Changes to Eligible Securities and Margin Requirements for the Bank of Canada's Standing Liquidity Facility (SLF)
As part of an ongoing review of collateral policy related to the Bank of Canada's Standing Liquidity Facility (SLF), the Bank is broadening the list of assets acceptable as collateral and revising its margin requirements.
The list of assets acceptable as collateral will be broadened to include the stripped coupons and residuals of federal government guaranteed securities as well as those of eligible provincial government securities and provincial government guaranteed securities. Currently, all federal government issued and guaranteed securities, stripped coupons and residuals of federal government securities, and provincial government issued and guaranteed securities are accepted as SLF collateral, and as such the securities outlined above do not represent either a new asset class or a new credit exposure to the Bank.
The Bank has also revised the margin requirements applied to securities accepted as SLF collateral. This has resulted in the creation of new margin categories as well as a separate category for securities with greater than 35 years of remaining maturity.
The changes to eligible securities and margin requirements will be effective 19 July 2010.
The updated list of assets eligible as collateral under the Bank of Canada's SLF and related margin requirements can be found at: https://www.bankofcanada.ca/en/financial/securities_170610.pdf
The Bank of Canada will continue to review its collateral policy with respect to both eligible securities and risk mitigation measures.
For further information please contact:
Jeremy Harrison
Bank of Canada
613 782-8782