the first paragraph is replaced by the following:

‘ECAIs must fulfil operational criteria and provide relevant coverage so as to ensure the efficient implementation of
the ECAF.’;

18. Section 6.4.1 is amended as follows:

(a)

the final sentence of the second paragraph is replaced by the following:

‘The risk control measures are broadly harmonised across the euro area (*) and ought to ensure consistent,
transparent and non-discriminatory conditions for any type of eligible asset across the euro area.

___________
(*) Owing to operational differences across Member States, some differences in terms of risk control measures
may prevail. For instance, in respect of the procedures for counterparties' delivery of underlying assets to the
NCBs (in the form of a pool of collateral pledged with the NCB or as repurchase agreements based on
individual assets specified for each transaction), minor differences may occur with regard to the timing of the
valuation and other operational features of the risk control framework. Furthermore, in the case of non-
marketable assets, the precision of valuation techniques may differ, which is reflected in the overall level of
haircuts (see Section 6.4.3).’;

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(b) the following paragraph is added:

‘The Eurosystem reserves the right to apply additional risk control measures if required to ensure adequate risk
protection of the Eurosystem in line with Article 18.1 of the Statute of the ESCB. Such risk control measures,
which shall be applied in a consistent, transparent and non-discriminatory manner, can also be applied at the
level of individual counterparties if required to ensure such protection.’;

(c) box 7 entitled ‘Risk control measures’ is replaced by the following:

‘BOX 7

Risk control measures

The Eurosystem applies the following risk control measures:

— Valuation haircuts

The Eurosystem applies “valuation haircuts” in the valuation of underlying assets. This implies that the
value of the underlying asset is calculated as the market value of the asset less a certain percentage
(haircut).

— Variation margins (marking to market)

The Eurosystem requires the haircut-adjusted market value of the underlying assets used in its liquidity-
providing reverse transactions to be maintained over time. This implies that if the value, measured on a
regular basis, of the underlying assets falls below a certain level, the NCB will require the counterparty to
supply additional assets or cash (i.e. it will make a margin call). Similarly, if the value of the underlying
assets, following their revaluation, exceeds a certain level, the counterparty may retrieve the excess assets
or cash. (The calculations relevant for the execution of margin calls are presented in box 8).

The following risk control measures may also be applied by the Eurosystem at any time if required to ensure
adequate risk protection of the Eurosystem in line with Article 18.1 of the Statute of the ESCB:

— Initial margins

The Eurosystem may apply initial margins in its liquidity-providing reverse transactions. This would imply
that counterparties would need to provide underlying assets with a value at least equal to the liquidity
provided by the Eurosystem plus the value of the initial margin.

— Limits in relation to issuers/debtors or guarantors

The Eurosystem may apply limits to the exposure vis-à-vis issuers/debtors or guarantors. Such limits can
also be applied to specific counterparties, in particular if the credit quality of the counterparty appears to
exhibit a high correlation with the credit quality of the collateral submitted by the counterparty.

— Additional guarantees

The Eurosystem may require additional guarantees from financially sound entities in order to accept
certain assets.

— Exclusion

The Eurosystem may exclude certain assets from use in its monetary policy operations. Such exclusion
can also be applied to specific counterparties, in particular if the credit quality of the counterparty appears
to exhibit a high correlation with the credit quality of the collateral submitted by the counterparty.

Assets issued or guaranteed by entities subject to the freezing of funds and/or other measures imposed by the
European Community or by a Member State under Article 60(2) of the Treaty restricting the use of their
funds or in respect of which the ECB’s Governing Council issued a decision suspending or excluding their
access to open market operations or the Eurosystem’s standing facilities may be excluded from the list of
eligible assets.’;

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19. Section 6.4.2 is amended as follows:

(a)

the first sentence of the first indent of the first paragraph is replaced by the following:

‘Eligible marketable assets are allocated to one of five liquidity categories, based on issuer classification and asset
type.’;

(b) the third sentence of the second indent of the first paragraph is replaced by the following:

‘The haircuts applied to debt instruments included in categories I to IV differ according to the residual maturity
and coupon structure of the debt instruments as described in Table 7 for eligible marketable fixed coupon and
zero coupon debt instruments (*).
___________
(*) The valuation haircut levels applied to fixed coupon debt instruments are also applicable to debt instruments,
the coupon of which is linked to a change in the rating of the issuer itself or to inflation-indexed bonds.’;

(c)

in the first paragraph the following third and fourth indents are inserted:

‘— Individual debt instruments included in category V are subject to a unique haircut of 12 % regardless of

maturity or coupon structure.

