Division

‘3.

Calculation of the interest rate

1. A..

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

   

2. B..

   Let denote the amount obtained by summing the eligible net lending over the period 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 the percentage deviation of 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.

3. C..

   Let be the average of the main refinancing operation (MRO) rate applicable over the life of TLTRO-III and expressed as an annual percentage rate and let be the average of the deposit facility (DF) rate applicable over the life of TLTRO-III k, where the applicable interest rate refers to the life of the respective TLTRO-III, and expressed as an annual percentage rate, i.e.:

   

   

   In the above equations (for k=1,…,7) denotes the number of days 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 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 TLTRO-III k, and in each case is expressed as an annual percentage rate. In the above equations denotes the rate applied to the deposit facility on the t-th day of the TLTRO-III k, and expressed as an annual percentage rate.

4. D..

   Let k_special denote the special interest rate period being the period from 24 June 2020 to 23 June 2021, and k_rol denote the two periods that constitute the rest of the life of the respective TLTRO-III k (referring to the period from the settlement date of the respective TLTRO-III until 23 June 2020 and the period from 24 June 2021 until the maturity of the respective TLTRO-III or until its early repayment date, as applicable).

   Let be the average of the 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 DF rate applicable during the special interest rate period from 24 June 2020 to 23 June 2021 of TLTRO-III k and in each case expressed as an annual percentage rate, i.e.:

   

   

   In the above equations denotes the number of days of the period 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 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 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 deposit facility on the t-th day of the period of the TLTRO-III k, and expressed as an annual percentage rate.

5. E..

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

6. F..

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

7. G..

   The interest rate is defined as:

   

   In the above equation denotes the number of days of the period of the TLTRO-III k.

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

1. (a)

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

   1. (i)

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

      If , then ;

   2. (ii)

      during the rest of the life of the respective TLTRO-III: the average of the deposit facility rate over the life of the respective TLTRO-III, that is:

      if , then

2. (b)

   If a participant does not equal or exceed its benchmark net lending in the 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:

   1. (i)

      during the special interest rate period: the lower of the average of the main refinancing operation rate over that period minus 50 basis points and the average of the deposit facility rate over the life of the respective TLTRO-III, that is:

      if and , then and ;

   2. (ii)

      during the rest of the life of the respective TLTRO-III: the average of the deposit facility rate over the life of the respective TLTRO-III, that is:

      if and , then and

3. (c)

   If a participant does not equal or exceed its benchmark net lending in the 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:

   1. (i)

      during the special interest rate period: the lower of the average of the main refinancing operation rate over that period minus 50 basis points and the interest rate calculated according to point (ii) below, that is:

      If and , then and ;

   2. (ii)

      during the rest of the life 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 and , then and ;

4. (d)

   If a participant does not equal or exceed its benchmark net lending in the special reference period nor does it 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:

   1. (i)

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

      If and , then ;

   2. (ii)

      during the rest of the life of the respective TLTRO-III: the average of the main refinancing operation rate over the life of the respective TLTRO-III, that is:

      if and , then and

   The interest rate incentive adjustment ( ) will be expressed by rounding to 15 decimal positions.

   The interest rates and will be expressed by rounding to 15 decimal positions.

   The final interest rate will be expressed as an annual percentage rate, rounded down to the fourth decimal position.’

1. 2..

   Annex II is amended as follows:

   1. (a)

      in Section 2, the following sub-paragraph is inserted after the first sub-paragraph:

      ‘In the event that participants intend to take advantage of the interest rates set out in Article 5(1), the second report shall additionally also cover data relating to the special reference period on a similar basis to the requirements for the second reference period.’;

   2. (b)

      in Section 2, the second paragraph is replaced by the following:

      ‘As regards the use of the collected information, data on the reference outstanding amount will be used to determine the borrowing allowance. In addition, data on eligible net lending during the first reference period will be used for the calculation of the benchmark net lending and the benchmark outstanding amount. Meanwhile data on eligible net lending during the second reference period and, if applicable, the special reference period, will be used to assess the lending developments and, consequently, the interest rates applicable. All other indicators are necessary to verify the internal consistency of the information and its consistency with the statistical data collected within the Eurosystem, as well as for in-depth monitoring of the impact of the TLTRO-III programme.’;

   3. (c)

      in Section 3, the second indent of the second paragraph of point (a) is replaced by the following:

      1. —

         ‘The second report requires the completed data template B for the ‘second reference period’, i.e. 1 April 2019 to 31 March 2021, for the purposes of calculating the eligible net lending and the comparisons against benchmarks on which the applicable interest rates are based.

      2. —

         Participants intending to take advantage of the interest rates set out in Article 5(1) must in addition provide the completed data template B for the ‘special reference period’, i.e. 1 March 2020 to 31 March 2021, for the purposes of calculating the eligible net lending and the comparisons against the benchmark net lending on which the lower interest rates are based.’;

   4. (d)

      in Section 3, the third paragraph of point (a) is replaced by the following:

      ‘In template B, indicators relating to outstanding amounts must be reported as at the end of the month preceding the start of the reporting period and as at the end of the reporting period; therefore, for the first reference period outstanding amounts must be reported as at 31 March 2018 and 31 March 2019; for the second reference period outstanding amounts must be reported as at 31 March 2019 and 31 March 2021; for the special reference period outstanding amounts must be reported as at 29 February 2020 and 31 March 2021. In turn, data on transactions and adjustments must cover all relevant effects that take place during the reporting period.’;

   5. (e)

      The TLTRO-III reporting template B is replaced by the following template B.