New Collateral Margins Table

The Federal Reserve is announcing new collateral margins for discount window lending and payment system risk purposes, effective July 3, 2017. These changes stem from the most recent review of margins and valuation practices that the Federal Reserve periodically conducts, as well as the incorporation of updated market data.

 

Collateral management is a central element of the Federal Reserve’s credit risk management practices. Accordingly, the Federal Reserve periodically conducts reviews of its margins and valuation practices, making adjustments as needed. The new 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.

 

The new collateral margins table can be viewed on the Discount  Window & Payment System Risk website.  Please note that the overall look and feel of the content has been enhanced to provide a single source page for the Collateral Guidelines and integrated margin tables.  An Excel spreadsheet remains accessible within the page and continues to provide granular loan margin tables. 

 

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.