— Individual debt instruments included in category V that are theoretically valued according to Section 6.5 are
subject to an additional valuation haircut. This haircut is directly applied at the level of theoretical valuation
of the individual debt instrument in the form of a valuation markdown of 5 %.’;

(d) Table 6 is replaced by the following:

‘TABLE 6

Liquidity categories for marketable assets (*)

Category I

Category II

Category III

Category IV

Category V

Central government
debt instruments

Debt instruments
issued by central
banks (1)

Local and regional
government debt
instruments

Jumbo covered
bank bonds (2)

Agency debt
instruments (3)

Supranational debt
instruments

Traditional covered
bank bonds

Credit institution
debt instruments
(unsecured)

Asset-backed
securities

Debt instruments
issued by corporate
and other issuers (3)

(1) Debt certificates issued by the ECB and debt instruments issued by the NCBs prior to the adoption of the euro in their

respective Member State are included in liquidity category I.

(2) Only instruments with an issuing volume of at least EUR 1 billion, for which at least three market-makers provide regular bid

and ask quotes, fall into the asset class of jumbo covered bank bonds.

(3) Only marketable assets issued by issuers that have been classified as agencies by the ECB are included in liquidity category II.

Marketable assets issued by other agencies are included in liquidity category III.

___________
(*) In general, the issuer classification determines the liquidity category. However, all asset-backed securities are
included in category V, regardless of the classification of the issuer, and jumbo covered bank bonds are
included in category II, while traditional covered bank bonds and other debt instruments issued by credit
institutions are included in categories III and IV.’

(e)

the third, fourth and fifth indents are replaced by the following:

‘— The valuation haircuts applied to all marketable inverse floating rate debt instruments included in categories I

to IV are the same and are described in Table 8.

— The haircut applied to marketable debt

to IV with variable rate
coupons (*) is that applied to the zero-to-one-year maturity bucket of fixed coupon instruments in the
liquidity category to which the instrument is assigned.

instruments included in categories I

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— The risk control measures applied to a marketable debt instrument included in categories I to IV with more
than one type of coupon payment solely depend on the coupon payments during the remaining life of the
instrument. The valuation haircut applied to such an instrument is set equal to the highest of the haircuts
applicable to debt instruments with the same residual maturity, and coupon payments of any one of the
types occurring in the remaining life of the instrument are considered.

___________
(*) A coupon payment is considered a variable rate payment if the coupon is linked to a reference interest rate
and if the resetting period corresponding to this coupon is no longer than one year. Coupon payments for
which the resetting period is longer than one year are treated as fixed rate payments, with the relevant
maturity for the haircut being the residual maturity of the debt instrument.’;

(f) Table 7 is replaced by the following:

Levels of valuation haircuts applied to eligible marketable assets

‘TABLE 7

Liquidity categories

(percentages)

Residual

Category I

Category II

Category III

Category IV

Category V

maturity
(years)

fixed
coupon

zero
coupon

fixed
coupon

zero
coupon

fixed
coupon

zero
coupon

fixed
coupon

zero
coupon

0-1

1-3

3-5

5-7

7-10

> 10

0,5

1,5

2,5

3

4

5,5

0,5

1,5

3

3,5

4,5

8,5

1

2,5

3,5

4,5

5,5

7,5

1

2,5

4

5

6,5

12

1,5

3

4,5

5,5

6,5

9

1,5

3

5

6

8

15

6,5

8

9,5

10,5

11,5

14

6,5

8

10

11

13

20

12 (1)

(1) Individual debt instruments included in category V that are theoretically valued according to Section 6.5 are subject to an
additional valuation haircut. This haircut is directly applied at the level of theoretical valuation of the individual debt
instrument in the form of a valuation markdown of 5 %.’;

(g) the heading of Table 8 is replaced by the following:

‘Levels of valuation haircuts applied to eligible marketable inverse floating rate debt instruments
included in categories I to IV’;

20.

in Section 6.4.3, under the heading ‘Credit claims’ the following footnote is inserted at the end of the first indent:

‘(*) The valuation haircuts applied to credit claims with fixed rate interest payments are also applicable to credit

claims the interest payments of which are linked to the inflation rate.’;

21. the following Section 6.7 is inserted:

‘6.7. Acceptance of non-euro-denominated collateral in contingencies

In certain situations the Governing Council may decide to accept as eligible collateral certain marketable debt
instruments issued by one or more non-euro area G10 central governments in their domestic currency. Upon
such decision the applicable criteria shall be clarified and the procedures to be applied for the selection and
mobilisation of foreign collateral, including the sources and principles of valuation, the risk control measures
and the settlement procedures shall also be communicated to counterparties.

