The full text on this page is automatically extracted from the file linked above and may contain errors and inconsistencies.
Federal Reserve Bank of Dallas l l★K HELEN E. HOLCOMB DALLAS, TEXAS 75265-5906 FIRST VICE PRESIDENT AND CHIEF OPERATING OFFICER October 13, 1999 Notice 99-87 TO: The Chief Operating Officer of each financial institution and others concerned in the Eleventh Federal Reserve District SUBJECT New Asset Types Acceptable for Discount Window and Payments System Risk DETAILS In response to the increased volume of collateral being pledged to the Federal Reserve for century date change contingency purposes, the Reserve System has approved acceptability and valuation criteria for a number of asset types. Effective immediately, the following asset types are now acceptable for Discount Window and Payments System Risk purposes: Collateralized Bond Obligations Certificates of Deposits Deposit Notes Collateralized Loans Obligations Commercial Mortgage Backed Securities Looking ahead, the Federal Reserve anticipates approving additional asset types as collateral. Future additions will be posted on the Federal Reserve Bank of Chicago’s web site at the following Internet address: http://www.chi.frb.org/loans/loans.html After accessing the web site, select “Collateral” and choose “Table of Valuations for Priced and Non-Priced Collateral.” ATTACHMENT Attached is an updated collateral margin table reflecting the addition of these asset types and the current margins. On the reverse side is a copy of the Treasury Tax and Loan (TT&L) margin table, which is consistent with the one previously included in Notice 99-59. 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- MORE INFORMATION For more information regarding the Discount Window, please contact Finlay Higgins at (214) 922-5335. For information regarding Payments System Risk, please contact Paul Elzner at (214) 922-5590. For more information regarding TT&L, please contact Nancy Barton at (214) 922-6746. 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. Gov't Guaranteed Agencies & U.S. Gov't Sponsored Enterprises: Notes, Bonds Zero Coupons, Strips International Agencies Brady Bonds Foreign Governments Municipal Bonds: Lendable Value for Assets with Market Prices (% of Market Price) 97% 93% 95% N/A N/A N/A 97% 93% 93% 87% 93% 95% N/A 90% 60% 90% N/A N/A 90% 60% 90% 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. 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. 95% 80% N/A 92% 75% N/A 95% 90% N/A 92% 70% N/A 95% 70% N/A 90% N/A Local General Obligations 94% State General Obligations 94% State and Local Revenue Bonds 94% Industrial Revenue Bonds 94% Corporate Bonds 92% Asset-Backed Securities (AAA) (Including CLOs & CBOs) Asset-Backed Securities (non AAA) (Not Including CLOs & CBOs) Mortgage Pass-Through Securities (GNMA,FNMA,FHLMC) Commercial Mortgage Backed Securities (AAA) Collateralized Mortgage Obligations (AAA) (GNMA,FNMA,FHLMC,Private) Certificates of Deposit, Deposit Notes, Bankers Acceptances & Commercial Paper Commercial & Agricultural Loans & Agency Guaranteed Loans 1-4 Family Residential Mortgages Home Equity Loans & Lines Lendable Value for Assets without Market Prices (% of Par or Outstanding Principal Balance) Minimal /1 Normal /2 90%: 0-2 yrs. 75%: >2 yrs. 90% 80% 80%: 0-3 yrs. Commercial Real Estate Loans 60%: >3 yrs. Consumer Loans 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. /2 Normal Risk is defined as not investment grade, however considered a "pass-credit" from a regulatory standpoint. Revised: September 28, 1999 85%: 0-2 yrs. 65%: >2 yrs. 90% 80% 80%: 0-3 yrs. 60%: >3 yrs. 80% 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