Terms and Conditions for Pledging of Collateral for Credit Facilities in Euro at Danmarks Nationalbank

Transcription

1 Terms and Conditions for Pledging of Collateral for Credit Facilities in Euro at Danmarks Nationalbank The collateral pledged for credit facilities in euro at Danmarks Nationalbank may be VPregistered assets pledged to Danmarks Nationalbank, cf. Sections 1-8, and assets pledged as collateral via the Correspondent Central Bank Model (CCBM), cf. Section 9. VP-REGISTERED ASSETS PLEDGED TO DANMARKS NATIONALBANK 1. Establishment Participants with a PM account may request opening of a Collateral Deposit with VP Securities (VP Account) for credit facilities in euro. In that case, Danmarks Nationalbank shall open a VP Account with Danmarks Nationalbank as the accountholding institution, a cash account in Danish kroner and a cash account in euro with Danmarks Nationalbank (Yield Accounts). The Yield Accounts are connected to the VP Account as Yield Accounts for early redemption and interest. 2. Pledging The participant pledges the VP Account and the Yield Accounts to Danmarks Nationalbank by signing the "Deed of Pledge for Credit Facilities in Euro at Danmarks Nationalbank" and returning it to Danmarks Nationalbank, Banking and Markets. Danmarks Nationalbank registers the pledging to the VP Account and blocks the Yield Accounts. 3. Collateral basis Danmarks Nationalbank gives access to credit facilities in euro to participants with a PM account at Danmarks Nationalbank against VP-registered assets in Danish kroner and euro listed on the Copenhagen Stock Exchange: a) Securities issued by the Kingdom of Denmark, the Fisheries Bank or the Mortgage Bank b) Bonds guaranteed by the Kingdom of Denmark c) Bonds issued by KommuneKredit d) Mortgage-credit bonds, covered bonds (SDOs) and covered mortgage bonds (SDROs) issued by institutions subject to the Danish Financial Business Act e) Ship mortgage bonds and SDOs issued by Danish Ship Finance f) Junior covered bonds issued in connection with SDOs or SDROs and complying with Section 15 of the Danish Mortgage-Credit Loans and Mortgage-Credit Bonds, etc. Act or Section 152b of the Danish Financial Business Act.

2 Debt instruments must have a principal amount comprised by one of the following categories: 1. Fixed, unconditional principal amount. 2. Unconditional principal amount that is linked on a flat basis to only one euro area inflation index at a single point in time, containing no other complex structures. Securities denominated in Danish kroner may be linked to one Danish inflation index. The securities must have a coupon which cannot result in a negative cash flow and which is comprised by one of the following categories: 1. Fixed, zero and multi-step coupons, i.e. instrument with predefined coupon schedule and predefined coupon values. 2. Floating coupon, where the interest rate is linked to only one euro money market rate, e.g. EURIBOR or LIBOR, or to one constant maturity swap rate, e.g. CMS, EIISDA or EUSA. Securities denominated in Danish kroner may be linked to one Danish money market rate, e.g. CIBOR or CITA. 3. Floating coupon, where the interest rate is linked to the yield of one government bond or one index of government bonds issued in the euro area with a maturity of one year or less. Securities denominated in Danish kroner may be linked to the yield on one Danish government bond. 4. Floating coupon linked to one inflation index from Eurostat or a national statistical authority of a Member State, e.g. HICP. The coupon must be linked to the same index as the principal amount, if the principal amount is linked to an inflation index. Securities denominated in Danish kroner may be linked to a Danish inflation index. For securities with a floating coupon the value of a floor, ceiling or leveraging/deleveraging factor must, if present, be fixed and predetermined and apply throughout the lifetime of the security. The value of the floor or ceiling must be greater than or equal to 0, while the value of the leverage factor must be greater than 0. For securities with a variable coupon, where the interest rate is linked to an inflation index, the leverage factor must be equal to 0. Furthermore, Danmarks Nationalbank reserves the right to refuse or lay down limitations for the use of securities as accepted collateral, also in relation to specific participants, even though the securities otherwise meet the above eligibility requirements. A precondition for acceptance of securities as collateral is a published rating of the securities in compliance with the requirements set out below. Non-rated securities may be accepted as collateral if the issuer's long-term debt is subject to a published rating that meets the requirements, or if the securities are guaranteed by a guarantor with a compliant published rating and the guarantee meets the

