Circular No. 11312
January 18, 2001

NEW MARGINS FOR VALUATION OF COLLATERAL

Effective January 29, 2001

To All Depository Institutions in the Second Federal Reserve District:

The Federal Reserve System periodically re-assesses the margins that are used in the valuation of collateral pledged to the U.S. Treasury and the Federal Reserve for Treasury Tax and Loan, Discount Window, and Payments System Risk purposes. This re-assessment helps to ensure that the collateral margins reflect current market conditions. The margins are used to account for various risks and are applied both to priced and to non-priced pledged collateral.

As a result of a recent re-evaluation of the current priced and non-priced collateral margins, the Federal Reserve System has updated the margins effective January 29, 2001. The updated margins for Discount Window and Payments System Risk collateral are depicted in the table (pdf - 8kb) available. The Federal Reserve Bank Discount and PSR Collateral Margins Table, effective January 29, 2001 is also posted on the Federal Reserve System’s website (www.chicagofed.org/discountwindow/home.html). It will always have the most current discount and PSR margins, including any changes in the acceptable asset types and associated margins.

The collateral margins for Treasury Tax and Loan purposes will be distributed by the Federal Reserve Bank of St. Louis.

Please note that sovereign debt and Brady Bonds now may be pledged through either Clearstream or Euroclear. If your institution wants more information on the specific currencies that are acceptable or if you have questions regarding the acceptability of assets as collateral for Discount Window or Payments System Risk purposes, please contact, at this Bank, Javier Jerez or Peter Ensmenger.

William A. Walsh
Discount Officer