5 The Bank s US Dollar repo operations are open to the following: i. any Operational Standing Facilities Participant; or

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1 BANK OF ENGLAND CONSOLIDATED MARKET NOTICE: US DOLLAR REPO OPERATIONS 1 This Market Notice describes the operation of the Bank of England s US dollar repo operations. It consolidates in a single document the currently effective provisions of previous Market Notices in relation to the Bank s US Dollar Repo Operations and so replaces all previous Market Notices relevant to these operations. 2 US dollar repo operations are subject to the terms of the Sterling Monetary Framework Documentation as supplemented and amended by the Supplementary Terms for US dollar repo transactions published by the Bank on 11 May and by this Market Notice (together the US Dollar Repo Terms ). Participants that enter bids in the operations will be deemed to have accepted the US Dollar Repo Terms and their SMF Admission Letters will be deemed to be amended to admit them into the US dollar repo operations. 3 The schedule of US Dollar repo operations is set out on the Bank s website The Bank will continue to keep these operations under review in the light of market conditions. 4 All US dollar repo operations will take the form of unlimited fixed rate repo operations. Eligible institutions 5 The Bank s US Dollar repo operations are open to the following: i. any Operational Standing Facilities Participant; or ii. any OMO Participant whose Group contains an Operational Standing Facilities Participant. Eligible collateral 6 Eligible collateral securities will consist, in addition to the securities routinely eligible in the Bank s short-term OMOs and Operational Standing Facilities as published on the Bank s website 2, of the following ( the Wider Collateral Pool ): Bonds issued by G10 sovereigns rated Aa3/AA- or higher, subject to any settlement constraints

2 Bonds issued by G10 government agencies explicitly guaranteed by national governments, rated AAA. Government Guaranteed Agencies are subject to individual review and additions will not be announced separately. Conventional debt security issues of the Federal Home Loan Mortgage Corporation, the Federal National Mortgage Corporation and the Federal Home Loan Banks system, rated AAA. UK, US and EEA covered bonds rated AAA. The underlying assets may be UK, US or EEA public sector debt, social housing loans, SME loans or commercial mortgages, or UK or EEA prime residential mortgages. The most senior AAA-rated tranches of UK, US and EEA asset-backed securities (ABS) backed by credit cards issued to prime borrowers; and the most senior AAArated tranches of UK and EEA prime residential mortgage-backed securities (RMBS). Un-listed ABS and RMBS will not be eligible. The most senior AAA-rated tranche of UK, US and EEA prime asset-backed securities (ABS) backed by student loans; consumer loans; auto loans; social housing loans and certain equipment leases. The most senior AAA-rated tranche of UK, US and EEA commercial mortgagebacked securities (CMBS). Securities containing construction loans will not be eligible. The collateral pool must be high quality and diversified. The most senior AAA-rated tranche of UK, US and EEA securitised portfolios of senior secured or on-balance sheet, high-quality corporate loans, or SME loans. Leveraged loans are not permitted. The most senior AAA-rated tranche of UK, US and EEA securitised portfolios of corporate bonds rated A3/A- or higher. High-yield bonds are not permitted. Some types of UK, US and EEA asset-backed commercial paper (ABCP) with the highest short-term ratings (A-1+/P1/F1+). Only the most senior paper will be accepted. A liquidity line must be in place from a bank rated A1/A+ or higher. The eligibility of individual programmes must be agreed with the Bank. The Bank will assess programmes against criteria that must be satisfied by the underlying assets and against transparency requirements. The underlying assets must be of a type that is

3 itself eligible for delivery in the Bank s extended-collateral long-term repo OMOs as set out above. UK, EEA or US covered bonds or ABS backed by certain Export Credit Agency guaranteed loans, rated AAA. These will be subject to individual review. Bank debt guaranteed under HM Government s Credit Guarantee Scheme for bank debt announced on 8 October Senior bank debt that is guaranteed under certain non-uk sovereign bank debt guarantee schemes. Various schemes have now been reviewed and are considered eligible. The eligibility of sovereign-guaranteed bank debt schemes is reviewed at the Bank s discretion, in the light of requests from counterparties. The debt must be due to mature prior to the expiry date of the relevant guarantee. 7 In certain cases where the Bank has had to do extensive due diligence to determine whether a particular asset is eligible for inclusion in its operations, these costs may be charged back to the relevant Participant. 8 The following further requirements apply: In each case the underlying assets must be cash, not synthetic. Securities whose rating is on the basis of a guarantee or insurance provided by a third party ( a wrap ) will not be eligible. Own-name covered bonds and securities will be accepted, for the time being. 9 Securities may be denominated in sterling, euro, US dollars, Australian dollars, Canadian dollars, Swedish krona, Swiss francs, or in the case of Japanese Government Bonds and bank debt issued under the UK government s Credit Guarantee Scheme, yen. 10 Credit ratings as set out above or their equivalent must have been provided by two or more of Fitch, Moody s and Standard and Poor s. 11 Securities must be capable of being delivered to the Bank via the delivery mechanisms specified in the Settlement Arrangements section below. 3

