Decision (EU) 2022/2128 of the European Central Bank of 27 October 2022 amending Decision (EU) 2019/1311 on a third series of targeted longer-term refinancing operations (ECB/2019/21) (ECB/2022/37)

• CELEX: Decision (EU) 2022/2128
• Articles: 3

Article 1 Amendments

Decision (EU) 2019/1311 (ECB/2019/21) is amended as follows:

(1)

Article 1 is amended as follows:

(a)

point (23) is deleted;

(b)

the following points are added:

‘(29)

“pre-SIRP interest rate period” means the period from the settlement date of the respective TLTRO-III until 23 June 2020, that is, the interest rate period immediately preceding the special interest rate period (SIRP);

(30)

“post-ASIRP interest rate period” means the period from 24 June 2022 until the earlier of 22 November 2022 or the early repayment date of the respective TLTRO-III, as applicable, that is, the interest rate period immediately following the additional special interest rate period (ASIRP);

(31)

“main interest rate period” means the period from the settlement date of the respective TLTRO-III until the earlier of 22 November 2022 or the early repayment date of the respective TLTRO-III, as applicable, that is the period including the pre-SIRP interest rate period, the special interest rate period, the additional special interest rate period and the post-ASIRP interest rate period;

(32)

“last interest rate period” means the period from 23 November 2022 until the earlier of the maturity date of the respective TLTRO-III or the early repayment date of the respective TLTRO-III, as applicable.’;

(2)

Article 5 is replaced by the following:

‘Article 5

Interest

1.   The interest rate applicable to amounts borrowed under each of the first seven TLTROs-III by participants whose eligible net lending during the special reference period equals or exceeds their benchmark net lending and whose eligible net lending during the additional special reference period is lower than their benchmark net lending shall be calculated as follows, subject to the conditions set out in Article 6(3a):

(a)

during the special interest rate period, the interest rate shall be the average interest rate on the deposit facility over that period minus 50 basis points. The resulting interest rate shall not, in any case, be higher than minus 100 basis points;

(b)

during the additional special interest rate period, the interest rate shall be the lower of the following rates:

(i)

the average interest rate on the main refinancing operations over that period minus 50 basis points;

(ii)

the average interest rate on the deposit facility over the main interest rate period of the respective TLTRO-III;

(c)

during the pre-SIRP and post-ASIRP interest rate periods of the respective TLTRO-III, the interest rate shall be the average interest rate on the deposit facility over the main interest rate period of the respective TLTRO-III;

(d)

during the last interest rate period of the respective TLTRO-III, the interest rate shall be the average interest rate on the deposit facility over that period.

2.   The interest rate applicable to amounts borrowed under each of the first seven TLTROs-III by participants whose eligible net lending during the special reference period and during the additional special reference period is lower than their benchmark net lending but whose eligible net lending during the second reference period exceeds their benchmark net lending shall be calculated as follows:

(a)

during the special interest rate period, the interest rate shall be the lower of the following rates:

(i)

the average interest rate on the main refinancing operations over that period minus 50 basis points;

(ii)

the interest rate calculated depending on the deviation from the benchmark outstanding amount, as set out in point (c);

(b)

during the additional special interest rate period, the interest rate shall be the lower of the following rates:

(i)

the average interest rate on the main refinancing operations over that period minus 50 basis points;

(ii)

the interest rate calculated depending on the deviation from the benchmark outstanding amount, as set out in point (c);

(c)

during the pre-SIRP and post-ASIRP interest rate periods of the respective TLTRO-III, the interest rate shall be lower than the average interest rate on the main refinancing operations over the main interest rate period of the respective TLTRO-III, and may be as low as the average interest rate on the deposit facility over the main interest rate period of the respective TLTRO-III, depending on the deviation from the benchmark outstanding amount;

(d)

during the last interest rate period of the respective TLTRO-III, the interest rate shall be lower than the average interest rate on the main refinancing operations over that period, and may be as low as the average interest rate on the deposit facility over that period, depending on the deviation from the benchmark outstanding amount.

