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Acceptable Collateral & Haircuts

Acceptable Collateral & Haircut1

Asset Type

Collateral Haircut

Cash (U.S. Dollars) 0%
Common Stocks & Fund Shares (Equity Issues) Collateral-in-Margin Treatment2
Letters of Credit (U.S. Dollars)3 0%
U.S. Government Securities (Bills, Bonds, Notes, STRIPS, TIPS) Refer to Collateral Haircut Schedule4
U.S. Government Sponsored Debt (Bills, Bonds, Notes)5 Refer to Collateral Haircut Schedule
Canadian Government Securities (Bills, Bonds, Notes) Refer to Collateral Haircut Schedule

 

Collateral Haircut Schedule

Asset Type

Time to Maturity

< 1 Year

> 1 & < 5 Years

> 5 & < 10 Years

> 10 Years

U.S. Government Securities (Bills, Bonds, Notes, STRIPS, TIPS)6 0.5% 2% 3.5% 5%
U.S. Government Sponsored Debt (Bills, Bonds, Notes) 1% 3% 5% 7%
Canadian Government Securities (Bills, Bonds, Notes)7 0.5% 2% 3.5% Not Eligible

 

 


1The information below is subject to OCC’s Rules and By-Laws. Other limitations and/or restrictions may apply.

2OCC Rule 610 provides for deposits of Equity Issues in lieu of margin. When not deposited in lieu of margin, Equity Issues deposited under Rule 604 to satisfy margin requirements are subject to “collateral in margin” treatment, whereby they are included in Monte Carlo simulations under OCC’s STANS methodology to produce a portfolio specific haircut. Equity Issues are not valid for deposit in Clearing Fund or OCC/CME cross-margin accounts.

3Letter of Credit (Standby & Pass-Through) are not acceptable in Clearing Fund accounts. Pass-Through Letters of Credit are only acceptable in certain Segregated Futures accounts.

4U.S. Government Securities (Bills, Bonds, Notes, STRIPS) deposited to OCC margin accounts receive a Portfolio Specific Haircut and are not subject to the Collateral Haircut Schedule. U.S. Government Securities deposited as Escrow Deposit Supporting Collateral have a zero haircut.

5OCC accepts non-callable securities issued by the Federal Home Loan Mortgage Corporation (Freddie Mac) within its Reference Debt Program, securities issued by the Federal National Mortgage Association (Fannie Mae) within its Benchmark debt Program, and short-term non-callable Discount Notes issued by Freddie Mac or Fannie Mae. Not acceptable in Clearing Fund or in OCC/CME cross-margin accounts.

6Deposits in OCC/CME cross-margins accounts utilize the more conservative haircut of the respective organizations.

7An additional 3% haircut is applied subsequent to applying the haircut in the Collateral Haircut Schedule. Maturities greater than 10 years from date of deposit are not eligible.

 

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