| The Clearing House has reviewed its existing schedule of performance bond collateral haircuts, and has determined that several changes are in order. Haircuts will be reduced for U.S. Treasury notes, U.S. Treasury bonds and for all classes of agency securities currently accepted as performance bond collateral by the Clearing House. Additionally, the new haircut schedule for these classes of securities will be more closely correlated with remaining time to maturity. Changes to the existing haircut schedule are shown below. The CME will utilize the new haircut schedule at the commencement of the end-of-business margin and settlement cycle on Friday, April 27, 2001. Existing Haircut Schedule | U.S. Treasury notes | 3.50% on market value of security | | U.S. Treasury bonds | +2.00% if security �off the run[1]�
+2.00% if days to maturity greater than 5-years | Agency securities:
Discount notes issued by FFCB, FHLB, FHLMC, and FNMA | 5.00% on market value of security | | Fannie Mae Benchmark bills[2] | | | Freddie Mac Reference bills | | | Fannie Mae Benchmark notes, bonds | 5.00% on market value of security | | Freddie Mac Reference notes, bonds | +2.00% if security �off the run�
+2.00% if days to maturity greater than 5-years |
New Haircut Schedule | U.S. Treasury notes | 0-5 years: 2.00% | | U.S. Treasury bonds | 5-10 years: 3.50%
10 years and over: 5.00% | | Additionally, .50% added if security �off the run� | | Agency securities:
Discount notes issued by FFCB, FHLB, FHLMC, and FNMA
Fannie Mae Benchmark bills
Freddie Mac Reference bills | 3.00% on market value of security | | Additionally, .50% added if security �off the run� | | | Fannie Mae Benchmark notes, bonds | 0-5 years: 3.00% | | Freddie Mac Reference notes, bonds | 5-10 years: 4.50%
10 years and over: 6.00% | | Additionally, 0.50% added if security �off the run� | |
Questions can be directed to Tim Golomb, Associate Director, Financial Management, 312-930-3194; or Dora De La Paz, Financial Project Manager, 312-930-3171.
[1] Security is �off the run� if original issue date is more than 9 months old [2] In order to be acceptable as collateral at CME, all securities issued by Fannie Mae under its �Benchmark� program and by Freddie Mac under its �Reference� program must be non-callable |