3.   The interest rate applicable to amounts borrowed under each of the first seven TLTROs-III by participants whose eligible net lending during the second reference period, the special reference period and the additional special reference period is lower than their benchmark net lending shall be calculated as follows:

(a)

during the special interest rate period, the interest rate shall be the average interest rate on the main refinancing operations over that period minus 50 basis points;

(b)

during the additional special interest rate period, the interest rate shall be the average interest rate on the main refinancing operations over that period minus 50 basis points;

(c)

during the pre-SIRP and post-ASIRP interest rate periods of the respective TLTRO-III, the interest rate shall be the average interest rate on the main refinancing operations over the main interest rate period of the respective TLTRO-III;

(d)

during the last interest rate period of the respective TLTRO-III, the interest rate shall be the average interest rate on the main refinancing operations over that period.

3a.   The interest rate applicable to amounts borrowed under each of the first seven TLTROs-III by participants whose eligible net lending during the additional special reference period equals or exceeds their benchmark net lending shall be calculated as follows, subject to the conditions set out in Article 6(3b):

(a)

during the pre-SIRP interest rate period of the respective TLTRO-III, the interest rate shall be calculated according to paragraph 1(c), paragraph 2(c) or paragraph 3(c), as applicable;

(b)

during the special interest rate period, the interest rate shall be calculated according to paragraph 1(a), paragraph 2(a) or paragraph 3(a), as applicable;

(c)

during the additional special interest rate period, the interest rate shall be the average interest rate on the deposit facility over that period minus 50 basis points. The resulting interest rate shall not, in any case, be higher than minus 100 basis points;

(d)

during the post-ASIRP interest rate period of the respective TLTRO-III, the interest rate shall be the average interest rate on the deposit facility over the main interest rate period of the respective TLTRO-III;

(e)

during the last interest rate period of the respective TLTRO-III, the interest rate shall be the average interest rate on the deposit facility over that period.

3b.   The interest rate applicable to amounts borrowed under the eighth or subsequent TLTROs-III by participants whose eligible net lending during the additional special reference period equals or exceeds their benchmark net lending shall be calculated as follows, subject to the conditions set out in Article 6(3b):

(a)

during the additional special interest rate period, the interest rate shall be the average interest rate on the deposit facility over that period minus 50 basis points. The resulting interest rate shall not, in any case, be higher than minus 100 basis points;

(b)

during the post-ASIRP interest rate period of the respective TLTRO-III, the interest rate shall be the average interest rate on the deposit facility over the main interest rate period of the respective TLTRO-III;

(c)

during the last interest rate period of the respective TLTRO-III, the interest rate shall be the average interest rate on the deposit facility over that period.

3c.   The interest rate applicable to amounts borrowed under the eighth or subsequent TLTROs-III by participants whose eligible net lending during the additional special reference period is lower than their benchmark net lending shall be calculated as follows:

(a)

during the additional special interest rate period, the interest rate shall be the average interest rate on the main refinancing operations over that period minus 50 basis points;

(b)

during the post-ASIRP interest rate period of the respective TLTRO-III, the interest rate shall be the average interest rate on the main refinancing operations over the main interest rate period of the respective TLTRO-III;

(c)

during the last interest rate period of the respective TLTRO-III, the interest rate shall be the average interest rate on the main refinancing operations over that period.

4.   Further details on interest rate calculations are laid down in Annex I. The final interest rate and the relevant data pertaining to its calculation shall be communicated to participants in accordance with the indicative calendar for TLTROs-III published on the ECB’s website.

5.   Interest shall be settled in arrears on the maturity of each TLTRO-III or on early repayment as provided for in Article 5a, as applicable.

6.   If, due to the exercise of remedies available to an NCB in accordance with its contractual or regulatory arrangements, a participant is required to repay outstanding amounts in one of the first seven TLTROs-III before the interest data related to the second and the special reference periods are communicated to that participant, the interest rate applicable to the amounts borrowed by that participant under each of the first seven TLTROs-III and subject to mandatory repayments shall be: (a) for the special interest rate period, the average interest rate on the main refinancing operations over that period minus 50 basis points; (b) for the additional special interest rate period, the average interest rate on the main refinancing operations over that period minus 50 basis points; and (c) for the pre-SIRP interest rate period, the average rate on the main refinancing operations over the main interest rate period of the respective TLTRO-III up to the date on which the repayment was required to be made by the NCB. If such repayment is required after the interest data related to the second and the special reference periods have been communicated to the participant but before the interest rate related data of the additional special reference period have been communicated to the participant, the interest rate applicable to the amounts borrowed by that participant under each of the first seven TLTROs-III and subject to mandatory repayments shall be set in accordance with paragraphs 1 to 3. If such repayment is required after the interest related data of the additional special reference period have been communicated to the participant, the interest rate applicable to the required repayment amounts borrowed by that participant under each of the first seven TLTROs-III shall be set in accordance with paragraphs 1 to 3a.

