Securities Valuation and Margins Table

Effective July 1, 2026

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

Margins are applied to the Reserve Banks’ 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 Reserve Banks. Margins for securities are assigned based on asset type, credit rating, and duration (as noted in the table below).

Effective Date: July 1, 2026
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	96	96	96	96	94
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	93
BBB rated - U.S. Dollar Denominated	97	97	96	95	92
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	93	91
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	96	95	91
AA rated - Financials - U.S. Dollar Denominated	97	97	95	94	90
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	92	90	87
German Jumbo Pfandbriefe
AAA rated - U.S. Dollar Denominated	98	98	97	96	94
AAA rated - Foreign Denominated	94	94	93	91	90
Municipal Bonds
AAA-A rated - U.S Dollar Denominated	98	98	97	94	92
BBB rated - U.S Dollar Denominated	97	97	96	93	90
AAA rated - Foreign Denominated	93	93	92	91	89
Asset-Backed Securities
AAA-A rated - U.S. Dollar Denominated	98	98	96	91	90
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	68
Residential Mortgage Backed - A rated - U.S. Dollar Denominated	64	64	64	64	64
Residential Mortgage Backed - BBB rated - U.S. Dollar Denominated	60	60	60	60	60
Commercial Mortgage Backed - AAA rated - U.S. Dollar Denominated	98	96	91	87	83
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%.