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Federal Reserve Bank
of Dallas

HELEN E. HOLCOMB
DALLAS, TEXAS
75265-5906

FIRST VICE PRESIDENT AND
CHIEF OPERATING OFFICER

July 22, 1999
Notice 99-59

TO: The Chief Operating Officer of each
financial institution and others concerned
in the Eleventh Federal Reserve District
SUBJECT
New Margins for the
Valuation of Collateral
DETAILS
The Federal Reserve System periodically reassesses the margins that are used in the
valuation of collateral pledged to the U.S. Treasury and the Federal Reserve for Treasury Tax
and Loan, Discount Window, and Payments Systems Risk purposes. This reassessment helps to
ensure that the collateral margins reflect current market conditions. These margins are used to
account for various risks and are applied both to priced and to nonpriced pledged collateral.
As a result of a recent reevaluation of the current priced and nonpriced collateral
margins, the Federal Reserve System will update the margins effective August 30, 1999. For
priced instruments, the margins decreased for only three asset types: U.S. Treasury Strips, Brady
Bonds, and International Institution Bonds. While many of the nonpriced margins also remained
unchanged, the movement from the current margins ranged from a decrease of 5 percent to an
increase of 10 percent. The updated margins are depicted in the two attached tables. These
margins will be used for all priced and nonpriced collateral held by this Reserve Bank in bookentry and in definitive forms.
We would also like to advise you that, effective immediately, financial institutions
may perform bank to bank repositioning of securities to pledged accounts, free of payment, up
until the closing of the FedwireTM book-entry system (normally 7 p.m. ET). Currently these
transfers may be performed only until the close of the secondary securities market. This change
will allow the interbank movement of securities between ABAs for the pledging of collateral for
Discount, Payments Systems Risk, Treasury Tax and Loan, Circular 154, Circular 176, and state
and local government purposes.

For additional copies, bankers and others are encouraged to use one of the following toll-free numbers in contacting the Federal
Reserve Bank of Dallas: Dallas Office (800) 333-4460; El Paso Branch Intrastate (800) 592-1631, Interstate (800) 351-1012;
Houston Branch Intrastate (800) 392-4162, Interstate (800) 221-0363; San Antonio Branch Intrastate (800) 292-5810.

-2-

ATTACHMENTS
Two tables depicting the updated margins are attached.
MORE INFORMATION
For more information regarding Treasury Tax and Loan , please contact Nancy Barton
at (214) 922-6746. For more information regarding the Discount Window, please contact Finlay
Higgins at (214) 922-5335. For information regarding Payments Systems Risk, please contact
Paul Elzner at (214) 922-5590.
For additional copies of this Bank’s notice, contact the Public Affairs Department at
(214) 922-5254.
Sincerely,

Federal Reserve Bank
Discount and PSR Collateral Margins Table*
Collateral Category
U.S. Treasuries:
Bills, Notes, Bonds, Inflation Indexes
Zero Coupons, Strips
U.S. Government Guaranteed Agency:
Notes, Bonds
Zero Coupons, Strips
U.S. Government Sponsored
Enterprises
International Agencies
Brady Bonds
Foreign Governments
Municipal Bonds:
Local General Obligations

Lendable Value for
with Market Prices
(% of Market Price)

Lendable Value for Securities
without Market Prices
(% of Par or Outstanding Principal Balance)
Minimal /1
Normal /2

97%
93%

95%
N/A

N/A
N/A

97%
93%
97%

95%
N/A
95%

N/A
N/A
N/A

93%
87%
93%

90%
60%
90%

90%
60%
90%

94%

85%: 0-3 yrs.
65%: >3 yrs.
85%
80%: 0-3 yrs.
65%: >3 yrs.
80%: 0-3 yrs.
65%: >3 yrs.
85%: 0-3 yrs.
65%: >3 yrs.
N/A

Industrial Revenue Bonds

94%

Corporate Bonds

92%

Asset-Backed Securities (AAA)