If due to the exercise of remedies available to an NCB in accordance with its contractual or regulatory arrangements, a participant is required to repay outstanding amounts in the eighth or subsequent TLTROs-III before the resulting interest rate for the additional special reference period has been communicated to the participant, the interest rate applicable to the amounts borrowed by that participant under the eighth or subsequent TLTROs-III and subject to mandatory repayment shall be set in accordance with paragraph 3c. If such repayment is required after the interest related data of the additional special reference period have been communicated to the participant, the interest rate applicable to the amounts borrowed by that participant under the eighth or subsequent TLTROs-III and subject to mandatory repayment shall be set in accordance with paragraphs 3b and 3c.

7.   If counterparties voluntarily repay early amounts borrowed in one of the first seven TLTROs-III in line with Article 5a before the interest related data of the additional special reference period have been communicated to them, the interest rate for the additional special interest rate period shall be calculated in accordance with paragraphs 1(b), 2(b) and 3(b).’;

(3)

in Article 5a, the following paragraph 5 is added:

‘5.   In addition to the options of early repayment provided for in paragraph 1, participants shall also have the option of terminating or reducing the amount of the TLTROs-III concerned before maturity at any of the following additional early repayment dates:

(a)

23 November 2022;

(b)

25 January 2023;

(c)

22 February 2023.

For the purposes of point (a) of the first subparagraph and by derogation from paragraphs 3 and 4 as regards the timelines for notification of intended early repayment and its binding effect, where a participant terminates or reduces the amount of the TLTROs-III concerned on 23 November 2022, it shall notify the relevant NCB at least one week in advance of the additional early repayment date that it intends to repay on this additional early repayment date under the early repayment procedure. The notification shall become binding on the participant concerned one week before this early repayment date.’;

(4)

in Article 7, paragraph 1, points (f) and (g) are replaced by the following:

‘(f)

if a participant fails to make the data relating to the third report or the results of the auditor’s evaluation of the data relating to the third report available to the relevant NCB by the relevant deadline specified in the indicative calendar for TLTROs-III published on the ECB’s website, the following rules shall apply:

(i)

if either the data relating to the third report or the results of the auditor’s evaluation of those data are received by the relevant NCB within the period of 14 calendar days starting on the day after the expiry of the relevant deadline, the participant shall incur for each day until receipt a penalty equal to the total outstanding amount borrowed by the participant under TLTROs-III divided by 1 000 000 (or if that amount is less than EUR 1 000, a penalty of EUR 1 000 for each day until receipt). The penalties incurred per day shall be accumulated and charged to the participant by the relevant NCB after receipt of all data relating to the third report or of the auditor’s evaluation of those data. The interest rate related data relating to the second reference period shall be communicated by the relevant NCB to the participant on 1 July 2022;

(ii)

if either the data relating to the third report or the results of the auditor’s evaluation of those data are not received by the relevant NCB within the period of 14 calendar days specified in point (i), the interest rate calculated pursuant to Article 5(1)(b) or Article 5(2)(b) or Article 5(3)(b) (if the participant has already participated in one of the first seven TLTROs-III) or pursuant to Article 5(3c)(a) (if the participant participated in the eighth or subsequent TLTROs-III), as applicable, shall apply during the additional special interest rate period to the amounts borrowed by that participant under those TLTROs-III. During the post-ASIRP interest rate period, the interest rate shall be calculated pursuant to Article 5(1)(c) or Article 5(2)(c) or Article 5(3)(c) or Article 5(3c)(b), as applicable. During the last interest rate period of the respective TLTRO-III, the interest rate shall be calculated pursuant to Article 5(1)(d) or Article 5(2)(d) or Article 5(3)(d) or Article 5(3c)(c), as applicable. If it is the data relating to the third report that are not received by the relevant NCB within the period of 14 calendar days specified in point (i), the participant shall also incur a penalty of EUR 5 000, which shall be charged to the participant by the relevant NCB after receipt of all data relating to the third report;