Notwithstanding the provisions of section 6.2.1, such assets may be deposited/registered (issued), held and
settled outside the EEA and, as stated above, may be denominated in currencies other than the euro. Any such
assets used by a counterparty must be owned by the counterparty.

Counterparties that are branches of credit institutions located outside the EEA or Switzerland cannot use such
assets as collateral.’;

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22. Section 7.2 is amended as follows:

(a) The second paragraph is replaced by the following:

‘Institutions will be automatically exempt from reserve requirements from the start of the maintenance period
within which their authorisation is withdrawn or surrendered, or within which a decision to submit the insti­
tution to winding-up proceedings is taken by a judicial authority or any other competent authority of a
participating Member State. According to Regulation (EC) No 2531/98 and Regulation (EC) No 1745/2003
(ECB/2003/9), the ECB may also exempt institutions from their obligations under the Eurosystem’s minimum
reserve system on a non-discriminatory basis if they are subject to reorganisation measures or the freezing of
funds and/or other measures imposed by the European Community or by a Member State under Article 60(2) of
the Treaty restricting the use of their funds or in respect of which the ECB’s Governing Council issued a decision
suspending or excluding their access to open market operations or the Eurosystem’s standing facilities, or if the
purposes of the Eurosystem’s minimum reserve system would not be met by imposing these obligations on those
particular institutions. If its decision on any such exemption is based on the purposes of the Eurosystem’s
minimum reserve system, the ECB takes into account one or more of the following criteria:

— the institution is authorised to pursue special purpose functions only,

— the institution is prohibited from exercising active banking functions in competition with other credit

institutions and/or,

— the institution is under a legal obligation to have all its deposits earmarked for purposes related to regional

and/or international development assistance.’;

(b) the second sentence of the third paragraph is replaced by the following:

‘The ECB also makes public a list of any institutions exempt from their obligations under this system for reasons
other than their being subject to reorganisation measures or the freezing of funds and/or other measures imposed
by the European Community or by a Member State under Article 60(2) of the Treaty restricting the use of their
funds or in respect of which the ECB’s Governing Council issued a decision suspending or excluding their access
to open market operations or the Eurosystem’s standing facilities (*).

___________
(*) The lists are available to the public on the ECB’s website (www.ecb.europa.eu).’;

23. Section 7.3 is amended as follows:

(a) under the heading ‘Reserve base and reserve ratios’ the first sentence of the fourth paragraph is replaced by the

following:

‘Liabilities vis-à-vis other institutions included in the list of institutions subject to the Eurosystem’s minimum
reserve system and liabilities vis-à-vis the ECB and the participating NCBs are not included in the reserve base.’

(b) Under the heading ‘Reserve base and reserve ratios’ the third and fourth sentences of the fifth paragraph are

replaced by the following:

‘This reserve ratio is specified in Regulation (EC) No 1745/2003 (ECB/2003/9). The ECB sets a zero reserve ratio
on the following liability categories: ‘deposits with an agreed maturity of over two years’, ‘deposits redeemable at
notice of over two years’, ‘repos’ and ‘debt securities with an original maturity of over two years’ (see Box 9).’;

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(c) box 9 entitled ‘Reserve base and reserve ratios’ is replaced by the following:

‘BOX 9

Reserve base and reserve ratios

A. Liabilities included in the reserve base and to which the positive reserve ratio is applied

Deposits (1)

— Overnight deposits

— Deposits with an agreed maturity of up to and including two years

— Deposits redeemable at notice of up to and including two years

Debt securities issued

— Debt securities with an original maturity of up to and including two years

B. Liabilities included in the reserve base and to which a zero reserve ratio is applied

Deposits (1)

— Deposits with an agreed maturity of over two years

— Deposits redeemable at notice of over two years

— Repos

Debt securities issued

— Debt securities with an original maturity of over two years

C. Liabilities excluded from the reserve base
— Liabilities vis-à-vis other institutions subject to the Eurosystem’s minimum reserve system

— Liabilities vis-à-vis the ECB and the participating NCBs
___________
(1) Regulation (EC) No 2181/2004 of the European Central Bank of 16 December 2004 amending Regu­
lation (EC) No 2423/2001 (ECB/2001/13) concerning the consolidated balance sheet of the monetary
institutions sector and Regulation (EC) No 63/2002 (ECB/2001/18) concerning statistics on
financial
interest rates applied by monetary financial institutions to deposits and loans vis-à-vis households and
non financial corporations (ECB/2004/21) (OJ L 371, 18.12.2004, p. 42), explicitly requires the reporting
of deposit liabilities at nominal value. Nominal value means the amount of principal that a debtor is
contractually obliged to repay to a creditor. This amendment had become necessary because Council
Directive 86/635/EEC of 8 December 1986 on the annual accounts and the consolidated accounts of
banks and other financial institutions (OJ L 372, 31.12.1986, p. 1) had been amended to the effect that
certain financial instruments could be priced at fair value.’;

