The full text on this page is automatically extracted from the file linked above and may contain errors and inconsistencies.
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%