(g)

if a participant fails to otherwise comply with the obligations set out in Article 6(6) or Article 6(7) or Article 6(8a), the average rate on the main refinancing operations over the main interest rate period of each respective TLTRO-III shall apply to the amounts borrowed by that participant under TLTROs-III, except during the special interest rate period and the additional special interest rate period where the average rate on the main refinancing operations minus 50 basis points over each such period shall apply, and except during the last interest rate period of the respective TLTRO-III where the average rate of the main refinancing operations over the last interest rate period of the respective TLTRO-III shall apply;’;

(5)

Annex I is amended in accordance with the Annex to this Decision.

Article 2 Entry into force

This Decision shall enter into force on 8 November 2022.

Schedules & Appendices

ANNEX

ANNEX

Annex I to Decision (EU) 2019/1311 (ECB/2019/21) is amended as follows:

Section 3 is replaced by the following:

‘3.    Calculation of the interest rate

A.

Let  NL Special

denote the amount of eligible net lending over the special reference period from 1 March 2020 to 31 March 2021.

B.

Let  NL ADSpecial

denote the amount of eligible net lending over the additional special reference period from 1 October 2020 to 31 December 2021.

C.

Let  NS Mar

2021  denote the amount obtained by summing the eligible net lending over the period from 1 April 2019 to 31 March 2021 and the outstanding amount of eligible loans as at 31 March 2019; this is calculated as:

Denote now by  EX  the percentage deviation of  NS Mar

2021  from the benchmark outstanding amount over the period 1 April 2019 to 31 March 2021, that is,

EX  will be rounded to 15 decimal positions. Where  OAB  is equal to zero,  EX  is deemed to equal 1,15.

E.

Let  k

pre

denote the pre-SIRP interest rate period from the settlement date of the respective TLTRO-III until 23 June 2020,  k

special

denote the special interest rate period from 24 June 2020 to 23 June 2021,  k

adspecial

denote the additional special interest rate period from 24 June 2021 to 23 June 2022, k

post

denote the post-ASIRP interest rate period from 24 June 2022 until the earlier of 22 November 2022 or the early repayment date of the respective TLTRO-III, as applicable, k

main

denote the main interest rate period from the settlement date of the respective TLTRO-III until the earlier of 22 November 2022 or the early repayment date of the respective TLTRO-III, as applicable, and k

last

denote the interest rate period from 23 November 2022 until the earlier of the maturity date of the respective TLTRO-III or the early repayment date of the respective TLTRO-III, as applicable.

Let

be the average of the main refinancing operation (MRO) rate applicable during the special interest rate period from 24 June 2020 to 23 June 2021 of TLTRO-III  k , expressed as an annual percentage rate and let

be the average of the deposit facility (DF) rate applicable during the special interest rate period from 24 June 2020 to 23 June 2021 of TLTRO-III  k , expressed as an annual percentage rate, i.e.:

In the above equations

denotes the number of days of the period  k

special

of the TLTRO-III  k  and, where the MRO is conducted under a fixed-rate full allotment regime,

denotes the rate applied to the MRO on the  t -th day of the period  k

special

of the TLTRO-III  k , or, where the MRO is conducted under a variable-rate tender procedure,

denotes the minimum bid rate applied to the MRO on the  t -th day of the period  k

special

of the TLTRO-III  k , and in each case

is expressed as an annual percentage rate. In the above equations

denotes the rate applied to the DF on the  t -th day of the period  k

special

of the TLTRO-III  k , and is expressed as an annual percentage rate.

