Summary of haircuts for securities of eligible for the Bank's lending operations

Sterling Monetary Framework

Summary of haircuts for securities eligible for the Bank's lending operations

<1 yr 1-3 yrs 3-5 yrs 5-10 yrs 10-20 yrs 20-30 yrs >30 yrs

Coupon 0.5 0.5 1.5 2.0 3.5 6.0 8.5 10.0

Zero

coupon

0.5 0.5 1.5 2.5 3.5 7.0 10.5 15.0

Coupon 0.5 0.5 1.5 2.0 3.5 7.0 8.5 10.0

Zero

coupon

0.5 0.5 1.5 2.5 4.0 7.5 10.5 15.0

Coupon 0.5 0.5 1.5 2.5 4.0 7.0 10.5 13.0

Zero

coupon

0.5 0.5 1.5 2.5 4.5 8.5 13.0 16.5

Coupon 0.5 0.5 2.0 2.5 3.5 6.5 8.5 10.0

Zero

coupon

0.5 0.5 2.0 2.5 4.0 8.0 11.5 18.0

3.0 3.0 5.0 6.0 8.0 10.0 13.0 15.0

Sterling Sukuk issued by HM Government, directly held in Euroclear or Clearstream.

3.0 3.0 5.0 6.0 8.0 10.0 13.0 15.0

3.0 3.0 5.0 6.0 n/a n/a n/a n/a

3.0 3.0 5.0 6.0 8.0 10.0 13.0 15.0

12.0 12.0 14.0 15.0 17.0 19.0 22.0 24.0

15.0 15.0 17.0 18.0 20.0 22.0 25.0 27.0

25.0 25.0 27.0 28.0 30.0 32.0 35.0 37.0

3.0 3.0 5.0 6.0 8.0 10.0 13.0 15.0

20.0 20.0 22.0 23.0 25.0 27.0 30.0 32.0

3.0 3.0 5.0 6.0 n/a n/a n/a n/a

30.0 30.0 32.0 33.0 35.0 37.0 40.0 42.0

Rate and Maturity

Floating

Fixed

Level A: Sovereign and central bank debt (including associated strips) of the UK

issued in either sterling, euro, US dollar or Canadian dollar.

Level A: Sovereign and central bank debt (including associated strips) of Canada,

France, Germany, the Netherlands and the United States issued in either the

domestic currency or in sterling, euro, US dollar or Canadian dollar.

Level B: Sovereign and central bank debt (including associated strips) of Australia,

Austria, Belgium, Denmark, Finland, Ireland, Italy, Japan, Luxembourg, New

Zealand, Norway, Portugal, Spain, Sweden and Switzerland, issued in either the

domestic currency or in sterling, euro or US dollar.

12 January 2024

UK and EEA asset-backed securities (ABS) backed by student loans and consumer loans.

Sterling, euro, US and Canadian dollar denominated securities issued by major

international institutions.

Bonds issued by G10 government agencies explicitly guaranteed by national governments, of

the highest credit quality (broadly equivalent to AAA).

Debt issued by HM Government and denominated in a currency other than sterling, euro, US

dollars or Canadian dollars, and directly held in Euroclear or Clearstream.

Debt issued under the National Loans Guarantee Scheme announced on 20 March 2012.

Conventional debt issued by Federal Home Loan Mortgage Corporation (Freddie Mac), the

Federal National Mortgage Corporation (Fannie Mae) and the Federal Home Loan Banks

System, of the highest credit quality (broadly equivalent to AAA).

UK and EEA residential mortgage-backed securities (RMBS).

Covered bonds. The underlying assets may be either UK or EEA public sector debt, social

housing loans or residential mortgages.

UK, US and EEA asset-backed securities (ABS) backed by credit cards.

UK, US and EEA asset-backed securities (ABS) backed by auto loans and certain equipment

leases.

US asset-backed securities (ABS) backed by student loans and consumer loans.

UK, US and EEA commercial mortgage-backed securities (CMBS). Securities containing

construction loans will not be eligible. The pool must be diversified.

UK, US and EEA covered bonds where the underlying assets include SME loans or

commercial mortgages.

UK, EEA or US covered bonds or ABS backed by certain Export Credit Agency guarantee

loans. These will be subject to individual review.

UK, US and EEA securitised portfolios of senior secured or on-balance sheet, corporate loans

or SME loans. Leveraged loans are not permitted.

UK, US and EEA securitised portfolios of corporate bonds. Portfolios containing high-yield

bonds are not permitted.

In the range of 12 percentage points to 30 percentage points depending on the

underlying asset classes and the diversification of the pool.

Senior bank debt that is guaranteed under certain non-UK sovereign bank debt guarantee

schemes. The eligibility of sovereign-guaranteed bank schemes is reviewed at the Bank's

discretion in light of requests from counterparties. The debt must be due to mature prior to the

expiry date of the relevant guarantee.

Portfolios of conventional, listed, senior corporate bonds, with a minimum amount in issue of

£100mn, and of credit quality broadly equivalent to A3/A- or above and commercial paper of

credit quality broadly equivalent to a short term rating of A2/P2/F2, issued by non-financial

companies in the UK, US and the EEA.

5pp is added to eligible collateral for which no market price is observable.

A haircut add-on of 5 percentage points is applied to own-name eligible covered bonds, RMBS, CMBS, ABS and portfolios of corporate bonds where appropriate.

Some types of UK, US and EEA asset-backed commercial paper (ABCP) of credit quality

broadly equivalent to a short term rating of A-1+/P1/F1+. Only the most senior paper will be

accepted and the eligibility of individual programmes must be agreed with the Bank.

Underlying assets must be of a type that are eligible for the operation.

A haircut add-on may be applied for portfolios of corporate bonds that are not well diversified, where the largest single bond concentration by market value exceeds 2% of the total

market value of corporate bonds delivered.

For drawings in the Discount Window Facility against gilts, a haircut is applied to the drawing amount to protect against changes in the market value of the gilts lent. This haircut

is equal to the haircut on coupon-paying UK sovereign debt of 10-20y maturity.

The Bank reserves the right to apply additional haircuts to any individual security at any time, including on collateral delivered in an outstanding transaction.

Haircut add-ons will be kept under review. The Bank considers the role of rating agencies, the evolution of the securitisation regulatory environment and the principles attached to

such frameworks as part of the review process. Consideration of the eligibility of securities at other central banks is also made. The Bank remains independent in its assessment

and only accepts collateral that it can value and risk manage effectively in the bounds of its risk appetite.

Note on calculation: adjusted collateral value (post-haircut) = collateral value * (100 - haircut)/100