Collateral pledged to Federal Reserve Banks (Reserve Banks) can be used to secure discount window advances and extensions of daylight credit for master account activity including charges associated therewith. For more information on the use of collateral under the Payments System Risk (PSR) policy, refer to the Guide to the Federal Reserve's Payment System Risk Policy on Intraday Credit found on the Payment System Risk Related Policy Documents site.
The information displayed here is a summary and does not supersede or replace any requirements contained in specific Reserve Bank agreements, policies, or procedures. This information may be periodically updated, and the Margins table (located below) is subject to change without notice and is not binding on any Federal Reserve Bank in any particular transaction.
An additional haircut will generally be applied to all collateral, other than U.S. Treasury and Agency securities, that is pledged by depository institutions that borrow under the secondary credit program. Additional information about the secondary credit program can be found in the primary and secondary lending programs webpage.
Institutions should contact their local Reserve Bank to discuss specific questions regarding collateral valuation and margining.
Securities Valuation and Margins Table
In general, the Federal Reserve seeks to value securities collateral at a fair market value estimate. Securities are valued using prices supplied by the Federal Reserve’s external vendors. Securities for which a price is unavailable from external vendors will receive zero collateral value.
Margins are applied to the Federal Reserve’s 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 Federal Reserve. Margins for securities are assigned based on asset type, credit rating, and duration (as noted in the table below).
|Effective Date: March 14, 2022|
|Securities||Margins for Securities1
(% of market value)
|U.S. Treasuries & Fully Guaranteed Agencies|
|Bills, Notes, Bonds, Floating Rate Notes, and Inflation-Indexed||99%||99%||98%||97%||95%|
|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%||94%|
|BBB rated - U.S. Dollar Denominated||97%||97%||96%||95%||93%|
|AAA-BBB rated - Foreign Denominated||94%||94%||93%||93%||91%|
|Foreign Government Agencies|
|AAA-BBB U.S. - Dollar Denominated||98%||98%||97%||96%||94%|
|AAA rated - Foreign Denominated||94%||93%||90%|
|Bills, Notes, and Bonds - U.S. Dollar Denominated||97%||96%||94%|
|Bills, Notes, and Bonds - AAA rated - Foreign Denominated||94%||94%||93%||93%||90%|
|AAA rated - Financials - U.S. Dollar Denominated||98%||98%||97%||96%||93%|
|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%||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||92%||90%||85%|
|German Jumbo Pfandbriefe|
|AAA rated - U.S. Dollar Denominated||98%||98%||97%||96%||94%|
|AAA rated - Foreign Denominated||94%||93%||91%|
|AAA-BBB U.S. Dollar Denominated||98%||98%||97%||95%||92%|
|AAA rated - Foreign Denominated||93%||92%||91%||88%|
|AAA-A rated - U.S. Dollar Denominated||98%||98%||96%||92%||89%|
|BBB rated - U.S. Dollar Denominated||97%||96%||95%||91%||88%|
|Collateralized Debt Obligations - AAA rated - U.S. Dollar Denominated|
|Collateralized Loan Obligations - AAA rated - U.S. Dollar Denominated|
|Agency Backed Mortgages|
|Pass-Throughs U.S. Dollar Denominated||98%||98%||97%||96%||94%|
|Collateralized Mortgage Obligations U.S. Dollar Denominated|
|Commercial Mortgage Backed U.S. Dollar Denominated|
|Non Agency Backed Mortgages|
|Residential Mortgage Backed - AAA rated - U.S. Dollar Denominated||77%|
|Residential Mortgage Backed - AA rated - U.S. Dollar Denominated||70%||61%|
|Residential Mortgage Backed - A rated - U.S. Dollar Denominated||66%||60%|
|Residential Mortgage Backed - BBB rated - U.S. Dollar Denominated||64%||59%|
|Commercial Mortgage Backed - AAA rated - U.S. Dollar Denominated||98%||96%||91%||87%||79%|
|TPS / CD / Commercial Paper|
|Trust Preferred Securities - AAA - BBB rated - U.S. Dollar Denominated||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%|
- 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 process for pledging loan collateral to a Reserve Bank depends in part on whether the pledging institution is in the in-scope category or out-of-scope category for purposes of loan valuation. The difference between the two groups is the amount of information the pledging institution must provide about each pledged loan. In-scope institutions must provide a more detailed set of data elements for pledged loans.
An institution is considered in-scope if it meets one of the following criteria:
- All depository institutions 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.
The Federal Reserve determines the collateral value of pledged loans as the product of their fair market value estimate and a margin designed to protect the Federal Reserve from financial loss. On a monthly basis, the estimated fair market value of each pledged loan is calculated based on information provided by the pledging depository institution, including cash flow and credit characteristics, as well as market data analyzed by the Federal Reserve. 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 Federal Reserve.
The Federal Reserve 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. For in-scope institutions, certain missing information about a pledged loan may prevent the loan from receiving any collateral value. Please contact your local Reserve Bank for further information.
Margins also consider the risk associated with 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 (the loan must still qualify as a ‘pass credit’ from a regulatory standpoint).
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 will 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. This 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).
|Group Deposited Loans|
|Consumer Loans - Credit Card Receivables||10% - 76% - 76%|
|Group Deposited Loans|
|Consumer Loans - Credit Card Receivables||76%|
|Consumer Loans - Subprime Credit Card Receivables||42%|
Historical Collateral Margins Tables
The historical collateral margins tables may be found on the Historical Collateral Margins Tables page. Note that the collateral margins tables have evolved along with margining practices over time; therefore, year-to-year comparisons may not always be possible.