Parameters of the liquidity-providing repo operations

As a preventive measure, the CNB has increased the weekly number of monetary policy operations used to provide liquidity to banks. As from 18 May 2020, it has broadened the range of eligible collateral for these operations, i.e. assets which may be accepted from credit institutions as collateral in exchange for liquidity.

For preventive reasons, it has prepared a liquidity-providing instrument for some non-bank entities licensed by the CNB as from 18 May 2020. These institutions will now be able to obtain liquidity in the form of short-term credit from the CNB.

  Regime applicable
until 17 May 2020 from 18 May 2020 to 31 December 2021
Counterparty banks, foreign bank branches, credit unions banks, foreign bank branches, credit unions insurance companies, pension management companies, management companies
Collateral type GBs, T-bills, CNB bills GBs, T-bills, CNB bills, MBs GBs, T-bills, CNB bills
Haircut 2–4% 2–4% GBs, T-bills, CNB bills
6–42% MBs
2–4%
Maturity 2W 2W, 3M 2W
Minimum trade CZK 10 million CZK 10 million CZK 100 million
Price 2W repo rate 2W repo rate 2W repo rate + 20 bp
Auction days Mon-Wed-Fri Mon-Wed-Fri Tue-Thu

Foreign exchange swaps and collateral exchange

Adjustment of foreign exchange swaps until 31 Dec 2010 from 1 Jan 2011
Maximum maturity: three months two weeks
Haircut: 10% 5%

Note: Foreign exchange swaps are conducted on the basis of a bank’s request for the provision of koruna liquidity against euros. For the purposes of the swap, the exchange rate is lowered by 5% to eliminate exchange rate risk. The other parameters (e.g. delivery after delivery settlement) remain unchanged.

Collateral exchange (from now on a standard operation):

On request, the CNB exchanges collateral settled in the Central Securities Depository for collateral settled in the Short-Term Bond System (SKD). The aim is to provide banks with enough securities to draw intraday credit, for example. The CNB regards collateral exchange as a technical operation rather than a classical monetary operation.

Liquidity-providing repo operations

  • repo operations are announced three times a week (Monday, Wednesday and Friday) and bids are accepted usually between 12.00 a.m. and 1 p.m.;
  • settlement takes place on T+2, Friday operations on T+1;
  • maturity is two weeks;
  • banks’ bids will be fully satisfied at a fixed rate equal to the 2W repo rate;
  • the list of eligible collateral is published on the CNB website; new bond issues will not be added automatically to the list;
  • the haircut is 2% for bills (T-bills and CNB bills) and 4% for other eligible collateral;
  • the minimum bid is CZK 10 million;
  • all counterparties that have concluded a Master Agreement on trading on the financial market with the CNB will be allowed to participate in the repo operations;
  • information on the refinancing facility is published on the CNB website and on the websites of Reuters (page CNB04) and Bloomberg (page CNB).
  • repo operations are announced three times a week (Monday, Wednesday and Friday) and bids are accepted usually between 12.00 a.m. and 1 p.m.;
  • settlement takes place on T+2, Friday operations on T+1;
  • maturity is two weeks for Monday and Friday operations and three months for Wednesday operations;
  • bids will be fully satisfied at a fixed rate equal to the 2W repo rate;
  • the eligible collateral is T-bills, CNB bills, medium-term and long-term government bonds (GBs) and mortgage bonds (MBs);
  • the haircut is 2% for bills (T-bills and CNB bills), 4% for GBs, 6–42% for MBs (see the haircut structure), with MBs issued under the legislation in effect until January 2019 being eligible only until 30 June 2020;
  • the minimum bid is CZK 10 million;
  • all counterparties that have concluded a Master Agreement on trading on the financial market with the CNB will be allowed to participate in the repo operations;
  • information on liquidity-providing repo operations is published on the CNB website and on the Thomson Reuters and Bloomberg websites.
  • repo operations are announced two times a week (on Tuesday and Thursday) and bids are accepted usually between 12.00 a.m. and 1 p.m.;
  • settlement takes place on T+2 for Tuesday operations and T+3 for Thursday operations;
  • maturity is two weeks;
  • bids will be fully satisfied at a fixed rate equal to the 2W repo rate plus 20 bp;
  • the eligible collateral is T-bills, CNB bills, medium-term and long-term government bonds (GBs);
  • the haircut is 2% for bills (T-bills and CNB bills) and 4% for government bonds;
  • the minimum bid is CZK 100 million;
  • all insurance companies, pension management companies and management companies that have concluded a Master Agreement on trading on the financial market with the CNB will be allowed to participate in the repo operations;
  • information on liquidity-providing repo operations is published on the CNB website and on the Thomson Reuters and Bloomberg websites.