95%

90%: 0-3 yrs.
75%: >3 yrs.
90%
85%: 0-3 yrs.
75%: >3 yrs.
85%: 0-3 yrs.
75%: >3 yrs.
90%: 0-3 yrs.
75%: >3 yrs.
80%

Asset-Backed Securities (non AAA)

92%

75%

N/A

Mortgage Backed Securities
(GNMA,FNMA,FHLMC)
Collateralized Mortgage Obligations
(GNMA,FNMA,FHLMC,Private)
Bankers Acceptances and
Commercial Paper
Commercial and Agricultural Loans
and Agency Guaranteed Loans
1-4 Family Residential Mortgages
Home Equity
Commercial Real Estate Loans

95%

90%

N/A

95%

70%

N/A

90%

90%

State General Obligations
State and Local Revenue Bonds

94%
94%

90%: 0-2 yrs.
85%: 0-2 yrs.
75%: >2 yrs.
65%: >2 yrs.
90%
90%
80%
80%
80%: 0-3 yrs.
80%: 0-3 yrs.
60%: >3 yrs.
60%: >3 yrs.
Consumer Loans
80%
80%
* This document is for informational purposes only and is subject to change without notice. This is not binding on the Federal Reserve
System in any particular transaction.
/1 Minimal Risk is defined as investment grade. The Federal Reserve System only accepts securities that are investment grade.
/2 Normal Risk is defined as below investment grade, however considered a "pass-credit" from a regulatory standpoint.

Revised: July 12, 1999

Effective: August 30, 1999

Treasury Tax & Loan (TT&L) Collateral Margins Table

Collateral Category

U.S. Treasuries:
Bills, Notes, Bonds
Zero Coupons, STRIPS
U.S. Government Guaranteed
Agency Debentures
U.S. Government Sponsored
Enterprises
International Agencies
Student Loans
Municipal Bonds:
Local General Obligations

Collateral Value for
Securities or Instruments
With Market Prices
(% of Market Price)

Collateral Value for
Securities or Instruments if
Market Price Not Available
(% of par or O/S Prin Bal*)

97%
93%
97%

95%

97%

95%

93%

90%
80%

94%

Collateral Value for Loans /1
Minimal Risk/2

Normal Risk/3

90%: 0-2 yrs.
75%: >2 yrs.

85%: 0-2 yrs.
65%: >2 yrs.
90%

95%

Industrial Revenue Bonds

94%

Corporate Bonds /4

92%

Mortgage Backed Securities
(GNMA,FNMA,FHLMC)
Collateralized Mortgage Obligations
(GNMA,FNMA,FHLMC,Private)
Bankers Acceptances and
Commercial Paper /4
Commercial and Agricultural Loans

95%

90%: 0-3 yrs.
75%: >3 yrs.
90%
85%: 0-3 yrs.
75%: >3 yrs.
85%: 0-3 yrs.
75%: >3 yrs.
90%: 0-3 yrs.
75%: >3 yrs.
90%

95%

70%

State General Obligations
State and Local Revenue Bonds

94%
94%

90%

1-4 Family Residential Mortgages /5
This document is for informational purposes only and is subject to change without notice.
Notes:
* O/S Prin Bal = Outstanding Principal Balance
/1 Lendable values for loans will be calculated on the outstanding principal balance.
/2 Minimal Risk is defined as investment grade.
/3 Normal Risk is defined as below investment grade, however, considered a "pass-credit" from a regulatory standpoint.
/4 Securities and Instruments are not acceptable if they are issued by a bank, bank holding company, or an affiliate of a bank holding company.
/5 These assets are acceptable for Treasury Tax & Loan purposes for Special Direct Investment Participants only.

Revised: July 12, 1999

Effective: August 30, 1999


Federal Reserve Bank of St. Louis, One Federal Reserve Bank Plaza, St. Louis, MO 63102