Changes Coming to Collateral for LIBOR Transition

  • December 13, 2019

As a follow-up to our September 2019 communication regarding LIBOR Transition Guidance, the Federal Home Loan Bank of Chicago (FHLBank Chicago) is providing additional details on how these changes may affect collateral. 
              
Collateral Reporting Changes

Securities Collateral

No changes.

Loan Collateral pledged via Listing or Delivery

No changes.

Loan Collateral pledged via Qualified Collateral Report (QCR)

Additional information requested. See below for details.

 

Beginning with Q1 QCR reporting due May 15, 2020, members must report the total unpaid principal value for all pledged collateral classes referencing LIBOR that mature after December 31, 2021.

  • Under each asset class, there will be a question where a “Yes/No” answer will be required.
  • If selecting “Yes,” enter the total unpaid principal balance in the dollar field and proceed to the next asset class section until the report is completed.
  • At this time, any amount reported here will not affect your collateral lendable value.

Collateral Valuation and Margins

  • At this time, the FHLBank Chicago is not adjusting collateral lendable value due to LIBOR exposure beyond December 31, 2021.
  • However, the FHLBank Chicago continues to evaluate the risks associated with this collateral.

Any changes to the above will be communicated.
            
If you have any questions, please contact your Sales Director or the Collateral Team at collateral@fhlbc.com or 1-855-345-2244, option 3.

Contact Us

Please direct all media and investor inquiries to:

Erin Kopecky
Vice President, Director of Communications
312.565.5297
ekopecky@fhlbc.com