Collateral Information
Collateral Valuation
Last Updated:12.01.2025
When a depository institution (also known as pledging institution, or institution) pledges acceptable collateral to a Federal Reserve Bank (Reserve Bank), the Reserve Bank assigns a value to the collateral according to various factors. The collateral value is used by the Reserve Bank to determine how much the pledging institution may borrow through discount window programs, as well as determine its overdraft credit capacity for Reserve Bank account activity and associated charges.
This page includes information on the assigned value for different types of pledged collateral. The information is a summary and does not supersede or replace any Reserve Bank requirements. This page may be periodically updated, is subject to change without notice, and is not binding on the Reserve Banks in any particular transaction.
For depository institutions borrowing under the secondary credit program, the Reserve Banks generally apply an additional margin to the collateral value of any pledged collateral, other than U.S. Treasury and Agency securities.
Securities Valuation and Margins Table
In general, the Reserve Banks seek to value securities collateral at a fair market value estimate. Securities are valued using prices supplied by the Reserve Banks’ external vendors. Securities for which a price is unavailable from external vendors will receive zero collateral value.
Margins are applied to the Reserve Banks’ fair market value estimates and are designed to account for the historical price volatility of each category of securities collateral (as identified in the Margins Table below) measured over liquidation periods determined by the Reserve Banks. Margins for securities are assigned based on asset type, credit rating, and duration (as noted in the table below).
| Effective Date: July 1, 2025 | |||||
|---|---|---|---|---|---|
| Securities | Margins for Securities1 (% of market value) |
||||
| Duration Buckets | |||||
| 0-1 | >1-3 | >3-5 | >5-10 | >10 | |
| U.S. Treasuries & Fully Guaranteed Agencies | |||||
| Bills, Notes, Bonds, Floating Rate Notes, and Inflation-Indexed | 99% | 99% | 98% | 97% | 95% |
| STRIPS | 96% | 96% | 96% | 96% | 94% |
| Government Sponsored Enterprises | |||||
| Bills, Notes, and Bonds | 98% | 98% | 97% | 96% | 94% |
| Foreign Government, Foreign Government Guaranteed, and Brady Bonds | |||||
| AAA-A rated - U.S. Dollar Denominated | 98% | 98% | 97% | 96% | 91% |
| BBB rated - U.S. Dollar Denominated | 97% | 97% | 96% | 94% | 90% |
| AAA-BBB rated - Foreign Denominated | 94% | 94% | 93% | 92% | 89% |
| Foreign Government Agencies | |||||
| AAA-BBB U.S. - Dollar Denominated | 98% | 98% | 97% | 96% | 94% |
| AAA rated - Foreign Denominated | 94% | 94% | 93% | 93% | 91% |
| Supranationals | |||||
| Bills, Notes, and Bonds - U.S. Dollar Denominated | 97% | 97% | 97% | 96% | 94% |
| Bills, Notes, and Bonds - AAA rated - Foreign Denominated | 94% | 94% | 93% | 92% | 89% |
| Corporate Bonds | |||||
| AAA rated - Financials - U.S. Dollar Denominated | 98% | 98% | 97% | 95% | 91% |
| AA rated - Financials - U.S. Dollar Denominated | 97% | 97% | 96% | 94% | 90% |
| A rated - Financials - U.S. Dollar Denominated | 95% | 94% | 90% | 90% | 87% |
| BBB rated - Financials - U.S. Dollar Denominated | 91% | 87% | 87% | 87% | 85% |
| AAA-A rated - Non Financial - U.S. Dollar Denominated | 98% | 97% | 96% | 94% | 92% |
| BBB rated - Non Financial - U.S. Dollar Denominated | 97% | 96% | 94% | 92% | 90% |
| AAA rated - Foreign Denominated | 93% | 92% | 92% | 90% | 87% |
| German Jumbo Pfandbriefe | |||||
| AAA rated - U.S. Dollar Denominated | 98% | 98% | 97% | 96% | 94% |
| AAA rated - Foreign Denominated | 94% | 94% | 93% | 91% | 90% |
| Municipal Bonds | |||||
| AAA-A rated - U.S Dollar Denominated | 98% | 98% | 97% | 94% | 92% |
| BBB rated - U.S Dollar Denominated | 97% | 97% | 96% | 93% | 90% |
| AAA rated - Foreign Denominated | 93% | 93% | 92% | 91% | 89% |
| Asset-Backed Securities | |||||
| AAA-A rated - U.S. Dollar Denominated | 98% | 98% | 96% | 91% | 90% |
| BBB rated - U.S. Dollar Denominated | 97% | 96% | 95% | 90% | 89% |
| Collateralized Debt Obligations - AAA rated - U.S. Dollar Denominated | 87% | 87% | 85% | 77% | 64% |
| Collateralized Loan Obligations - AAA rated - U.S. Dollar Denominated | 91% | 91% | 87% | 73% | 70% |
| Agency Backed Mortgages | |||||
| Pass-Throughs U.S. Dollar Denominated | 98% | 98% | 97% | 96% | 94% |
| Collateralized Mortgage Obligations U.S. Dollar Denominated | 97% | 97% | 97% | 96% | 94% |
| Commercial Mortgage Backed U.S. Dollar Denominated | 98% | 98% | 97% | 96% | 94% |
| Non Agency Backed Mortgages | |||||
| Residential Mortgage Backed - AAA rated - U.S. Dollar Denominated | 81% | 81% | 81% | 81% | 81% |
| Residential Mortgage Backed - AA rated - U.S. Dollar Denominated | 68% | 68% | 68% | 68% | 68% |
| Residential Mortgage Backed - A rated - U.S. Dollar Denominated | 64% | 64% | 64% | 64% | 64% |