Let

be the average of the MRO rate applicable during the additional special interest rate period from 24 June 2021 to 23 June 2022 of TLTRO-III  k , expressed as an annual percentage rate and let

be the average of the DF rate applicable during the additional special interest rate period from 24 June 2021 to 23 June 2022 of TLTRO-III  k, expressed as an annual percentage rate, i.e.:

In the above equations

denotes the number of days of the period  k

adspecial

of the TLTRO-III  k  and, where the MRO is conducted under a fixed-rate full allotment regime,

denotes the rate applied to the MRO on the  t -th day of the period  k

adspecial

of the TLTRO-III  k , or, where the MRO is conducted under a variable-rate tender procedure,

denotes the minimum bid rate applied to the MRO on the  t -th day of the period  k

adspecial

of the TLTRO-III  k , and in each case

is expressed as an annual percentage rate. In the above equations

denotes the rate applied to the DF on the  t -th day of the period  k

adspecial

of the TLTRO-III  k , and is expressed as an annual percentage rate.

Let

be the average of the MRO rate applicable from the settlement date of the TLTRO-III k until the earlier of 22 November 2022 or the early repayment date of the TLTRO-III k , as applicable, expressed as an annual percentage rate and let

be the average of the DF rate applicable from the settlement date of the TLTRO-III k until the earlier of 22 November 2022 or the early repayment date of TLTRO-III k , as applicable, expressed as an annual percentage rate, i.e.:

In the above equations

denotes the number of days of the period  k

main

of the TLTRO-III  k  and, where the MRO is conducted under a fixed-rate full allotment regime,

denotes the rate applied to the MRO on the  t -th day of the period  k

main

of the TLTRO-III  k , or, where the MRO is conducted under a variable-rate tender procedure,

denotes the minimum bid rate applied to the MRO on the  t -th day of the period  k

main

of the TLTRO-III  k , and in each case

is expressed as an annual percentage rate. In the above equations

denotes the rate applied to the DF on the  t -th day of the period  k

main

of the TLTRO-III  k , and is expressed as an annual percentage rate.

Let

be the average of the MRO rate applicable from 23 November 2022 until the earlier of the maturity date of the TLTRO-III k or the early repayment date of the TLTRO-III k , as applicable, expressed as an annual percentage rate and let

be the average of the DF rate applicable from 23 November 2022 until the earlier of the maturity date of the TLTRO-III k or the early repayment date of TLTRO-III k , as applicable, expressed as an annual percentage rate, i.e.:

In the above equations

denotes the number of days of the period  k

last

of the TLTRO-III  k  and, where the MRO is conducted under a fixed-rate full allotment regime,

denotes the rate applied to the MRO on the  t -th day of the period  k

last

of the TLTRO-III  k , or, where the MRO is conducted under a variable-rate tender procedure,

denotes the minimum bid rate applied to the MRO on the  t -th day of the period  k

last

of the TLTRO-III  k , and in each case

is expressed as an annual percentage rate. In the above equations

denotes the rate applied to the DF on the  t -th day of the period  k

last

of the TLTRO-III  k , and is expressed as an annual percentage rate.

F.

Let the interest rate incentive adjustment, where applicable, be denoted iri , measured as a fraction of the average corridor between:

i)

the

and the

during the main interest rate period of the respective TLTRO-III; or

ii)

the

and the

during the last interest rate period of the respective TLTRO-III.

G.

Let the interest rate to be applied for the life of a TLTRO-III  k  (final interest rate), expressed as an annual percentage rate, be denoted  r k

. Let the interest rate to be applied for a period  k j ,  with  j  =  pre, special, adspecial, post or last , of a TLTRO-III  k , expressed as an annual percentage rate, be denoted

.

H.

The interest rate  r k

is defined as:

In the above equation

denotes the number of days of the period  k

pre

of the TLTRO-III  k

denotes the number of days of the period  k

post

of the TLTRO-III  k.