24. Appendix 1 to Annex I is amended as follows:

(a)

in Example 6, the first row of Table I is replaced by the following:

‘Asset A

Jumbo covered
bank bond

30.8.2008

Fixed rate

6 months

4 years

3,50 %’

(b) in Example 6, under the heading ‘Earmarking system’ the second and third sentences of point 1 of the first

paragraph are replaced by the following:

‘Asset A is a jumbo covered bank bond with a fixed coupon maturing on 30 August 2008. It thus has a residual
maturity of four years, therefore requiring a valuation haircut of 3,5 %.’

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Official Journal of the European Union

5.2.2009

25. Appendix 2 to Annex I is amended as follows:

(a)

the following definition of ‘Asset-backed securities’ is inserted:

‘Asset-backed securities (ABS): debt instruments that are backed by a pool of ringfenced financial assets (fixed
or revolving), that convert into cash within a finite time period. In addition, rights or other assets may exist that
ensure the servicing or timely distribution of proceeds to the holders of the security. Generally, asset-backed
securities are issued by a specially created investment vehicle which has acquired the pool of financial assets from
the originator/seller. In this regard, payments on the asset-backed securities depend primarily on the cash flows
generated by the assets in the underlying pool and other rights designed to assure timely payment, such as
liquidity facilities, guarantees or other features generally known as credit enhancements.’;

(b) the definition of ‘Correspondent central banking model’ is replaced by the following:

‘Correspondent central banking model (CCBM): a mechanism established by the Eurosystem with the aim of
enabling counterparties to use underlying assets in a cross-border context. In the CCBM, NCBs act as custodians for
one another. This means that each NCB has a securities account in its securities administration for each of the
other NCBs and for the ECB. The CCBM is also available to counterparties of certain non-Eurosystem NCBs.’;

(c)

the following definition of ‘Currency hedge transaction’ is inserted:

‘Currency hedge transaction: an agreement entered into between the issuer and a hedge counterparty, pursuant
to which a portion of the currency risk arising from the receipt of cash flows in non-euro currency is mitigated
by swapping the cash flows for euro currency payments to be made by the hedge counterparty, including any
guarantee by the hedge counterparty of those payments.’;

(d) the definition of ‘End-of-day’ is replaced by the following:

‘End-of-day: the time of the business day following closure of TARGET2 at which the payments processed in
TARGET2 are finalised for the day.’;

(e)

the definition of ‘Quick tender’ is replaced by the following:

‘Quick tender: the tender procedure used by the Eurosystem for fine-tuning operations when it is deemed desirable to
have a rapid impact on the liquidity situation in the market. Quick tenders are normally executed within a time
frame of 90 minutes and are normally restricted to a limited set of counterparties.’;

(f)

the definition of ‘RTGS ((real-time gross settlement) system)’ is replaced by the following:

‘RTGS (real-time gross settlement) system: a settlement system in which processing and settlement take place
on an order-by-order basis without netting continuously in real time. See also TARGET2.’

(g) the definition of ‘TARGET’ is replaced by the following:

‘TARGET: the predecessor of the TARGET2 system, operating in a decentralised structure linking together
national RTGS systems and the ECB payment mechanism. The TARGET system has been replaced by the
TARGET2 system in accordance with the migration schedule specified in Article 13 of Guideline ECB/2007/2.’

(h) the following definition of ‘Valuation markdown’ is inserted:

‘Valuation markdown: a risk control measure applied to underlying assets used in reverse transactions, meaning
that the central bank applies a reduction of the theoretical market value of the assets by a certain percentage
before applying any valuation haircut (*).

