Changes to Requirements for Assets Accepted as Collateral under the Bank of Canada's Standing Liquidity Facility

As part of an ongoing review of collateral policy related to the Bank of Canada's Standing Liquidity Facility (SLF), the Bank is adjusting the credit-rating requirements for assets acceptable as collateral. This change follows adjustments to the margin requirements announced on 17 June 2010.

The changes are summarized as follows:

• All non-Government of Canada securities will be subject to credit rating requirements.
• All securities will require a minimum of two credit ratings, at or above the minimum required credit-rating threshold.
• Margin requirements that are based on credit ratings will be determined using the second-highest credit rating.
• Acceptable rating agencies will be expanded to include Fitch Ratings, in addition to the Dominion Bond Rating Service, Moody's Investors Service, and Standard & Poor's.

These revisions will be effective 7 September 2010.

See: Assets Eligible as Collateral under the Bank of Canada’s Standing Liquidity Facility

The Bank is contributing to international efforts to review the role and use of external credit ratings, and will take any resulting recommendations into account in its own ongoing review of the SLF collateral policy.

For further information please contact:
Jeremy Harrison
Bank of Canada
613 782-8782