The interest rate applicable to each TLTRO-III  k  is calculated as follows:

(1)

For amounts borrowed in the first seven operations, that is, if  k  = 1,...,7:

(a)

If a participant equals or exceeds its benchmark net lending in the special reference period and in the additional special reference period, the interest rate to be applied to amounts borrowed by that participant under TLTROs-III is:

(i)

during the special interest rate period: the average of the DF rate over that period minus 50 basis points, which in any case must not exceed minus 100 basis points, that is:

if  NL Special

≥ NLB, then

;

(ii)

during the additional special interest rate period: the average of the DF rate over that period minus 50 basis points, which in any case must not exceed minus 100 basis points, that is:

if  NL ADSpecial

≥ NLB, then

;

(iii)

during pre-SIRP and post-ASIRP interest rate periods of the respective TLTRO-III: the average of the DF rate during the main interest rate period of the respective TLTRO-III, that is:

if  NL Special

≥ NLB and  NL ADSpecial

≥ NLB, then

(iv)

during the last interest rate period of the respective TLTRO-III: the average of the DF rate over the last interest rate period of the respective TLTRO-III, that is:

if  NL Special

≥ NLB and  NL ADSpecial

≥ NLB, then

.

(b)

If a participant equals or exceeds its benchmark net lending in the special reference period but does not equal or exceed its benchmark net lending in the additional special reference period, the interest rate to be applied to amounts borrowed by that participant under TLTROs-III is:

(i)

during the special interest rate period: the average of the DF rate over that period minus 50 basis points, which in any case must not exceed minus 100 basis points, that is:

if  NL Special

≥ NLB,

then

;

(ii)

during the additional special interest rate period: the lower of the average of the MRO rate over that period minus 50 basis points and the average of the DF rate over the main interest rate period of the respective TLTRO-III, that is

if  NL Special

≥ NLB and  NL ADSpecial

< NLB,

then

;

(iii)

during the pre-SIRP and post-ASIRP interest rate periods of the respective TLTRO-III: the average of the DF rate over the main interest rate period of the respective TLTRO-III, that is:

if  NL Special

≥ NLB and  NL ADSpecial

< NLB , then

(iv)

during the last interest rate period of the respective TLTRO-III: the average of the DF rate over the last interest rate period of the respective TLTRO-III, that is:

if  NL Special

≥ NLB and  NL ADSpecial

< NLB , then

.

(c)

If a participant does not equal or exceed its benchmark net lending in the special reference period but equals or exceeds its benchmark net lending in the additional special reference period and exceeds its benchmark outstanding amount of eligible loans during the second reference period by at least 1,15 %, the interest rate to be applied to amounts borrowed by that participant under TLTROs-III is:

(i)

during the special interest rate period: the lower of the average of the MRO rate over that period minus 50 basis points and the average of the DF rate over the main interest rate period of the respective TLTRO-III, that is:

if  NL Special

< NLB and  EX  ≥ 1,15,

then  iri  = 100 % and

;

(ii)

during the additional special interest rate period: the average of the DF rate over that period minus 50 basis points, which in any case must not exceed minus 100 basis points, that is:

if  NL ADSpecial

≥ NLB, NL Special

< NLB and  EX  ≥ 1,15,

then

;

(iii)

during the pre-SIRP and post-ASIRP interest rate periods of the respective TLTRO-III: the average of the DF rate during the main interest rate period of the respective TLTRO-III, that is:

if  NL Special

< NLB,  NL ADSpecial

≥ NLB and  EX  ≥ 1,15,

then  iri  = 100 % and

;

(iv)

during the last interest rate period of the respective TLTRO-III: the average of the DF rate over the last interest rate period of the respective TLTRO-III, that is:

if  NL Special

< NLB,  NL ADSpecial

≥ NLB and  EX  ≥ 1,15, then  iri  = 100 % and

(d)

If a participant does not equal or exceed its benchmark net lending in the special reference period, does not equal or exceed its benchmark net lending in the additional special reference period, but exceeds its benchmark outstanding amount of eligible loans during the second reference period by at least 1,15 %, the interest rate to be applied to amounts borrowed by that participant under TLTROs-III is:

(i)

during the special interest rate period: the lower of the average of the MRO rate over that period minus 50 basis points and the average of the DF rate over the main interest rate period of the respective TLTRO-III, that is:

if  NL Special

< NLB and  EX  ≥ 1,15,

then  iri  = 100 % and

;

(ii)

during the additional special interest rate period: the lower of the average of the MRO rate over that period minus 50 basis points and the average of the DF rate over the main interest rate period of the respective TLTRO-III, that is:

if  NL ADSpecial

< NLB,  NL Special

< NLB and  EX  ≥ 1,15,

then  iri  = 100 % and

;

(iii)

during the pre-SIRP and post-ASIRP interest rate periods of the respective TLTRO-III: the average of the DF rate over the main interest rate period of the respective TLTRO-III, that is:

if  NL Special

< NLB,  NL ADSpecial

< NLB and  EX  ≥ 1,15,

then  iri  = 100 % and

;

(iv)

during the last interest rate period of the respective TLTRO-III: the average of the DF rate over the last interest rate period of the respective TLTRO-III, that is:

if  NL Special

< NLB,  NL ADSpecial

< NLB and  EX  ≥ 1,15,

then  iri  = 100 % and

.

