• This website sets cookies on your device. To find out more about how we use cookies please refer to our Privacy and Cookie Policy. By continuing to use the site, we’ll assume that you are content for us to set these on your device.
  • Close
Home > Markets > Sterling Monetary Framework > Sterling Monetary Framework - Eligible Collateral
 

Sterling Monetary Framework - Eligible Collateral

When the Bank lends in its operations, it does so against collateral of sufficient quality and quantity to protect itself from counterparty credit risk. If the counterparty fails to repay when due, the Bank can sell or retain the collateral to make good any loss it may face. The Bank publishes high-level collateral eligibility criteria for its operations, which set a baseline for the credit quality and liquidity of collateral accepted. Ratings assigned by the rating agencies, where used in the Bank's private sector collateral eligibility criteria, only play a role by publicly indicating the broad standards of credit quality expected in the securities accepted. The Bank forms its own independent view of the risk in the collateral taken and only accepts collateral that it can value and risk manage effectively.

More detail on the Bank's approach to taking collateral in its operations is set out in the Red Book:

PDF icon Red Book - Chapter VII - Collateral (251KB)

For details on eligible collateral accepted by the Bank in different operations and facilities, use the links below:

PDF icon Level A Collateral (181KB)
PDF icon Level B Collateral (125KB)
PDF icon Level C Collateral Securities (116KB)
PDF icon Level C Loan Collateral (84KB)

For full details on procedures for delivering eligible collateral, see the current Operating Procedures in SMF Documentation.

The table below sets out which levels of collateral are eligible for which operation or facility:

 

Collateral                                                  ​Level A Level B Level C
​RTGS ​Y ​N N​
​Operational Standing Facilities ​Y ​N ​N
​Short-Term Repo OMOs ​Y ​N ​N
​Indexed Long-Term Repo OMOs ​Y ​Y Y
​Discount Window Facility ​Y ​Y ​Y
​Contingent Term Repo Facility ​Y ​Y ​Y
​Funding for Lending Scheme ​Y Y​ ​Y
 

The collateral detailed above is summarised below:

PDF icon Summary table of collateral (55KB)

Haircuts applied to collateral

PDF icon Summary table of haircuts for Bank lending operations (29KB)
PDF icon Summary table of margin ratios for Bank draining operations (16KB)

    Market Notices

    The main SMF Documentation sets out what collateral is eligible in each operation/facility. Its provisions may be amended by the Bank from time to time by Market Notices.

      Market Notice: Sterling Monetary Framework - National Loan Guarantee Scheme
    (100KB)
    20 March 2012

    Information for Participants

    List of Level A collateral eligible securities (367KB)

    Questions on the eligibility of securities can be sent to eligible.securities@bankofengland.co.uk

    Questions on the eligibility of loan portfolios can be sent to eligible.loans@bankofengland.co.uk

     
    Settlement Templates

    Combined OMO/IDL & Dollar Swap confirmation templates (151KB)
    OMO/IDL and Dollar Swap confirmation user guide (420KB)
    CTRF confirmation template (60KB)
    CTRF confirmation user guide (284KB)
    DWF confirmation template (185KB)
    DWF confirmation user guide (299KB)
    Top Up and Draw Down confirmation (49KB)
    Top Up and Draw Down confirmation user guide (49KB)
    CTRF Loan Collateral Transfer Notice (110KB)
    ILTR Loan Collateral Transfer Notice (111KB)

     
    Information Transparency
     

     Market Notice: Information Transparency for Asset-Backed Securities
    (12KB)
    Effective 19 July 2010

     
    RMBS & Covered Bonds

    Market Notice: Information Transparency on Asset-Backed Securities: eligibility requirements for RMBS and covered bonds backed by residential mortgages (178KB)
    02 October 2012

    word icon Transaction Overview Template - Covered Bonds (382KB)
    pdf icon Transaction Overview Template - Covered Bonds (307KB)
    word icon Transaction Overview Template - RMBS Standalone (462KB)
    pdf icon Transaction Overview Template - RMBS Standalone (285KB)
    word icon Transaction Overview Template - RMBS Master Trust (406KB)
    pdf icon Transaction Overview Template - RMBS Master Trust (326KB) 
    Excel Icon Residential Mortgages loan level data template (109KB)
    xls icon Residential Mortgages loan level data template (277KB)

     (Guidance will be effective from 1 September 2014)
     
    CMBS 

     Market Notice: Information Transparency for Asset-Backed Securities
    (91KB) SME CLOs, CMBS and ABCP securities
    20 December 2011

     Detailed Information Transparency on Asset-Backed Securities for CMBS
    (141KB)
    20 December 2011

    word icon Transaction Overview Template - CMBS Standalone (406KB)
    pdf icon Transaction Overview Template - CMBS Standalone  (307KB) 
    Excel Icon CMBS loan level data template (109KB)
    pdf icon CMBS loan level data template  (307KB)

     
    SME CLO

     Market Notice: Information Transparency for Asset-Backed Securities
    (91KB) SME CLOs, CMBS and ABCP securities
    20 December 2011

     Detailed Information Transparency for Asset-Backed Securities for SME CLOs
    (159KB) 20 December 2011

    word icon Transaction Overview Template - SME CLO Standalone (406KB)
    pdf icon Transaction Overview Template - SME CLO Standalone  (307KB)
    Excel Icon SME CLO loan level data template (109KB)
    pdf icon SME CLO loan level data template  (307KB)

       
      Auto Loan ABS

       Market Notice: Information Transparency for Asset-Backed Securities
      (38KB) Consumer Loans, CMBS Auto Loans and Leasing ABS
      17 December 2012

       Detailed Information Transparency for Asset-Backed Securities for Auto Loan ABS  (117k) 17 December 2012

      word icon Transaction Overview Template - Auto Loan ABS (407KB)
      pdf icon Transaction Overview Template - Auto Loan ABS (392KB)
      Excel Icon Auto loan ABS loan level data template (339KB)
      pdf icon Auto loan ABS loan level data template  (104KB)

       
      Consumer Loan ABS

       Market Notice: Information Transparency for Asset-Backed Securities
      (38KB) Consumer Loans, CMBS Auto Loans and Leasing ABS
      17 December 2012

       Detailed Information Transparency for Asset-Backed Securities for Consumer Loan ABS 
      (116KB) 17 December 2012

      Transaction Overview Template - Consumer Loan ABS  (548KB)
      Transaction Overview Template - Consumer Loan ABS  (348KB)
      Excel Icon Consumer loan ABS loan level data template (42KB)
      pdf icon Consumer loan ABS loan level data template  (139KB)

         
      Leasing ABS

       Market Notice: Information Transparency for Asset-Backed Securities
      (38KB) Consumer Loans, CMBS Auto Loans and Leasing ABS
      17 December 2012

       Detailed Information Transparency for Asset-Backed Securities for Leasing ABS  (113KB) 
      17 December 2012

      Excel Icon Leasing ABS loan level data template (34KB)
      pdf icon Leasing ABS loan level data template  (204KB)

         
      ABCP

       Market Notice: Information Transparency for Asset-Backed Securities
      (91KB) SME CLOs, CMBS and ABCP securities
      20 December 2011

       Detailed Information Transparency on Asset-Backed Securities for ABCP (140KB)
      20 December 2011

        Back to the top