The Bank of England (BoE) released its quarterly bulletin and said that primary sterling RMBS markets remain effectively closed, at least for publicly issued securities. In general, the bank said that it did not expect a sustained improvement in market conditions during 2009.

The bulletin made mention of the Asset Purchase Facility and the government guarantee scheme but again there was very little new context and in relation to securitization and it restated that they will accept a limited range of ABS in viable structures.

The report gave some background on the special liquidity scheme (SLS) that closed in January this year. Thirty two banks and building societies accessed the Scheme - In aggregate, those firms accounted for over 80% of the combined sterling balance sheets of the financial institutions eligible to use the Scheme.

The Bank announced that Treasury bills with a face value of approximately £185 billion ($259 billion) had been lent under the Scheme.

Most of the securities held by the Bank as collateral in the Scheme have been residential mortgage-backed securities or covered bonds secured on pools of residential mortgages. 

As of Jan. 30, the total nominal 'par' value of this collateral amounted to approximately £287 billion. The Bank's valuation of those securities at that time was approximately £242 billion, an effective discount to par of about 16%.

Subscribe Now

Access to a full range of industry content, analysis and expert commentary.

30-Day Free Trial

No credit card required. Access coverage of the securitization marketplace, including breaking news updated throughout the day.