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United States Treasury Securities Accepted as Collateral for the Bank of Canada's Standing Liquidity Facility

Further to its 12 December 2007 announcement, the Bank of Canada is expanding the list of securities eligible to be pledged as collateral for the Standing Liquidity Facility to include marketable securities issued by the United States Treasury (bills, notes and bonds, including Treasury Inflation-Protected Securities). This will be effective 30 June 2008. Pledged securities are to be delivered to the Bank of Canada using CDSX of CDS Clearing and Depository Services Inc.

The following margin requirements will be applied to account for (i) the price risk of United States Treasuries, and (ii) the foreign exchange risk:

< 1 year >1 to 3 years >3 to 5 years >5 to 10 years >10 years
Treasury Price 2.0%* 2.0% 4.5% 5.0% 7.0%
Foreign Exchange 2.5% 2.5% 2.5% 2.5% 2.5%
Total Haircut 4.5% 4.5% 7.0% 7.5% 9.5%

*Note that for securities with up to one year to maturity, the margins on the value of the securities (but not for the foreign exchange component) are adjusted by term divided by 365.

These changes are reflected in the Bank of Canada's updated list of "Securities Eligible as Collateral under the Bank of Canada's Standing Liquidity Facility".

For further information, please contact Jeremy Harrison at 613 782-8782

Content Type(s): Press, Market notices