Loan Valuation and Margins Table
Effective March 14, 2022 to October 31, 2023
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 (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.
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).
| Effective Date: March 14, 2022 to October 31, 2023 | ||
|---|---|---|
| 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% | 54%-94% | |
| 1-4 Family Mortgage Loans (second lien, home equity) | ||
| 50%-95% | 46%-92% | |
| Agricultural Loans | ||
| Minimal Risk Rated | 90%-95% | 81%-95% |
| Normal Risk Rated | 73%-95% | 62%-95% |
| Bank Loans to State and Local Governments | ||
| Minimal Risk Rated | 67%-95% | 68%-95% |
| Normal Risk Rated | 37%-95% | 39%-95% |
| Commercial and Industrial Loans & Leases | ||
| Minimal Risk Rated | 85%-95% | 80%-95% |
| Normal Risk Rated | 59%-95% | 52%-95% |
| Commercial Real Estate Loans | ||
| Minimal Risk Rated | 56%-95% | 49%-95% |
| Normal Risk Rated | 30%-95% | 26%-95% |
| Construction Loans | ||
| Minimal Risk Rated | 25%-95% | 19%-95% |
| Normal Risk Rated | 18%-93% | 16%-93% |
| Consumer Leases (auto, boat, etc.) | ||
| 72%-95% | 30%-95% | |
| Consumer Loans - Unsecured | ||
| 59%-95% | 73%-95% | |
| Consumer Loans (auto, boat, etc.) | ||
| 50%-95% | 35%-95% | |
| Raw Land Loans | ||
| Minimal Risk Rated | 24%-95% | 17%-94% |
| Normal Risk Rated | 18%-93% | 11%-93% |
| Student Loans | ||
| 64%-95% | 55%-95% | |
| US Agency Guaranteed Loans | ||
| 87%-95% | 92%-95% | |
| US Agency Non-Guaranteed Loans | ||
| Minimal Risk Rated | 93%-95% | 36%-95% |
| Normal Risk Rated | 49%-95% | 44%-95% |
| Group Deposited Loans | |
|---|---|
| Consumer Loans - Credit Card Receivables | 10% - 76% - 76% |
| Effective Date: March 14, 2022 to October 31, 2023 | ||
|---|---|---|
| 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% | 54%-94% | |
| 1-4 Family Mortgage Loans (second lien, home equity) | ||
| 50%-95% | 46%-92% | |
| Agricultural Loans | ||
| Minimal Risk Rated | 90%-95% | 81%-95% |
| Normal Risk Rated | 73%-95% | 62%-95% |
| Bank Loans to State and Local Governments | ||
| Minimal Risk Rated | 67%-95% | 68%-95% |
| Normal Risk Rated | 37%-95% | 39%-95% |
| Commercial and Industrial Loans & Leases | ||
| Minimal Risk Rated | 85%-95% | 80%-95% |
| Normal Risk Rated | 59%-95% | 52%-95% |
| Commercial Real Estate Loans | ||
| Minimal Risk Rated | 56%-95% | 49%-95% |
| Normal Risk Rated | 30%-95% | 26%-95% |
| Construction Loans | ||
| Minimal Risk Rated | 25%-95% | 19%-95% |
| Normal Risk Rated | 18%-93% | 16%-93% |
| Consumer Leases (auto, boat, etc.) | ||
| 72%-95% | 30%-95% | |
| Consumer Loans - Unsecured | ||
| 59%-95% | 73%-95% | |
| Consumer Loans (auto, boat, etc.) | ||
| 50%-95% | 35%-95% | |
| Raw Land Loans | ||
| Minimal Risk Rated | 24%-95% | 17%-94% |
| Normal Risk Rated | 18%-93% | 11%-93% |
| Student Loans | ||
| 64%-95% | 55%-95% | |
| US Agency Guaranteed Loans | ||
| 87%-95% | 92%-95% | |
| US Agency Non-Guaranteed Loans | ||
| Minimal Risk Rated | 93%-95% | 36%-95% |
| Normal Risk Rated | 49%-95% | 44%-95% |
| Group Deposited Loans | |
|---|---|
| Consumer Loans - Credit Card Receivables | 76% |
| Consumer Loans - Subprime Credit Card Receivables | 42% |