(e)

If a participant does not equal or exceed its benchmark net lending in the special reference period but equals or exceeds its benchmark net lending in the additional special reference period and exceeds its benchmark outstanding amount of eligible loans during the second reference period by less than 1,15 %, the interest rate to be applied to amounts borrowed by that participant under TLTROs-III is:

(i)

during the pre-SIRP interest rate period of the respective TLTRO-III: the interest rate that is graduated linearly depending on the percentage by which the participant exceeds its benchmark outstanding amount, that is,

if  NL Special

< NLB and 0 <  EX  < 1,15,

then

and

;

(ii)

during the special interest rate period: the lower of the average of the MRO rate over that period minus 50 basis points and the interest rate calculated according to point (i), that is:

if  NL Special

< NLB and 0 <  EX  < 1,15,

then

and

;

(iii)

during the additional special interest rate period: the average of the DF rate over that period minus 50 basis points, which in any case must not exceed minus 100 basis points, that is:

if  NL ADSpecial

≥ NLB, NL Special

< NLB and 0 <  EX  < 1,15 then

;

(iv)

during the post-ASIRP interest rate period of the respective TLTRO-III: the average of the DF rate over the main interest rate period of the respective TLTRO-III, that is:

if  NL Special

< NLB,  NL ADSpecial

≥ NLB and 0 <  EX  < 1,15,

then

(v)

during the last interest rate period of the respective TLTRO-III: the average of the DF rate over the last interest rate period of the respective TLTRO-III, that is:

if  NL Special

< NLB,  NL ADSpecial

≥ NLB and 0 <  EX  < 1,15,

then

.

(f)

If a participant does not equal or exceed its benchmark net lending in the special reference period, does not equal or exceed its benchmark net lending in the additional special reference period but exceeds its benchmark outstanding amount of eligible loans during the second reference period by less than 1,15 %, the interest rate to be applied to amounts borrowed by that participant under TLTROs-III is:

(i)

during the special interest rate period: the lower of the average of the MRO rate over that period minus 50 basis points and the interest rate calculated according to point (iii), that is:

if  NL Special

< NLB and 0 <  EX  < 1,15,

then

and

;

(ii)

during the additional special interest rate period: the lower of the average of the MRO rate over that period minus 50 basis points and the interest rate calculated according to point (iii), that is:

if  NL Special

< NLB,  NL ADSpecial

< NLB and 0 <  EX  < 1,15,

then

and

;

(iii)

during the pre-SIRP and post-ASIRP interest rate periods of the respective TLTRO-III: the interest rate that is graduated linearly depending on the percentage by which the participant exceeds its benchmark outstanding amount, that is,

if  NL Special

< NLB,  NL ADSpecial

< NLB and 0 <  EX  < 1,15,

then

and

(iv)

during the last interest rate period of the respective TLTRO-III: the interest rate that is graduated linearly depending on the percentage by which the participant exceeds its benchmark outstanding amount, that is,

if  NL Special

< NLB,  NL ADSpecial

< NLB and 0 <  EX  < 1,15,

then

and

(g)

If a participant does not equal or exceed its benchmark net lending in the special reference period, does not exceed its benchmark outstanding amount in the second reference period, but equals or exceeds its benchmark net lending in the additional special reference period, the interest rate to be applied to amounts borrowed by that participant under TLTROs-III is:

(i)

during the pre-SIRP interest rate period of the respective TLTRO-III: the average of the MRO rate over the main interest rate period of the respective TLTRO-III, that is:

if  NL Special

< NLB and  EX  ≤ 0, then  iri  = 0 % and

;

