Effective 19 December 2012, the Bank of Canada is adding certain covered bonds as assets eligible to be pledged as collateral under its Standing Liquidity Facility subject to the following criteria and conditions:

  • Only covered bonds from programs that are registered with the Covered Bond Registrar (CMHC) and compliant with the federal legislative framework for covered bonds are eligible.
  • The issuer must have a minimum of two credit ratings from two credit rating agencies, the second highest of which is at least A(low) by DBRS, A- by Fitch, A3 by Moody’s, or A- by S&P.
  • Consistent with current policy, eligibility is restricted to covered bonds denominated in Canadian dollars.
  • Covered bonds will count towards the existing 20% issuer concentration limits.
  • Pledgors of collateral will not be able to submit as collateral their own covered bonds.
  • Haircuts will be based on he second-highest issuer credit rating and are as follows:

 

Remaining Maturity 1
up to 1 year >1-3 years >3-5 years >5-10 years >10-35 years >35 years
Covered bonds (based on issuer rating)

rated by DBRS: AA(low) or better
rated by Fitch: AA- or better
rated by Moody’s:  Aa3 or better
rated by S&P: AA- or better

3.0%

3.5%

4.0%

6.5%

8.5%

9.0%

Covered bonds (based on issuer rating)

rated by DBRS: A(low) to A(high)
rated by Fitch: A- to A+
rated by Moody’s:  A3 to A1
rated by S&P: A- to A+

5.0%

5.5%

6.0%

8.5%

10.5%

11.0%

See: Updated list of assets eligible as collateral under the Bank of Canada’s SLF and related margin requirements.

For further information please contact:

Jeremy Harrison
Media Relations
Bank of Canada
613 782-8782