The discussion below is provided only as general guidance. AMI users at pledging institutions that have access to real-time balance and risk attribute information will also have access to collateral information. The Federal Reserve also has a specified fixed-format text file that can be used. If intra-day collateral information is unavailable through AMI, pledging institutions should contact their local Reserve Bank for collateral balances. This report summarizes all transactions processed (deposits, revaluations, and withdrawals) for the day. General Information . All depository institutions that maintain transaction accounts or non-personal time deposits subject to reserve requirements are eligible for discount window programs. ET – 5:00 p.m. The Federal Reserve's lending programs potentially expose the Federal Reserve to credit risk--the risk that a borrower will not repay a loan. To pledge, the securities must be transferred to the pledging institution’s restricted securities account (U102). An institution must contact its local Reserve Bank to request this type of pledging arrangement and receive instructions. Date upon which the loan was scheduled to mature, Number of calendar days for which the loan was extended (from loan date to maturity date), Lending Federal Reserve district: Boston (1), New York (2), Philadelphia (3), Cleveland (4), Richmond (5), Atlanta (6), Chicago (7), St. Louis (8), Minneapolis (9), Kansas City (10), Dallas (11), San Francisco (12), The city in which the borrower is located, The state in which the borrower is located, Discount window program under which the loan was made: primary, secondary, or seasonal credit. A pledging institution should contact its local Reserve Bank to learn what specific information to include on the collateral schedule and how frequently to submit the schedule. Cast your minds back to 2007, 2008 and 2009 — and think hard. Government Sponsored Enterprise (GSE) Securities (Bills, Notes, Bonds, Zero Coupons), Foreign Government Guaranteed Securities and Brady Bonds. Eligible foreign currencies are: Japanese yen, euro, Australian dollars, Canadian dollars, British pounds, Danish krone, Swiss francs, and Swedish krona. Fed Discount Window and Reserve Requirements. So I think like there's a five percent haircut on a 10-year Treasury if you bring it to the discount window. Secured only by undeveloped parcel of land (e.g. Further information on the discount window, including interest rates, is available from the Federal Reserve System's discount window website. Withdrawal: Within one business day after receipt of the withdrawal request The Fed announced on March 15 (a Sunday) that it would cut its benchmark federal funds rate by a full percentage point to zero. Pledging institutions can view intra-day collateral balances and activity in the Account Management Information application (AMI) which is updated throughout the day with real-time collateral information. Pledging institutions are generally required to submit collateral schedules in an electronic form eligible for the automated loan deposit (ALD) process. Pledge: Effective upon the completion of the transaction. no hookups such as plumber, sewer, nor electricity), “dirt is untouched”. Among the tools used by the Federal Reserve System to achieve its monetary policy objectives is the temporary addition or subtraction of reserve balances via repurchase and reverse repurchase agreements in the open market. This report lists a pledging institution’s collateral holdings at the CUSIP or loan portfolio level as of the end of the current business day. Investment grade rated foreign government agency bonds denominated in U.S. dollars are generally eligible for pledge, as are AAA-rated foreign government agency bonds denominated in an Eligible Foreign Currency. When individual loan cash flow characteristics are not available, the Federal Reserve uses general assumptions to estimate the fair market value of the loan pool. Discount Window Margins and Collateral Guidelines. Table 4. At the time the extension is requested, the following information should be provided to the local Reserve Bank: Institutions should be aware that late-day pledges requiring manual review may be rejected if required information is not readily available prior to the end of the processing day. But it has rarely lent to nonbanks, although it has had the authority to do so since 1932, if five of its seven governors approve. ET, pledging institutions may access a preliminary version of their holdings statement and transaction report. Pledging collateral via Euroclear requires that the pledging institution and the Reserve Bank enter into a tri-party pledging arrangement. Secondary credit is available to meet backup liquidity needs when its use is consistent with a timely return by the borrower to a reliance on market sources of funding or the orderly resolution of a troubled institution. Pledging institutions are expected to transmit collateral schedules to their local Reserve Bank using an approved method of secure email transmission. A Reserve Bank may either reject the pledge while completing its analysis or accept it and not assign a collateral value until after eligibility is determined. The first step is monitoring, on an ongoing basis, the safety and soundness of all depository institutions that access or may access the discount window