| Residential Mortgage Backed - BBB rated - U.S. Dollar Denominated | 60% | 60% | 60% | 60% | 60% |
| Commercial Mortgage Backed - AAA rated - U.S. Dollar Denominated | 98% | 96% | 91% | 87% | 83% |
| TPS / CD / Commercial Paper | |||||
| Trust Preferred Securities - AAA - BBB rated - U.S. Dollar Denominated | 89% | 89% | 89% | 89% | 89% |
| Certificates of Deposit - U.S. Dollar Denominated | 98% | 98% | 97% | 96% | 94% |
| Bankers' Acceptances, Commercial Paper, and Asset Backed Commercial Paper - AAA - BBB rated or equivalent short term rating - U.S. Dollar Denominated | 98% | 98% | 97% | ||
Notes:
- Zero coupon bonds pledged in a collateral category other than U.S. Treasury STRIPs will be subject to a margin reduction of 1% for securities with durations 0-10 and a reduction of 3% for securities with a duration greater than 10.
Loan Valuation and Margins Tables
The Reserve Banks determine the collateral value of pledged loans as the product of their fair market value estimate and a margin designed to protect the Reserve Banks from financial loss. The estimated fair market value of each pledged loan is calculated monthly based on information provided by the pledging institution, including cash flow and credit characteristics, as well as market data analyzed by the Reserve Banks. Margins take into account both cash flow and credit characteristics of pledged loans, as well as historical price volatility of each category of loan collateral (as identified in the Margins Table below) measured over liquidation periods determined by the Reserve Banks.
The Reserve Banks will make general assumptions in all cases where information about a loan is not available when determining either a loan’s value or its margin. If a loan’s value or its margin cannot be determined due to missing information about a pledged loan, or any other reason, the loan will receive zero collateral value. Contact your local Reserve Bank for further information.
Margins also consider the risk associated within loan collateral categories. Some loan collateral categories have a margin for both a minimal and normal risk rating. A minimal risk rating is roughly equivalent to investment grade while a normal risk rating is roughly equivalent to below investment grade.
There are two sets of margins applied to loan collateral based on the characteristics of the pledging institution: in-scope and out-of-scope. An institution is considered in-scope if it meets one of the criteria listed below, while all other institutions are considered out-of-scope.
- All depository institutions (12 CFR 201.2(c)(1)) that are controlled (12 CFR 225.2(e)) by a Bank Holding Company (12 CFR 225.2(c)(1)) (including a Financial Holding Company (12 CFR 225.81)) or an Intermediate Holding Company (12 CFR 252.2(y)) with Fifty Billion Dollars ($50,000,000,000) or more in total consolidated assets, defined as the average over the last four calendar quarters;
- All Foreign Banking Organizations (12 CFR 211.21(o)(1));
- All other domestic depository institutions with Fifty Billion Dollars ($50,000,000,000) or more in total consolidated assets, defined as the average over the last four calendar quarters; or
- An institution that voluntarily becomes an in-scope institution. This is a permanent conversion -- an in-scope institution cannot become out-of-scope.
Reading the Margins Table
Margins for in-scope institutions and out-of-scope institutions are displayed on different tabs on the Loans Margins Table. Each tab is composed of a main table and underlying detailed tables. The range displayed for the loan margins on each tab of the main table represents an estimated potential margin range. Selecting the link when hovering over the margin range will provide more detailed margins tables for that loan type.
Fixed rate loan margins are displayed within the more detailed margins tables based on coupon and time remaining to maturity. Floating rate loan margins are displayed within the more detailed tables based on credit spread and time remaining to maturity. Margins for credit card receivables are published on the main Loans Margins Table.
In-scope institutions receive a margin within the published range found in the detailed margins tables. The range of values in each cell represents the minimum, the median, and the maximum margin that could be applied to pledged loan collateral.
Out-of-Scope institutions will receive a margin for floating rate loans according to a base index for each loan type. Since out-of-scope institutions do not report a base index, the reference index is determined by in-scope institutions’ pledged loans. The level of the base index can change month-to-month and is applied against the coupon provided from out-of-scope institutions at a loan level to inform a credit spread. The collateral margins table illustrates the relationship of the credit spread to time remaining to maturity for a given loan.
