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Code of Federal Regulations (Last Updated: July 5, 2024) |
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Title 12 - Banks and Banking |
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Chapter XII - Federal Housing Finance Agency |
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SubChapter B - Entity Regulations |
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Part 1221 - Margin and Capital Requirements for Covered Swap Entities |
Appendix B to Part 1221 - Margin Values for Eligible Noncash Margin Collateral.
Latest version.
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Appendix B to Part 1221 - 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 § 1221.6(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 § 1221.6(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 § 1221.6(a)(2)(iv) or (b)(5) debt: residual maturity greater than five years 4.0 Eligible GSE debt securities not identified in § 1221.6(a)(2)(iv) or (b)(5): residual maturity less than one-year 1.0 Eligible GSE debt securities not identified in § 1221.6(a)(2)(iv) or (b)(5): residual maturity between one and five years: 4.0 Eligible GSE debt securities not identified in § 1221.6(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