View original document

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

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