Securities Valuation and Margins Table
Effective November 1, 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: November 1, 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 | 99% | 99% | 98% | 97% | 95% |
| STRIPS | 97% | 97% | 97% | 96% | 92% |
| Government Sponsored Enterprises | |||||
| Bills, Notes, and Bonds | 98% | 98% | 97% | 96% | 94% |
| Foreign Government, Foreign Government Guaranteed, and Brady Bonds | |||||
| AAA-A rated - U.S. Dollar Denominated | 98% | 98% | 97% | 96% | 91% |
| BBB rated - U.S. Dollar Denominated | 97% | 97% | 96% | 95% | 90% |
| AAA-BBB rated - Foreign Denominated | 94% | 94% | 93% | 92% | 90% |
| Foreign Government Agencies | |||||
| AAA-BBB U.S. - Dollar Denominated | 98% | 98% | 97% | 96% | 94% |
| AAA rated - Foreign Denominated | 94% | 94% | 93% | 92% | 90% |
| Supranationals | |||||
| Bills, Notes, and Bonds - U.S. Dollar Denominated | 97% | 97% | 97% | 96% | 94% |
| Bills, Notes, and Bonds - AAA rated - Foreign Denominated | 94% | 94% | 93% | 92% | 89% |
| Corporate Bonds | |||||
| AAA rated - Financials - U.S. Dollar Denominated | 98% | 98% | 97% | 96% | 90% |
| AA rated - Financials - U.S. Dollar Denominated | 97% | 97% | 96% | 94% | 89% |
| A rated - Financials - U.S. Dollar Denominated | 95% | 94% | 90% | 90% | 87% |
| BBB rated - Financials - U.S. Dollar Denominated | 91% | 87% | 87% | 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 | 93% | 92% | 91% | 90% | 86% |
| German Jumbo Pfandbriefe | |||||
| AAA rated - U.S. Dollar Denominated | 98% | 98% | 97% | 96% | 94% |
| AAA rated - Foreign Denominated | 94% | 94% | 93% | 91% | 91% |
| Municipal Bonds | |||||
| AAA-A rated - U.S Dollar Denominated | 98% | 98% | 97% | 95% | 92% |
| BBB rated - U.S Dollar Denominated | 97% | 97% | 96% | 93% | 89% |
| AAA rated - Foreign Denominated | 93% | 93% | 92% | 90% | 87% |
| Asset-Backed Securities | |||||
| AAA-A rated - U.S. Dollar Denominated | 98% | 98% | 96% | 91% | 89% |
| BBB rated - U.S. Dollar Denominated | 97% | 96% | 95% | 90% | 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 | 98% | 98% | 97% | 96% | 94% |
| Collateralized Mortgage Obligations U.S. Dollar Denominated | 97% | 97% | 97% | 96% | 94% |
| Commercial Mortgage Backed U.S. Dollar Denominated | 98% | 98% | 97% | 96% | 94% |
| Non Agency Backed Mortgages | |||||
| Residential Mortgage Backed - AAA rated - U.S. Dollar Denominated | 81% | 81% | 81% | 81% | 81% |
| Residential Mortgage Backed - AA rated - U.S. Dollar Denominated | 68% | 68% | 68% | 68% | 63% |
| Residential Mortgage Backed - A rated - U.S. Dollar Denominated | 64% | 64% | 64% | 64% | 62% |
| Residential Mortgage Backed - BBB rated - U.S. Dollar Denominated | 62% | 62% | 62% | 62% | 61% |
| 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% | 89% | 89% | 89% | 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:
- 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.