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e-CFR data is current as of July 9, 2020

Title 12Chapter IISubchapter APart 237Subpart A → Appendix


Title 12: Banks and Banking
PART 237—SWAPS MARGIN AND SWAPS PUSH-OUT
Subpart A—Margin and Capital Requirements for Covered Swap Entities (Regulation KK)


Appendix B to Subpart A to Part 237—Margin Values for Eligible Noncash Margin Collateral

Table B—Margin Values for Eligible Noncash Margin Collateral

Asset classDiscount (%)
Eligible government and related (e.g., central bank, multilateral development bank, GSE securities identified in §237.6(a)(2)(iv) or (b)(5) debt: residual maturity less than one-year0.5
Eligible government and related (e.g., central bank, multilateral development bank, GSE securities identified in §237.6(a)(2)(iv) or (b)(5) debt: residual maturity between one and five years2.0
Eligible government and related (e.g., central bank, multilateral development bank, GSE securities identified in §237.6(a)(2)(iv) or (b)(5) debt: residual maturity greater than five years4.0
Eligible GSE debt securities not identified in §237.6(a)(2)(iv) or (b)(5): residual maturity less than one-year1.0
Eligible GSE debt securities not identified in §237.6(a)(2)(iv) or (b)(5): residual maturity between one and five years:4.0
Eligible GSE debt securities not identified in §237.6(a)(2)(iv) or (b)(5): residual maturity greater than five years:8.0
Other eligible publicly traded debt: residual maturity less than one-year1.0
Other eligible publicly traded debt: residual maturity between one and five years4.0
Other eligible publicly traded debt: residual maturity greater than five years8.0
Equities included in S&P 500 or related index15.0
Equities included in S&P 1500 Composite or related index but not S&P 500 or related index25.0
Gold15.0

1 The discount to be applied to an eligible investment fund is the weighted average discount on all assets within the eligible investment fund at the end of the prior month. The weights to be applied in the weighted average should be calculated as a fraction of the fund's total market value that is invested in each asset with a given discount amount. As an example, an eligible investment fund that is comprised solely of $100 of 91 day Treasury bills and $100 of 3 year US Treasury bonds would receive a discount of (100/200)*0.5+(100/200)*2.0=(0.5)*0.5+(0.5)*2.0=1.25 percent.

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