(ii)

during the special interest rate period: the average of the MRO rate over that period minus 50 basis points, that is:

if  NL Special

< NLB and  EX  ≤ 0, then

;

(iii)

during the additional special interest rate period: the average of the DF rate over that period minus 50 basis points, which in any case must not exceed minus 100 basis points, that is:

if  NL ADSpecial

≥ NLB, NL Special

< NLB and  EX  ≤ 0

then

;

(iv)

during the post-ASIRP interest rate period of the respective TLTRO-III: the average of the DF rate over the main interest rate period of the respective TLTRO-III, that is:

if  NL Special

< NLB,  NL ADSpecial

≥ NLB and  EX  ≤ 0, then

(v)

during the last interest rate period of the respective TLTRO-III: the average of the DF rate over the last interest rate period of the respective TLTRO-III, that is:

if  NL Special

< NLB,  NL ADSpecial

≥ NLB and  EX  ≤ 0, then

.

(h)

If a participant does not equal or exceed its benchmark net lending in the special reference period, does not equal or exceed its benchmark net lending in the additional special reference period and does not exceed its benchmark outstanding amount in the second reference period, the interest rate to be applied to amounts borrowed by that participant under TLTROs-III is:

(i)

during the special interest rate period: the average of the MRO rate over that period minus 50 basis points, that is:

if  NL Special

< NLB and  EX  ≤ 0, then

;

(ii)

during the additional special interest rate period: the average of the MRO rate over that period minus 50 basis points, that is:

if  NL Special

< NLB,  NL ADSpecial

< NLB and  EX  ≤ 0,

then

;

(iii)

during the pre-SIRP and post-ASIRP interest rate periods of the respective TLTRO-III: the average of the MRO rate over the main interest rate period of the respective TLTRO-III, that is:

if  NL Special

< NLB,  NL ADSpecial

< NLB and  EX  ≤ 0,

then  iri  = 0 % and

;

(iv)

during the last interest rate period of the respective TLTRO-III: the average of the MRO rate over the last interest rate period of the respective TLTRO-III, that is:

if  NL Special

< NLB,  NL ADSpecial

< NLB and  EX  ≤ 0,

then  iri  = 0 % and

.

(2)

For amounts borrowed in the eighth or subsequent TLTROs-III, that is, if  k  = 8, 9 or 10:

(a)

If a participant equals or exceeds its benchmark net lending in the additional special reference period, the interest rate to be applied to amounts borrowed by that participant under TLTROs-III is:

(i)

during the additional special interest rate period: the average of the DF rate over that period minus 50 basis points, which in any case must not exceed minus 100 basis points, that is:

if  NL ADSpecial

≥ NLB, then

;

(ii)

during the post-ASIRP interest rate period of the respective TLTRO-III: the average of the DF rate over the main interest rate period of the respective TLTRO-III, that is:

if  NL ADSpecial

≥ NLB, then

;

(iii)

during the last interest rate period of the respective TLTRO-III: the average of the DF rate over the last interest rate period of the respective TLTRO-III, that is:

if  NL ADSpecial

≥ NLB, then

.

(b)

If a participant does not equal or exceed its benchmark net lending in the additional special reference period, the interest rate to be applied to amounts borrowed by that participant under TLTROs-III is:

(i)

during the additional special interest rate period: the average of the MRO rate over the respective period minus 50 basis points, that is:

if  NL ADSpecial

< NLB, then

;

(ii)

during the post-ASIRP interest rate period of the respective TLTRO-III: the average of the MRO rate over the main interest rate period of the respective TLTRO-III, that is:

if  NL ADSpecial

< NLB, then

(iii)

during the last interest rate period of the respective TLTRO-III: the average of the MRO rate over the last interest rate period of the respective TLTRO-III, that is:

if  NL ADSpecial

< NLB, then

.

The interest rate incentive adjustment ( iri ) is expressed by rounding to 15 decimal positions.

The interest rates

are expressed as an annual percentage rate rounded to 13 decimal positions.

,

are expressed as an annual percentage rate rounded to 13 decimal positions.

,

are expressed as an annual percentage rate rounded to 13 decimal positions.

The final interest rate  r

k

is expressed as an annual percentage rate, rounded down to the fourth decimal position.’