The Bank of Canada today announced that it will begin accepting U.S. Treasury securities as collateral under its Standing Liquidity Facility.

As the Bank indicated last December, it is expanding the list of securities eligible to be pledged as collateral for the Standing Liquidity Facility to include marketable securities issued by the U.S. Treasury (bills, notes and bonds, including Treasury Inflation-Protected Securities). This change will be effective June 30.

The Bank also announced margin requirements that will be applied to account for the price risk of U.S. Treasuries, and the foreign exchange risk, ranging from 4.5% for securities with maturities of less than three years to 9.5% for those with maturities beyond 10 years.

Earlier this year, the Bank also lowered the minimum pool size for eligibility of National Housing Act Mortgage-Backed Securities as collateral under the SLF, to $25 million from $75 million. And, it has also proposed eligibility criteria for accepting asset-backed commercial paper as collateral.