3 requirements stipulated and published at any time by the European Central Bank. The guarantee requirements are set out in "General Documentation on Eurosystem Monetary Policy Instruments and Procedures" available on the ECB's website, The rating requirements are: at least A- by FitchRatings or Standard & Poor's, at least A3 by Moody's, or at least AL by DBRS. The securities that Danmarks Nationalbank accepts as collateral for credit facilities in euro at any time appear from Danmarks Nationalbank's list of eligible securities for credit facilities in euro. The list is available at Danmarks Nationalbank's website The conditions for all of the above assets are that they may not be issued or guaranteed by the participant or by an entity with which the participant has close links as defined in "General Documentation on Eurosystem Monetary Policy Instruments and Procedures", which can be found at the website of the European Central Bank, 4. Collateral value The collateral value of VP-registered assets is calculated on the basis of the official price (all trades) on the Copenhagen Stock Exchange on the preceding stockexchange day, on the basis of the following formula: Collateral value = market value including coupon interest * (1 - haircut). If an asset has not been traded on the previous banking day, a theoretical price set by Danmarks Nationalbank is used for the calculation of the collateral value of the asset. A deduction of 5 per cent of the asset value will be made if a theoretical price is applied. Securities issued by the Kingdom of Denmark are exempt from the 5 per cent deduction. Haircuts, etc. are fixed in accordance with the European Central Bank's rules in force at any time. The aforementioned rules, "General Documentation on Eurosystem Monetary Policy Instruments and Procedures", can be found on the ECB's website, Further risk-control measures or haircuts may be introduced than those currently listed in the "General Documentation on Eurosystem Monetary Policy Instruments and Procedures", also in relation to specific participants. Haircuts, etc. for the individual securities appear from the list of eligible securities for credit facilities in euro in force at any time, cf. Section 3. The list is available at Danmarks Nationalbank's website The collateral value in euro of VP-registered assets in Danish kroner is calculated on the basis of the official exchange rate from Danmarks Nationalbank on the preceding day of listing, subject to a deduction of 3 per cent.

4 Interest on and proceeds from early redemption of VP-registered assets in Danish kroner and euro are not included in the compilation of the intraday maximum, cf. section 10, from the payments date at VP Securities A/S. 5. Pledging of collateral Collateral is pledged by transfer of VP-registered assets to the pledged VP account. 6. Withdrawal Via Kronos the participant may in the period from a.m. to p.m. request withdrawal of VP-registered assets from the VP account. The VP-registered assets are transferred to the VP Account designated by the participant, provided that control of cover has been fulfilled, cf. Section Swap Swap takes place by the transfer of new VP-registered assets to the VP Account followed by the release of previously transferred VP-registered assets from the VP Account. 8. Proceeds The proceeds from early redemption of and interest on VP-registered assets from the VP Account are credited to the Yield Accounts at Danmarks Nationalbank and are pledged as collateral for the participant's debt outstanding at any time to Danmarks Nationalbank, cf. "Deed of Pledge for Credit Facilities in Euro at Danmarks Nationalbank". The balance in Danish kroner on the Yield Account shall be transferred on a daily basis by Danmarks Nationalbank to the participant's current account in Danish kroner; likewise the balance on the Yield Account in euro shall be transferred to the participant's PM account. However, neither full nor partial transfer shall take place if the compilation of the participant's pledged collateral thereby falls below the debt on the PM account at the time in question. The value in euro of the balance on the Yield Account in Danish kroner is calculated on the basis of Danmarks Nationalbank's official exchange rate on the preceding day of listing. ASSETS PLEDGED AS COLLATERAL VIA CCBM 9. Guidelines for CCBM The guidelines for pledging of collateral via CCBM, including for the calculation of collateral value, are determined in accordance with the European Central Bank's rules in force at any time. The aforementioned rules, "General Documentation on Eurosystem Monetary Policy Instruments and Procedures", can be found on the ECB's website, CCBM shall be taken to mean: a mechanism established with the aim of enabling the participants to use underlying assets in a cross-border context. In the CCBM, the participating central banks act as custodians for each other. This implies that each

5 central bank has a securities account in its securities administration for each of the other central banks and for the ECB. GENERAL 10. Total collateral value and maximum intraday overdraft The participant's total collateral value of pledged collateral and the participant's maximum intraday overdraft are compiled as follows: Collateral value of VP-registered assets + Collateral value of CCBM assets = Total collateral value of pledged collateral Other credit facilities = Calculated maximum intraday overdraft However, the participant's maximum intraday overdraft may not exceed the limit for intraday overdrafts allocated to the participant at any time, cf. "Terms and Conditions for Allocation of Limits for Intraday Overdrafts in Euro at Danmarks Nationalbank" and Article 25 in "Harmonised Conditions for Participation in TARGET2 Settlement of Payments in euro at Danmarks Nationalbank". The participant's intraday overdraft may under no circumstances exceed EUR 1 billion. 11. Control of cover The participant has access to withdraw VP-registered assets or CCBM assets if this does not imply that the participant's calculated intraday maximum, cf. section 10, falls below the overdraft on the PM account at the time in question. 12. Other credit facilities Danmarks Nationalbank may agree in writing with the participant that other credit facilities are to be included as deductions on the statement of the participant's maximum intraday overdraft on the PM account, cf. Section Other terms and conditions and contingency issues Further reference is made to the "Harmonised Conditions for Participation in TARGET2 Settlement of Payments in euro at Danmarks Nationalbank". In particular as regards contingency procedures reference is made to appendix IV (Business continuity and contingency procedures) and appendix IV.a. (Supplementary provisions concerning contingency procedures) of "Harmonised Conditions for Participation in TARGET2 Settlement of Payments in euro at Danmarks Nationalbank". 14. Date of coming into force

6 These terms and conditions shall enter into force with effect from 1 November 2013 and shall replace the "Terms and Conditions for Pledging of Collateral for Credit Facilities in Euro at Danmarks Nationalbank" of 8 April Copenhagen, 17 October 2013 Danmarks Nationalbank