Appendix B to Subpart A of Parrt 349 - Margin Values for Eligible Noncash Margin Collateral.


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  • Appendix B to Subpart A of Parrt 349 - Margin Values for Eligible Noncash Margin Collateral.

    Table B - Margin Values for Eligible Noncash Margin Collateral

    Asset class Discount (%)
    Eligible government and related (e.g., central bank, multilateral development bank, GSE securities identified in § 349.6(a)(2)(iv) or (b)(5) debt: residual maturity less than one-year 0.5
    Eligible government and related (e.g., central bank, multilateral development bank, GSE securities identified in § 349.6(a)(2)(iv) or (b)(5) debt: residual maturity between one and five years 2.0
    Eligible government and related (e.g., central bank, multilateral development bank, GSE securities identified in § 349.6(a)(2)(iv) or (b)(5) debt: residual maturity greater than five years 4.0
    Eligible GSE debt securities not identified in § 349.6(a)(2)(iv) or (b)(5): residual maturity less than one-year 1.0
    Eligible GSE debt securities not identified in § 349.6(a)(2)(iv) or (b)(5): residual maturity between one and five years: 4.0
    Eligible GSE debt securities not identified in § 349.6(a)(2)(iv) or (b)(5): residual maturity greater than five years: 8.0
    Other eligible publicly traded debt: residual maturity less than one-year 1.0
    Other eligible publicly traded debt: residual maturity between one and five years 4.0
    Other eligible publicly traded debt: residual maturity greater than five years 8.0
    Equities included in S&P 500 or related index 15.0
    Equities included in S&P 1500 Composite or related index but not S&P 500 or related index 25.0
    Gold 15.0