On March 14, 2022, the Federal Reserve Banks will implement new Automated Loan Deposit (ALD) collateral requirements.
The transition will affect the following in-scope institutions:
- 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 $50 billion 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 $50 billion or more in total consolidated assets, defined as the average over the last four calendar quarters
- An institution that voluntarily becomes an in-scope institution
The Federal Reserve Banks have previously contacted in-scope institutions about this implementation, and these institutions have been reporting additional data to us in preparation. At implementation, the dual file submission requirement for in-scope institutions will cease and we will only require the new file format. For institutions that subsequently become in scope, their local Federal Reserve Bank will contact them and allow a period of time to transition to the new reporting format.
For reference, the submission requirements for in-scope institutions are in the File Specifications section of the Pledging Collateral page (Off-site) of the Discount Window and Payment System Risk website. For all other institutions, the submission process is not changing.
Updated collateral margin tables
Also on March 14, 2022, the collateral margin tables for Discount Window lending and Payment System Risk purposes will be updated to reflect new collateral margins for all institutions. Changes to the tables stem from the most recent review of margins and valuation practices that the Federal Reserve routinely conducts, as well as incorporation of updated market data and data supplied as part of the new ALD collateral requirements.
The updated collateral margin tables are on the Collateral Valuation page (Off-site) of the Discount Window and Payment System Risk website. The updated margin tables have been separated into a securities margins table and a loan margins table.
For loan margins, the table has separate tabs for in-scope institutions and out-of-scope institutions. In-scope institution margins are further presented in more granular tables by selecting the respective margin range link. The range in the more detailed tables will represent the minimum, median and maximum margin that could be applied for a specific fixed or floating rate loan type.
Out-of-scope institution margins are also presented in the more granular tables by selecting the margin range link. The detailed tables will represent a specific margin that could be applied for each particular fixed or floating rate loan type.
For more information about the changes, please review the 2021 Collateral Bulletin (Off-site) as well as the related Frequently Asked Questions (Off-site). Contact your local Federal Reserve Bank (Off-site) with any inquiries.