CONDUCT OF THE TARGETED LONGER-TERM REFINANCING OPERATIONS
ANNEX ISupplementary provisions
ANNEX I CONDUCT OF THE TARGETED LONGER-TERM REFINANCING OPERATIONS 1. Calculation of borrowing limits Participants in a TLTRO, acting either individually or as the lead institution of a TLTRO group, will be subject to borrowing limits. The calculated borrowing limits will be rounded up to the next multiple of EUR 10 000. The borrowing limits (and possible mandatory early repayment) applicable to an individual participant in the TLTROs will be calculated on the basis of the outstanding amounts of loans and net lending to euro area non-financial corporations and households, excluding loans to households for house purchase, granted by the individual participant. The borrowing limits (and possible mandatory early repayment) applicable to the lead institution of a TLTRO group will be calculated on the basis of the outstanding amounts of eligible loans and eligible net lending granted by all members of the TLTRO group in aggregate. Let C k ≥ 0 be the borrowing of a participant ( 1 ) in TLTRO k (with k = 1,…,8). The initial borrowing allowance for this participant (IA) is: Here, OL is the amount outstanding on 30 April 2014 of eligible loans granted by the participant. In the first two TLTROs, the following constraint must be respected: C 1 + C 2 ≤ IA This means that total borrowing in the first two TLTROs cannot exceed the amount of the initial allowance. Let NL m be the eligible net lending of a participant in calendar month m . Let be the average eligible net lending of this participant from May 2013 to April 2014. Denote by BE k a participant's benchmark for TLTRO k (with k = 3,…,8, i.e. the TLTROs to be conducted between March 2015 and June 2016). If (i.e. if the participant had positive or zero eligible net lending in the 12 months to 30 April 2014), or if the participant was established only after 1 May 2013, then BE k = 0 for all TLTROs k = 3,…,8. If (i.e. if the participant had negative eligible net lending in the 12 months to 30 April 2014), then: , where n k , is defined as follows: k 3 4 5 6 7 8 Month of TLTRO Mar. 2015 Jun. 2015 Sept. 2015 Dec. 2015 Mar. 2016 Jun. 2016 Allotment reference month ( 2 ) Jan. 2015 Apr. 2015 Jul. 2015 Oct. 2015 Jan. 2016 Apr. 2016 n k 9 12 12 12 12 12 This means that the benchmark for each TLTRO allotment reference month will be equal to the average monthly eligible net lending achieved in the 12 months to 30 April 2014 ( ), multiplied by the number of months elapsed between 30 April 2014 and the end of the allotment reference month. This, however, will only apply for allotment reference months up to and including April 2015. Thereafter, the benchmark will remain unchanged at the value reached in April 2015. The basis for calculating the additional borrowing allowance for a participant in TLTRO k is: AA k = 3 × ( CNL k – BE k ), where CNL k (cumulative net lending) is defined as follows: k Month of TLTRO Allotment reference month CNL k 3 Mar. 2015 Jan. 2015 NL May2014 + NL June2014 + … + NL Jan2015 4 June 2015 Apr. 2015 NL May2014 + NL June2014 + … + NL Apr2015 5 Sept. 2015 July 2015 NL May2014 + NL June2014 + … + NL Jul2015 6 Dec. 2015 Oct. 2015 NL May2014 + NL June2014 + … + NL Oct2015 7 Mar. 2016 Jan. 2016 NL May2014 + NL June2014 + … + NL Jan2015 8 June 2016 Apr. 2016 NL May2014 + NL June2014 + … + NL Apr2015 For the last six TLTROs k = 3,…,8 (i.e. for all TLTROs in which additional allowances can be claimed), the following constraint must be respected ( 3 ) : This means that in each TLTRO k , the participant cannot borrow more than three times the amount by which its eligible net lending granted between 30 April 2014 and the respective allotment reference month ( CNL k ) exceeds its benchmark in that allotment reference month ( BE k ), less any amounts previously borrowed in TLTROs that take place in the period from March 2015. 2. Calculation of mandatory early repayments Participants that have borrowed in the TLTROs but whose eligible net lending in the period from 1 May 2014 to 30 April 2016 is below the benchmark will be required to pay back their borrowing in September 2016. The mandatory early repayment in September 2016 of a participant is: , if BE 8 > CNL 8 This means that if the total eligible net lending granted by the participant in the period from 1 May 2014 to 30 April 2016 is lower than the benchmark for the allotment reference month of April 2016, then the full amount of borrowing in all TLTROs must be repaid in September 2016. If BE 8 ≤ CNL 8 but , then in September 2016 the participant must repay from the last six TLTROs. In other words, if a participant's total borrowing in the TLTROs conducted from March 2015 to June 2016 exceeds the basis for the calculation of the additional allowance for the allotment reference month of April 2016 ( AA 8 ), then the amount of this excess must be repaid in September 2016. ( 1 ) References to a ‘participant’ should be understood as applying to individual participants or TLTRO groups. ( 2 ) The allotment reference month of TLTRO k is the most recent month for which net lending data is available for TLTRO k (for an operation conducted in calendar month m , it will be data for the month two calendar months earlier). ( 3 ) For the TLTRO to be conducted in March 2015 ( k = 3), the constraint is C 3 ≤ max{0, AA 3}.