Securities Valuation and Margins Table

Effective March 13, 2023 to March 14, 2023

In general, the Federal Reserve seeks to value securities collateral at a fair market value estimate. Securities are valued using prices supplied by the Federal Reserve’s external vendors. Securities for which a price is unavailable from external vendors will receive zero collateral value.

Margins are applied to the Federal Reserve’s fair market value estimates and are designed to account for the historical price volatility of each category of securities collateral (as identified in the Margins Table below) measured over liquidation periods determined by the Federal Reserve. Margins for securities are assigned based on asset type, credit rating, and duration (as noted in the table below).

Effective Date: March 13, 2023 to March 14, 2023
Securities Margins for Securities1
(% of market value)
Duration Buckets
0-1 >1-3 >3-5 >5-10 >10
U.S. Treasuries & Fully Guaranteed Agencies
Bills, Notes, Bonds, Floating Rate Notes, and Inflation-Indexed 100% 100% 100% 100% 100%
STRIPS 100% 100%
Government Sponsored Enterprises
Bills, Notes, and Bonds 100% 100% 100% 100% 100%
Foreign Government, Foreign Government Guaranteed, and Brady Bonds
AAA-A rated - U.S. Dollar Denominated 98% 98% 97% 96% 94%
BBB rated - U.S. Dollar Denominated 97% 97% 96% 95% 93%
AAA-BBB rated - Foreign Denominated 94% 94% 93% 93% 91%
Foreign Government Agencies
AAA-BBB U.S. - Dollar Denominated 98% 98% 97% 96% 94%
AAA rated - Foreign Denominated 94% 93% 90%
Supranationals
Bills, Notes, and Bonds - U.S. Dollar Denominated 97% 96% 94%
Bills, Notes, and Bonds - AAA rated - Foreign Denominated 94% 94% 93% 93% 90%
Corporate Bonds
AAA rated - Financials -  U.S. Dollar Denominated 98% 98% 97% 96% 93%
AA rated - Financials  - U.S. Dollar Denominated 97% 97% 96% 94% 90%
A rated - Financials -  U.S. Dollar Denominated 95% 94% 90% 90% 87%
BBB rated - Financials  - U.S. Dollar Denominated 91% 87% 85%
AAA-A rated -  Non Financial - U.S. Dollar Denominated 98% 97% 96% 94% 92%
BBB rated -  Non Financial - U.S. Dollar Denominated 97% 96% 94% 92% 90%
AAA rated - Foreign Denominated 92% 90% 85%
German Jumbo Pfandbriefe
AAA rated - U.S. Dollar Denominated 98% 98% 97% 96% 94%
AAA rated - Foreign Denominated 94% 93% 91%
Municipal Bonds
AAA-BBB U.S. Dollar Denominated 98% 98% 97% 95% 92%
AAA rated - Foreign Denominated 93% 92% 91% 88%
Asset-Backed Securities
AAA-A rated - U.S. Dollar Denominated 98% 98% 96% 92% 89%
BBB rated - U.S. Dollar Denominated 97% 96% 95% 91% 88%
Collateralized Debt Obligations - AAA rated - U.S. Dollar Denominated
  87% 87% 85% 77% 64%
Collateralized Loan Obligations - AAA rated - U.S. Dollar Denominated
  91% 91% 87% 73% 70%
Agency Backed Mortgages
Pass-Throughs U.S. Dollar Denominated 100% 100% 100% 100% 100%
Collateralized Mortgage Obligations U.S. Dollar Denominated
Commercial Mortgage Backed U.S. Dollar Denominated
Non Agency Backed Mortgages
Residential Mortgage Backed - AAA rated - U.S. Dollar Denominated 77%
Residential Mortgage Backed - AA rated - U.S. Dollar Denominated 70% 61%
Residential Mortgage Backed - A rated - U.S. Dollar Denominated 66% 60%
Residential Mortgage Backed - BBB rated - U.S. Dollar Denominated 64% 59%
Commercial Mortgage Backed - AAA rated - U.S. Dollar Denominated 98% 96% 91% 87% 79%
TPS / CD / Commercial Paper
Trust Preferred Securities - AAA - BBB rated - U.S. Dollar Denominated 89%
Certificates of Deposit - U.S. Dollar Denominated 98% 98% 97% 96% 94%
Bankers' Acceptances, Commercial Paper, and Asset Backed Commercial Paper - AAA - BBB rated or equivalent short term rating - U.S. Dollar Denominated 98% 98% 97%  

Notes:

  1. Zero coupon bonds pledged in a collateral category other than U.S. Treasury STRIPs will be subject to a margin reduction of 1% for securities with durations 0-10 and a reduction of 3% for securities with a duration greater than 10.