___________
(*) So, for example, for asset-backed securities in liquidity category V that are valued using a theoretical price, a
valuation markdown of 5 % is applied to the theoretical price before the application of the valuation haircut
of 12 %. This is equivalent to a total haircut of 16,4 %.’;

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26. the table in Appendix 5 is replaced by the following:

‘THE EUROSYSTEM WEBSITES

Central bank

Website

European Central Bank

www.ecb.europa.eu

Nationale Bank van België/Banque Nationale de Belgique www.nbb.be or www.bnb.be

Deutsche Bundesbank

www.bundesbank.de

Central Bank and Financial Services Authority of Ireland www.centralbank.ie

Bank of Greece

Banco de España

Banque de France

Banca d’Italia

www.bankofgreece.gr

www.bde.es

www.banque-france.fr

www.bancaditalia.it

Central Bank of Cyprus

www.centralbank.gov.cy

Banque centrale du Luxembourg

www.bcl.lu

Central Bank of Malta

De Nederlandsche Bank

Oesterreichische Nationalbank

Banco de Portugal

Banka Slovenije

Suomen Pankki

www.centralbankmalta.org

www.dnb.nl

www.oenb.at

www.bportugal.pt

www.bsi.si

www.bof.fi’

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Official Journal of the European Union

5.2.2009

Annex II to Guideline ECB/2000/7 is amended as follows:

ANNEX II

1.

in Section I, the first paragraph of point 6(f) is replaced by the following:

‘— the Counterparty’s authorisation to conduct activities under either Directive 2006/48/EC or Directive 2004/39/EC
of the European Parliament and of the Council of 21 April 2004 on markets in financial instruments amending
Council Directives 85/611/EEC and 93/6/EEC and Directive 2000/12/EC of the European Parliament and of the
Council and repealing Council Directive 93/22/EEC (*), as implemented in the relevant Member State of the
Eurosystem respectively, is suspended or revoked; or

___________
(*) OJ L 145, 30.4.2004, p. 1.’;

2.

in Section I, in the first paragraph of point 6 point (h) is replaced by the following:

‘measures such as are referred to in Articles 30, 31, 33 and 34 of Directive 2006/48/EC are taken against the
Counterparty; or’;

3.

in Section I, in the first paragraph of point 6 the following points (p) to (t) are inserted:

‘(p) the Counterparty becomes subject to the freezing of funds and/or other measures imposed by the Community

restricting the Counterparty’s ability to use its funds; or

(q) the Counterparty becomes subject to the freezing of funds and/or other measures imposed by a Member State

under Article 60(2) of the Treaty restricting the Counterparty’s ability to use its funds; or

(r) all or a substantial part of the Counterparty’s assets are subject to a freezing order, attachment, seizure or any
other procedure that is intended to protect the public interest or the rights of the Counterparty’s creditors; or

(s) all or a substantial part of the Counterparty’s assets are assigned to another entity; or

(t) any other impending or existing event the occurrence of which may threaten the performance by the Coun­
terparty of its obligations under the arrangement it entered into for the purpose of effecting monetary policy
operations or any other rules applying to the relationship between the Counterparty and any of the central banks
of the Eurosystem.’;

4.

in Section I, the second paragraph of point 6 is replaced by the following:

‘Events (a) and (p) must be automatic; events (b), (c) and (q) may be automatic; events (d) to (o) and (r) to (t) cannot be
automatic and must be discretionary (that is, perfected only upon service of a notice of default). Such notice of default
may provide a “grace period” of up to a maximum of three business days to rectify the event in question. For events of
default that are discretionary, the provisions as to the exercise of such discretion should provide certainty as to the
effect of such exercise.’;

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Official Journal of the European Union

L 36/45

5.

in Section I, point 7 is replaced by the following:

‘The relevant contractual or regulatory arrangements applied by the NCB should ensure that if an event of default
occurs, the NCB is entitled to exercise the following remedies: suspension or exclusion of the Counterparty from access
to open market operations; suspension or exclusion of the Counterparty from access to the Eurosystem’s standing
facilities; terminating all outstanding agreements and transactions; or demanding accelerated performance of claims
that have not yet matured or are contingent. In addition, the NCB may be entitled to exercise the following remedies:
using deposits of the Counterparty placed with the NCB to set off claims against that Counterparty; suspending the
performance of obligations against the Counterparty until the claim on the Counterparty has been satisfied; claiming
default interest; or claiming an indemnity for any losses sustained as a consequence of a default by the Counterparty.
In addition, the relevant contractual or regulatory arrangements applied by the NCB should ensure that if an event of
default occurs, such NCB shall be in a legal position to realise all assets provided as collateral without undue delay and
in such a way as to entitle the NCB to realise value for the credit provided, if the Counterparty does not settle its
negative balance promptly. In order to ensure the uniform implementation of the measures imposed, the ECB’s
Governing Council may, decide on the remedies,
including suspension or exclusion from access to open market
operations or the Eurosystem’s standing facilities.’;

6.

in Section II, under the heading ‘Features common to all reverse transactions’ footnote 2 in point 15 is deleted.