Updated Collateral Margins Table

June 29, 2018

The Federal Reserve is announcing updated collateral margins for discount window lending and payment system risk purposes, effective August 1, 2018.  These changes stem from the most recent review of margins and valuation practices that the Federal Reserve annually conducts, as well as the incorporation of updated market data.  The updated collateral margins table can be viewed on the Discount Window & Payment System Risk website.

Collateral management is a central element of the Federal Reserve’s credit risk management practices.  Accordingly, the Federal Reserve annually conducts reviews of its margins and valuation practices, making adjustments as needed.  The updated collateral margins table announced today continues that practice.

There are no changes to the key principles underlying the Federal Reserve’s collateral management practices: frequent revaluation of assets, use of margins to mitigate Reserve Bank exposure to market and credit risk, use of the best available data, and periodic reassessments of model assumptions.

Accompanying this announcement are frequently asked questions.  In addition, a high-level summary of the valuing and margining approach for discount window and payment system risk collateral is available in the Federal Reserve Collateral Guidelines.