4 12 The Bank will keep under review the list of securities eligible as collateral in these operations. 13 The Bank forms its own independent view of the risks in the collateral it takes in its operations and reserves the right to reject any security offered or provided as collateral, for any reason, at any time. Should collateral be downgraded below the minimum credit ratings set out above, the Bank would normally seek to understand the circumstances of the downgrade before determining whether that merited any change to the security's eligibility. Margin arrangements 14 Haircuts for narrow collateral are as set out in Annex 5 of the SMF Operating Procedures; haircuts for the wider collateral are set out in the Annex to this Market Notice. 15 US dollar term repo operations will be re-margined 4 separately from other OMOs. Margin securities may consist of any securities that meet the requirements for Eligible Collateral set out above. The deadline for settlement of margin securities is 1.30pm. Concentration Limits 16 Collateral concentration limits apply to US dollar repo operations. These are set out in Section 7.6 of the Operating Procedures, and from 16 June will be amended as set out in the Market Notice published on 30 April For these purposes: Bonds issued by G10 government agencies explicitly guaranteed by national governments should be aggregated with bonds issued directly by the relevant government and treated as a single issuer. Bank debt guaranteed under HM Government s Credit Guarantee Scheme will be considered as HM Government exposure and so will not be subject to concentration limits. Bank debt issued under non-uk national bank debt guarantee schemes should be aggregated with securities directly issued, or guaranteed, by the relevant national government. 4 In accordance with clause B.3 (Margin maintenance) of the Terms and Conditions for Participation in the Bank of England s Operations under the Sterling Monetary Framework. 5

5 Issues in each asset class (RMBS and covered bonds backed by residential mortgages; CMBS and covered bonds backed by commercial mortgages; ABS backed by corporate loans and bonds; ABS backed by credit cards and other consumer debt) from a particular issuer or originator should be aggregated with other such issues in that asset class from issuers within the same group and treated as a single issuer; but issues need not be aggregated across asset classes. Collateral Checking 18 Lists of collateral securities to be checked for eligibility by the Bank ahead of prepositioning should be submitted to the Bank at the following address: usdrepoeligibilitycheck@bankofengland.co.uk. They should be accompanied by a formal assurance of compliance with the criteria specified above. Participants have a responsibility to ensure that collateral securities comply with the Bank s eligibility criteria. Pre-positioning 19 Participants must submit to the Bank as early as possible ahead of the operation a list of the specific securities they propose to deliver as collateral, so that the Bank can assess its eligibility. Participants are also encouraged to pre-position collateral with the Bank ahead of the operation. Bidding arrangements 20 The Bank will announce at 07.45, details of the day s US dollar term repo operation. It will make a further announcement at of the rate applicable for that day s operation. 21 Operations will take place at London time. The closing time for bids will be The results will be announced at or as soon as possible thereafter Bids should be submitted via telephone to the Bank s sterling money market desk. Participants must state the total amount of funds for which they wish to apply. There will be no maximum bid size. 23 The minimum bid amount is $5 million and the minimum bid increment is $1 million. 24 Interest will be calculated on an Act/360 money market basis. 6 On the day of the announcement, results will be copied to Subsequently they will be stored on

