From 1 September, to be eligible as Level B collateral in the Bank’s Sterling Monetary Framework, the minimum original issue size of a UK, French or German Regulated Covered Bond will be lowered to £500 million or €500 million, from £1 billion or €1 billion.
Market notice
From 1 September, to be eligible as Level B collateral in the Bank’s Sterling Monetary Framework, the minimum original issue size of a UK, French or German Regulated Covered Bond will be lowered to £500 million or €500 million, from £1 billion or €1 billion.
Beyond this change to the issue size criterion, the other eligibility criteria for RCBs to be Level B collateral are unchanged: the RCB must be a UK, French or German RCB and of the highest credit quality (broadly equivalent to AAA); and the underlying assets must be homogenous pools of UK or EEA social housing loans, public sector debt, or prime residential mortgage loans.
This change reflects developments in benchmark issue sizes for regulated covered bonds and takes account of prudential liquidity requirements.
The term ‘issue size’ means the nominal amount issued, measured at the time of issue, for all RCBs of the same International Securities Identification Number (ISIN) as the RCB for which eligibility is sought.
Covered bonds that do not meet the Level B eligibility criteria, including UK, French or German RCBs with an original issue size of less than £500million or €500million, can continue to be considered for eligibility as Level C collateral. Own-name issued RCBs can continue to be considered for eligibility as Level C collateral.
Covered bonds must also meet the Bank's transparency requirements (see Detailed transparency requirements for asset backed securities and covered bonds - Market Notice 11 October 2019).
Following this change, RCBs that are already eligible as collateral will be reclassified between Level B and C accordingly and the Bank will contact affected participants separately.
Eligibility requests
When requesting eligibility for an RCB (or any other ABS), SMF participants must continue to complete the Bank’s ABS-CERT template and request eligibility by submitting it to the Bank’s Eligible Collateral team for review. (For more details, see the Eligible collateral page)
