QE and securities lending
In 2014 the Eurosystem initiated an asset purchase programma (APP) as part of its unconventional monetary policy toolkipt. Under the APP, the Eurosystem purchases debt securities issued by public sector entities (PSPP), covered bonds issued by banks (CBPP3), investment grade corporate bonds (CSPP) and asset back securities (ABSPP). In 2020 the existing purchase programmes have been complemented by the addition of the Pandemic Emergency Purchase Programme. The majority of purchases conducted for the APP and PEPP in the Netherlands is executed by DNB. DNB is making the holdings of securities purchased under the public sector purchase programme (PSPP and PEPP) available for securities lending.
The securities will be made available in two different formats:
Bilateral repo’s (and reverse repo’s)
The arrangement is aimed at financial institutions acting as counterparty for the PSPP in Dutch fixed income instruments, after having finalized the contractual documentation in which terms and conditions (o.a. collateral, haircuts) are specified.
As of 15 December 2016, DNB will accept cash as collateral in the securities lending facility. DNB will also continue to accept EMU-government bonds with a minimum rating of AA as collateral. Bonds can be lent with a maturity of at least 1 week up to at most 1 month,with the possibility of roll over. Furthermore a maximum ticket size of EUR 50 mln and specific counterparty limits are applicable. The fee on the transactions is as following:
For bond collateral:
From 5 bps spread onwards, depending on market conditions.
For cash collateral:
Ranging from GC-5 bps to GC-25 bps, depending on market conditions, but in any case lower than the rate on the deposit facility minus 20 bps (currently -0,70%).
Fails mitigation lending
De Nederlandsche Bank (DNB) participates in Euroclear Bank SA/NV’s Securities Lending and Borrowing Programme (SLB) for purposes of mitigating fails. The terms and conditions of the programme are the standard conditions defined by Euroclear. Please contact Euroclear Bank SA/NV for further information.
List of available ISINs
Almost all bonds issued by the Dutch government, Bank Nederlandse Gemeente and Nederlandse Waterschapsbank are available. A recent list of securities available for securities lending can be found in the excel file below.
Primary dealers can contact the Financial Markets Division via email@example.com or +31 20 5205000.