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Bulletin No.: 2018-28
December 12, 2018

TO: MEMBERS

SUBJECT: Revision to Security Collateral Haircut Calculation

The Federal Home Loan Bank of Dallas (Bank) has revised its security collateral haircut calculation method, effective December 15, 2018. The new haircut structure will allow the Bank to apply CUSIP-specific haircuts instead of haircuts based on security classification. The Bank will also have the ability to adjust haircuts based on maturity and to react more quickly to changes in market conditions.

The revisions can be found in the Collateral Haircut Table section of the Bank's Collateral Valuation Guide. At its sole discretion, the Bank, based on its assessment of a borrower's creditworthiness, may apply borrower-specific haircuts, which may vary from those indicated in the Collateral Haircut Table.

For additional information or to discuss the Bank's collateral haircut process, please contact the Collateral Services department at 800.541.0597.

Sincerely,

 

Michael Zheng
SVP and Chief Credit Officer