and the payment services provided by the Federal Reserve. Investment grade-rated non-agency residential mortgage backed securities (RMBS) denominated in U.S. dollars are generally eligible for pledge with the exception of interest only (IOs), principal only (POs), IO-ette, residuals, inverse floater, and Z tranches. Information on pledged collateral and collateral transactions is available through AMI and secure e-mail. This guide may be periodically updated, and the margins schedule is subject to change without notice and is not binding on the Federal Reserve System in any particular transaction. The recipient must click on the link in the e-mail to go the FRSecure message center secure e-mail site to pick up the e-mail and access the reports. Generally, business credit card receivables (BCCR) are reported as part of the commercial and industrial loan category in the call report; however, the pledging institution should contact the local Reserve Bank to confirm how BCCRs should be pledged. (Certain pledging institutions may also be required to pledge collateral to mitigate the risk of their use of certain services or non-wire activity in their account. Foreign issued covered bonds (except German Jumbo Pfandbriefe below). Operating Circular 1: Account Relationships. General hours of operation are noted below. If acceptable, the Reserve Bank will rely upon the integrity of the institution's rating system and internal credit evaluation procedures to confirm the credit quality of loans pledged. Primary credit may be used for any purpose, including financ… The initial reporting period covers loans made between July 22, 2010 and September 30, 2010. Generally original notes, original note amendments/assignments, and other required documentation Federal Reserve and Treasury Tax and Loan). In Section 4 we present our empirical evidence: we show that changes in haircuts on speci c asset classes caused borrowers to take those assets to the facilities. Any institution wishing to pledge collateral via Clearstream should contact its local Reserve Bank. Federal Reserve Discount Window | Payment System Risk. Banks can be used to secure discount window advances and extensions of daylight credit or master account activity including charges associated therewith. *Contact your local Reserve Bank for additional instruction or clarification. All DTC participants are eligible to pledge securities via DTC. Without further ado then — click here to get the Fed data. In general, securities must meet the regulatory definition of “investment grade” at a minimum, and in some cases must be of "AAA" rating quality (where indicated). Primary and Secondary Lending Programs . Securities denominated in certain foreign currencies are acceptable. ET – 3:15 p.m. Prior to pledging collateral to a Reserve Bank, an institution must complete the required agreements located in the Federal Reserve’s Lending Agreement Operating Circular 10 and any other documents as required by the local Reserve Bank. Summary and detailed collateral activity can also be viewed intra-day. Download the free 7-zip compression utility. The DTC PTS/PBS system contains specific screens for repositioning assets to the Reserve Banks. Final collateral eligibility is determined through review and approval by the local Reserve Bank. Third party custody arrangements involve a pledging institution (borrower), another institution that holds the loans being pledged (custodian) and the Reserve Bank (lender). As of the date of this publication, the Fed Funds target rate was in a range of 0 to 0.25 percent, down from a range of 1 to 1.25 percent. Pledge: Local Reserve Bank business hours Click on the arrow button in each column header to view and select the different filter and sort features. The maturity dates and outstanding balances of all drawdowns may not exceed the maturity date and current face amount of a pledged master note. Other Fed Actions. Section 5 concludes. Margins are applied to the Federal Reserve’s fair market value estimates and are designed to account for the volatility of the value of the pledged security over an estimated liquidation period. Section 1 deals with lending operations from the founding until the post-World War II period, during which loans to nonbanks first occur. The data were collected from the U.S.-affiliated securities dealers of nine bank holding companies under a voluntary pilot program run by the Office of Financial Research and the Federal Reserve System with input from the Securities and Exchange Commission. General Processing Times: The Discount Window functions as a safety valve in relieving pressures in reserve markets; extensions of credit can help alleviate liquidity strains at a depository institution and in the banking system as a whole. This information is updated throughout the day as values change. Seasonal Lending Program. ET Includes collateralized debt obligations (CDOs), Foreign government and municipal securities, international agency securities, and other securities issued or held at approved custodians outside the United States, in dollars, Term Deposit Facility deposits, in dollars, Other assets pledged as collateral, in dollars. Conclusion. The following information on discount window loans is provided for the fourth quarter of 2014 (see individual Excel files for earlier definitions): 1. Reserve Bank custody may be available