This Market Notice describes the operation of the Bank of England’s USD Repo Operations. It consolidates the currently effective provisions of previous Market Notices in relation to the Bank’s USD Repo Operations and so replaces all previous Market Notices relevant to these operations.
USD Repo Operations are subject to the terms of the Sterling Monetary Framework (“SMF”) Documentation as supplemented and amended by the Supplementary Terms for USD Repo Operations published by the Bank on 5 November 2014 and by this Market Notice (together the “USD Repo Terms”).
Participants that enter bids in the operations will be deemed to have accepted the USD Repo Terms and their SMF Admission Letters will be deemed to be amended to admit them into the USD Repo Operations.
An indicative schedule of USD Repo Operations is set out on the Bank’s website. The Bank of England will, on a regular basis, assess the need for US dollar liquidity-providing operations. It will take into account the fact that standing swap lines have created a framework for the provision of US dollar liquidity to counterparties if warranted by market conditions.
All USD Repo Operations will be unlimited fixed-rate SMF Advances, as defined in the SMF Documentation.
The Bank’s USD Repo Operations are open to the following:
i) any Operational Standing Facilities Participant (except CCPs); or
ii) ii) any OMO Participant whose Group contains an Operational Standing Facilities Participant.
The full range of SMF collateral, comprising Level A, B and C collateral sets (including loan pools), will be eligible for USD Repo Operations.
Haircuts and margin arrangements
Haircuts for Level A, Level B and Level C collateral sets, including add-ons applied to securities which are non-USD denominated, are as provided on Summary of haircuts for securities eligible for the Bank’s lending operations.
USD Repo Operations will be re-margined separately from other OMOs. Margin securities may consist of any securities that are eligible collateral. The deadline for settlement of margin securities is 13.30 London time.
Collateral concentration limits as set out in the SMF Operating Procedures apply to collateral delivered under the USD Repo Operations.
Lists of collateral securities to be checked for eligibility by the Bank ahead of pre-positioning should be submitted to the Bank at the following address: [email protected]. It is a Participant’s responsibility to ensure that collateral securities comply with the Bank’s eligibility criteria.
Loan collateral must be pre-positioned in accordance with the SMF Operating Procedures.
Delivery of collateral
Participants are encouraged to deliver collateral securities to the Bank ahead of the operation, into their main collateral pool.
Loan collateral must be held in the Participant’s Loan Pre-Positioning Pool before the day of the operation.
The Bank will announce details of the day’s weekly 7-day and 84-day USD Repo Operation and the rate applicable for that day’s operation at 08.15 London time. The weekly 7-day and 84-day operations will take place at 08.15 London time. The closing time for bids will be 08.45 London time.
The results of the day’s USD repo operations will be announced at 10.00 London time or as soon as possible thereafter.
Bids should be submitted via the Bank’s electronic tendering system, Btender. The Bank may, at its discretion, accept bids submitted by telephone to the Bank’s sterling money market desk. Participants must state the total amount of funds for which they wish to apply. There will be no maximum bid size.
The pricing on both the 7-day and 84-day standing U.S. dollar liquidity swap arrangements will be the matched maturity U.S. dollar overnight index swap (OIS) rate plus 25 basis points.
The minimum bid amount is $5 million and the minimum bid increment is $1 million.
Interest will be calculated on an Act/360 money market basis.
Settlement of the weekly 7-day and the weekly 84-day operations will typically take place on a T+1 basis. The settlement convention for other operations will be announced if and when these are scheduled.
The Bank will not advance funds until it has confirmed the eligibility of the collateral received. Participants may deliver securities routinely eligible in the Bank’s Level A collateral set or conventional US Treasury securities initially and substitute other eligible collateral subsequently. Participants may not substitute securities held as collateral in the Bank’s USD Repo Operations on the settlement day of other USD Repo Operations, except at the Bank’s discretion.
Securities to be delivered as collateral must be confirmed to the Bank by 08.00 London time on the day of settlement in accordance with the SMF Operating Procedures.
Securities should be delivered in accordance with the SMF Operating Procedures. US Treasury securities should be delivered free-of-payment across Fedwire to the Bank of England’s account at the Federal Reserve Bank of New York (FRBNY).
The Bank reserves the right to reject any security offered for any reason at any time.
The Participant may transfer collateral held in the main collateral pool into their USD repo pool as required, providing the main collateral pool is not left under- collateralised.
Collateral provided must have an adjusted market value that is at least equal to the amount of dollar funds allocated, plus interest. Where necessary, valuations should be converted into dollars using the exchange rates published at 16.00 London time on the previous day. The Bank reserves the right to use other prices at its discretion.
On the maturity date of transactions, dollar funds should be delivered to the Bank by 14.30 London time. Subject to prior agreement with the Bank, Participants may combine payments to be made or returned on the same day into a single transaction of a net amount.