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:
Red Book - Chapter VII - Collateral (844KB)
For details on eligible collateral accepted by the Bank in different operations and facilities, use the links below:
Narrow OMO Collateral (65KB)
Wider OMO Collateral (41KB)
DWF Collateral Securities (42KB)
DWF Loan Collateral (84KB)
For full details on procedures for delivering eligible collateral, see the current Operating Procedures in Documentation.
The table below sets out which collateral pools are eligible for which operation or facility:
The collateral detailed above is summarised below:
Summary table of collateral (20KB)
Haircuts applied to collateral
Summary table of haircuts for Bank lending operations (19KB)
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 narrow 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 (122KB)
OMO/IDL and Dollar Swap confirmation user guide (330KB)
ECTR confirmation template (49KB)
ECTR confirmation user guide (185KB)
DWF confirmation template (123KB)
DWF confirmation user guide (173KB)
Top Up and Draw Down confirmation (49KB)
Top Up and Draw Down confirmation user guide (49KB)
Loan Collateral Transfer Notice (266KB)
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
Transaction Overview Template - Covered Bonds (382KB)
Transaction Overview Template - Covered Bonds (307KB)
Transaction Overview Template - RMBS Standalone (462KB)
Transaction Overview Template - RMBS Standalone (285KB)
Transaction Overview Template - RMBS Master Trust (406KB)
Transaction Overview Template - RMBS Master Trust (326KB)
Residential Mortgages loan level data template (109KB)
Residential Mortgages loan level data template (277KB)
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
Transaction Overview Template - CMBS Standalone (406KB)
Transaction Overview Template - CMBS Standalone (307KB)
CMBS loan level data template (109KB)
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
Transaction Overview Template - SME CLO Standalone (406KB)
Transaction Overview Template - SME CLO Standalone (307KB)
SME CLO loan level data template (109KB)
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
Transaction Overview Template - Auto Loan ABS (407KB)
Transaction Overview Template - Auto Loan ABS (392KB)
Auto loan ABS loan level data template (339KB)
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)
Consumer loan ABS loan level data template (42KB)
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
Leasing ABS loan level data template (34KB)
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
