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l l★K

Federal Reserve Bank
of Dallas

HELEN E. HOLCOMB
FIRST VICE PRESIDENT AND
CHIEF OPERATING OFFICER

January 17, 2001

DALLAS, TEXAS
75265-5906

Notice 01-08
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 used in the valuation
of collateral pledged to the U.S. Treasury and the Federal Reserve for Treasury Tax and Loan
(TT&L), Discount Window, and Payments System Risk purposes. The reassessment helps ensure
that the collateral margins, which are used to account for various risks and are applied to both
priced and non-priced pledged collateral, reflect current market conditions.
Due to a recent reevaluation of the current priced and non-priced collateral margins,
the Federal Reserve System will update the margins effective January 29, 2001. The updated
margins for Discount Window and Payment Systems Risk collateral are depicted in the attached
table. The collateral margins for TT&L purposes will be distributed separately by the St. Louis
Federal Reserve Bank.
ATTACHMENT
Attached is the Discount Window and Payment Systems Risk collateral margins
table. For your convenience, the table is also posted on the Federal Reserve System’s web site at
http://www.chi.frb.org. Please reference the table at the web site periodically as it will always
contain the most current version and will reflect any changes in the acceptable asset types and
associated margins.
MORE INFORMATION
If you have questions regarding the acceptability of assets as collateral for Discount
Window or Payments System Risk purposes or regarding any of the information contained in this

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.

-2notice, please contact Finlay Higgins at (214) 922-5335 (for Discount Window) or Paul Elzner at
(214) 922-5590 (for Payments System Risk).
For additional copies of this Bank’s notice, contact the Public Affairs Department
at (214) 922-5254 or access District Notices on our web site at
http://www.dallasfed.org/banking/notices/index.html.
Sincerely,

Federal Reserve Bank
Discount and PSR Collateral Margins Table*
Effective January 29, 2001

Collateral Category

U.S. Treasuries:
Bills, Notes, Bonds, Inflation Indexes
Zero Coupons, STRIPs
U.S. Government Guaranteed Agencies and Government
Sponsored Enterprises:
Bills, Notes, Bonds, Inflation Indexes
Zero Coupons, STRIPs
Mortgage Pass-Through Securities
International Agencies:
Bills, Notes, Bonds
Zero Coupons, STRIPs
Brady Bonds /2
Foreign Governments /2
Municipal Bonds
Corporate Bonds
Asset-Backed Securities - AAA (including
Collateralized
Loan and Bond Obligations)
Asset-Backed Securities - non AAA (not including
Collateralized Loan and Bond Obligations)
Commercial Mortgage-Backed Securities - AAA
Collateralized Mortgage Obligations - AAA
Bankers Acceptances, Certificates of Deposit &
Commercial Paper
Commercial and Agricultural Loans:
Minimal Risk Rated /3
Normal Risk Rated /4
SBA Guaranteed Loans
Commercial Real Estate Loans:
Time to Maturity 3 years or less
Time to Maturity over 3 years
Construction Real Estate Loans
1-4 Family Residential Mortgages
Home Equity
Consumer Loans
Private Banking Loans

Lendable Value for
Securities or
Instruments with
Market Prices /1
(% of Market Price)

Lendable Value for
Securities or
Instruments if Market
Price Not Available
(% of Par or Current
Value)

Lendable Value for
Loans
(% Current Value)

97%
93%

97%
93%
95%

95%

93%
89%
90%
93%
94%
95%

80%

95%

85%

92%

80%

95%
95%

85%
85%

90%

60%
80%
75%
80%

95%

* This document is for informational purposes only and subject to change without notice. This is not binding on the Federal
Reserve System in any particular transaction.

/1 New issues are valued at 90 percent of par value until they are priced by the Federal Reserve System's pricing vendor(s).
/2 Contact your local Reserve Bank for a list of the foreign denominations currently acceptable.
/3 Minimal Risk is defined as investment grade.
/4 Normal Risk is defined as below investment grade but still a "pass-credit" from a regulatory standpoint.

90%
75%
95%
80%
60%
75%
90%
85%
80%
80%

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