for tangible assets such as promissory notes. At its peak in September 2008, total borrowing topped $150 billion. BIC arrangements may be used when a pledging institution would like to pledge a portfolio of its loans while maintaining physical control of the loans either on its own premises, or on the premises of an affiliate (note: the affiliate would be required to execute an additional agreement found in Appendix 5 of Operating Circular 10). The pledging of securities in-transit requires institutions to record on their books in real time both the securities that are pledged to the Reserve Bank and the cash allocated by the institution’s customers to fund securities transactions. The center columns reference loan categories in FFIEC and NCUA call report forms. If the account has not been activated, the institution should instruct the Wholesale Operations staff to establish a U102 restricted securities account. Typically we know the total quantities of discount window lending through the Fed's primary and secondary facilities, which appears in the Fed's reported balance sheet numbers, but little else. Reports can also depict all collateral holdings or have FSS holdings in a separate report. Institutions may elect to pledge the guaranteed portion of the loan into this category code. The Mechanics of Borrowing. A pledging institution may designate a third party custodian to provide custody services for loans pledged to a Reserve Bank. These facilities function like a discount window for nonbank financial firms – securities dealers, money market mutual funds, finance companies, and foreign banks – firms that fund themselves like banks but do not have access to the Fed’s standing liquidity facility. Institutions should contact their local Reserve Bank for additional details or instructions. If a security has more than one credit rating assigned, the most conservative (lowest) rating will be utilized. Minimal risk is roughly equivalent to investment grade while normal risk is roughly equivalent to below investment grade (the loan must still qualify as a ‘pass credit’ from a regulatory standpoint). (include open-end lines of credit secured by a first lien on single 1-4 Family Residential Property), (exclude open-end lines of credit secured by a first lien on single 1-4 Family Residential Property), Fedwire® Securities Service Pledging Process, Depository Trust Company (DTC) Pledging Process, Loans to Foreign Obligors Pledged as Collateral, Eligible Loan Types & Performance Criteria, "Guide to the Federal Reserve's Payment System Risk Policy on Intraday Credit", Discount Window & Payment System Risk website. Securities may not be obligations of the pledging institution or an affiliate of the pledging institution, or otherwise correlated with the financial condition of the pledging institution. For example, recipients can receive reports on a daily, weekly, or monthly basis. An institution must contact its local Reserve Bank to request this pledging arrangement and receive instructions. U.S. Treasury and Fully-Guaranteed Agency Securities (Bills, Notes, Bonds, Floating Rate Notes, Inflation- Indexed and STRIPs), Pledged through FSS (and DTC on a limited basis). Each loan, data as-of the loan origination date. Discount Window Credit Outstanding to Depository Institutions Additional information is located on the Discount Window & Payment System Risk website. student loans. Processing times and effectiveness of pledges and withdrawals may vary based on volume and other constraints and are not guaranteed. An institution should consult Euroclear directly for transaction specific instructions as platform operations are subject to change. U.S. Treasuries & Fully Guaranteed Agencies, Foreign Government, Foreign Government Guaranteed, and Brady Bonds, Collateralized Debt Obligations - AAA rated - U.S. Dollar Denominated, Collateralized Loan Obligations - AAA rated - U.S. Dollar Denominated, Commercial Mortgage Backed - AAA rated - U.S. Dollar Denominated, Trust Preferred Securities - AAA - BBB rated - U.S. Dollar Denominated, Certificates of Deposit - U.S. Dollar Denominated, Bankers' Acceptances, Commercial Paper, and Asset Backed Commercial Paper - AAA - BBB rated or equivalent short term rating - U.S. Dollar Denominated, 1-4 Family Mortgage Loans (second lien, home equity), Consumer Loans & Leases (auto, boat, etc. Banks take out these overnight loans to make sure they can meet the reserve requirement when they close each night. Margin ranges for loans are based on historical pledged assets and are meant to provide an estimate of potential value. General hours of operation are noted below. For an example of a set of haircuts see the Fed's discount window haircuts. Pledging institutions will need to establish a connection for the data transmission, comply with deadlines for file submission, and conform to file formatting requirements. Perhaps regulators are taking their cue from the parameters that presently govern the discount window: The penalty rate is set 50 basis points above the target range for the federal funds rate, and longer-duration Treasury securities are given noticeable haircuts. Components may not sum to totals owing to rounding. Zero coupon bonds pledged in a collateral category other than US 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. 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