To confirm the specific margin applied to pledged collateral, contact your local Reserve Bank.
Note: The Loan Types and Call Report Mapping Table, found within the Pledging Collateral section of this website shows the collateral category that corresponds to report codes on the FFIEC 031/041/051 Call Report, the FBO FFIEC 002 Call Report, or the NCUA Call Report, as applicable (Call Report).
| Effective Date: July 1, 2025 | ||
|---|---|---|
| In Scope - Individually Deposited Loans | Margins for Loans (% of internal fair market value estimate) |
|
| Fixed Rate Loans | Floating Rate Loans | |
| 1-4 Family Mortgage Loans (first lien) | ||
| 64%-95% | 60%-94% | |
| 1-4 Family Mortgage Loans (second lien, home equity) | ||
| 52%-95% | 52%-95% | |
| Agricultural Loans | ||
| Minimal Risk Rated | 90%-95% | 87%-95% |
| Normal Risk Rated | 74%-95% | 64%-95% |
| Bank Loans to State and Local Governments | ||
| Minimal Risk Rated | 76%-95% | 61%-95% |
| Normal Risk Rated | 46%-95% | 41%-95% |
| Commercial and Industrial Loans & Leases | ||
| Minimal Risk Rated | 86%-95% | 83%-95% |
| Normal Risk Rated | 58%-95% | 46%-95% |
| Commercial Real Estate Loans | ||
| Minimal Risk Rated | 62%-95% | 56%-95% |
| Normal Risk Rated | 43%-95% | 35%-95% |
| Construction Loans | ||
| Minimal Risk Rated | 31%-95% | 21%-94% |
| Normal Risk Rated | 23%-93% | 22%-93% |
| Consumer Leases (auto, boat, etc.) | ||
| 73%-95% | 36%-95% | |
| Consumer Loans - Unsecured | ||
| 45%-95% | 42%-95% | |
| Consumer Loans (auto, boat, etc.) | ||
| 53%-95% | 58%-95% | |
| Raw Land Loans | ||
| Minimal Risk Rated | 27%-95% | 23%-94% |
| Normal Risk Rated | 19%-93% | 15%-93% |
| Student Loans | ||
| 64%-95% | 64%-95% | |
| US Agency Guaranteed Loans | ||
| 87%-95% | 94%-95% | |
| US Agency Non-Guaranteed Loans | ||
| Minimal Risk Rated | 95%-95% | 44%-95% |
| Normal Risk Rated | 48%-95% | 47%-95% |
| Group Deposited Loans | |
|---|---|
| Consumer Loans - Credit Card Receivables | 10% - 74% - 74% |
| Effective Date: July 1, 2025 | ||
|---|---|---|
| Out of Scope - Individually Deposited Loans | Margins for Loans (% of internal fair market value estimate) |
|
| Fixed Rate Loans | Floating Rate Loans | |
| 1-4 Family Mortgage Loans (first lien) | ||
| 64%-95% | 60%-94% | |
| 1-4 Family Mortgage Loans (second lien, home equity) | ||
| 52%-95% | 52%-95% | |
| Agricultural Loans | ||
| Minimal Risk Rated | 90%-95% | 87%-95% |
| Normal Risk Rated | 74%-95% | 64%-95% |
| Bank Loans to State and Local Governments | ||
| Minimal Risk Rated | 76%-95% | 61%-95% |
| Normal Risk Rated | 46%-95% | 41%-95% |
| Commercial and Industrial Loans & Leases | ||
| Minimal Risk Rated | 86%-95% | 83%-95% |
| Normal Risk Rated | 58%-95% | 46%-95% |
| Commercial Real Estate Loans | ||
| Minimal Risk Rated | 62%-95% | 56%-95% |
| Normal Risk Rated | 43%-95% | 35%-95% |
| Construction Loans | ||
| Minimal Risk Rated | 31%-95% | 21%-94% |
| Normal Risk Rated | 23%-93% | 22%-93% |
| Consumer Leases (auto, boat, etc.) | ||
| 73%-95% | 36%-95% | |
| Consumer Loans - Unsecured | ||
| 45%-95% | 42%-95% | |
| Consumer Loans (auto, boat, etc.) | ||
| 53%-95% | 58%-95% | |
| Raw Land Loans | ||
| Minimal Risk Rated | 27%-95% | 23%-94% |
| Normal Risk Rated | 19%-93% | 15%-93% |
| Student Loans | ||
| 64%-95% | 64%-95% | |
| US Agency Guaranteed Loans | ||
| 87%-95% | 94%-95% | |
| US Agency Non-Guaranteed Loans | ||
| Minimal Risk Rated | 95%-95% | 44%-95% |
| Normal Risk Rated | 48%-95% | 47%-95% |
| Group Deposited Loans | |
|---|---|
| Consumer Loans - Credit Card Receivables | 74% |
| Consumer Loans - Subprime Credit Card Receivables | 23% |
Historical Collateral Margins Tables
The historical collateral margins tables may be found on the Historical Collateral Margins Tables page.