Decision of the European Central Bank of 29 July 2014 on measures relating to targeted longer-term refinancing operations (ECB/2014/34) (2014/541/EU)

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:

a 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).
k	3	4	5	6	7	8
Month of TLTRO	Mar. 2015	Jun. 2015	Sept. 2015	Dec. 2015	Mar. 2016	Jun. 2016
Allotment reference montha	Jan. 2015	Apr. 2015	Jul. 2015	Oct. 2015	Jan. 2016	Apr. 2016
nk	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	CNLk
3	Mar. 2015	Jan. 2015	NLMay2014 + NLJune2014 + … + NLJan2015
4	June 2015	Apr. 2015	NLMay2014 + NLJune2014 + … + NLApr2015
5	Sept. 2015	July 2015	NLMay2014 + NLJune2014 + … + NLJul2015
6	Dec. 2015	Oct. 2015	NLMay2014 + NLJune2014 + … + NLOct2015
7	Mar. 2016	Jan. 2016	NLMay2014 + NLJune2014 + … + NLJan2015
8	June 2016	Apr. 2016	NLMay2014 + NLJune2014 + … + NLApr2015

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(2):

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.

(1)

References to a ‘participant’ should be understood as applying to individual participants or TLTRO groups.

(2)

For the TLTRO to be conducted in March 2015 (k = 3), the constraint is C₃ ≤ max{0,AA 3}.