6 Settlement arrangements 25 Settlement of the one-week operations will take place on T+1 basis. The settlement convention for other operations will be announced if and when these are scheduled. 26 The Bank will not advance funds until it has confirmed the eligibility of the collateral received. Participants may deliver securities routinely eligible in the Bank s short-term OMOs or conventional US Treasury securities initially and substitute other eligible collateral subsequently. Participants may not substitute securities held as collateral in the Bank s US dollar term repo operations on the settlement day of other US dollar term repo operations, except at the Bank s discretion. 27 Securities to be delivered as collateral must be confirmed to the Bank by on the day of settlement using the confirmation template supplied by the Bank. 28 The deadline for delivery of securities in the Wider Collateral Pool is on the day of settlement. Where those securities are being delivered in substitution for securities already held by the Bank and those other securities are required at an earlier point in the day, delivery of securities to the Bank should be effected well in advance of that earlier time. The Bank reserves the right not to effect a substitution if securities are not delivered on time. 29 Those securities that are routinely eligible in the Bank s short-term repo OMOs should be delivered in accordance with the SMF Operating Procedures. US Treasury securities should be delivered free-of-payment across Fedwire to the Bank of England s account at the Federal Reserve Bank of New York (FRBNY). Securities in the Wider Collateral Pool must be deliverable through the following mechanisms: (i) (ii) (iii) (iv) (v) via CREST; via the European Correspondent Central Banking Model (CCBM); for instruments issued directly into the International Central Securities Depositories, via Euroclear or Clearstream; to the Bank of England's accounts at the Federal Reserve Bank of New York; Bank of New York Mellon (DTC only); the Bank of Canada; or, in the case of Japanese Government bonds only, the Bank of Japan; via international links maintained by Euroclear;

7 (vi) (vii) via international links maintained by Clearstream, for the time being; via such other delivery mechanism as the Bank shall specify. 30 The Bank reserves the right to reject any security offered for any reason at any time. 31 Collateral provided must have an adjusted market value that is at least equal to the amount of dollar funds allocated, plus interest. Where necessary, valuations should be converted into dollars using the exchange rates published on the RBS fixings pages available on Reuters or Bloomberg (on pages RBSFIX01 or RBSQ respectively) at on the previous day. The Bank reserves the right to use other prices at its discretion. 32 On the maturity date of transactions, dollar funds should be delivered to the Bank by London time. Subject to prior agreement with the Bank, Participants may combine payments to be made or returned on the same day into a single transaction of a net amount. Bank of England 11 May 2010

8 Annex 1: Haircuts for Wider Collateral Pool G10 sovereign paper Bank and building society debt securities guaranteed under specified government guarantee schemes Government guaranteed agencies and US GSEs or ABS or covered bonds backed by ECA loans RMBS, covered bonds backed by residential mortgages or social housing loans ABS backed by credit cards and other consumer debt or social housing loans ABS backed by corporate or SME loans and corporate bonds, or SME covered bonds CMBS, covered bonds backed by commercial mortgages Credit rating Aa3/AA- or higher Coupon Zero Aaa/AAA Aaa/AAA Aaa/AAA Aaa/AAA Aaa/AAA Coupon All floating rate Fixed interest rate up to 1 year maturity Fixed interest rate 1-3 years to maturity Fixed interest rate 3-5 years to maturity Fixed interest rate 5-10 years to maturity n/a Fixed interest rate years to maturity n/a Fixed interest rate years to maturity n/a Fixed interest rate more than 30 years to maturity n/a

9 Additional notes For haircuts on collateral routinely accepted in the Bank s short-term OMOs, see the Sterling Monetary Framework Operating Procedures. Note on calculation: adjusted collateral value (post-haircut) = collateral value x (100 haircut) %. Haircuts for asset-backed commercial paper (ABCP) will be determined by the Bank for each issue following the agreement of the specific ABCP programme and will in general be in the range of 12 percentage points 25 percentage points depending on the underlying asset classes and the diversification of the pool. An additional 6 percentage points is added to haircuts to allow for currency volatility when securities are non-dollar. A further haircut add-on of 2 percentage points is applied to yen-denominated securities to allow for higher volatility in the dollar/yen exchange rate. A haircut add-on of 5 percentage points will be applied to own-name eligible covered bonds, RMBS, CMBS, ABS and securitised portfolios of corporate bonds and loans where appropriate. A haircut add-on of 5 percentage points will be applied to eligible collateral for which no market price is observable. The Bank may make further specific add-ons to the haircuts for particular eligible collateral at its discretion. Haircut add-ons will be kept under review. The Bank reserves the right to alter them at any time, including on outstanding transactions. Credit ratings must have been provided by two or more of Fitch, Moody s, and Standard and Poor s. 9

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