Acceptable Collateral
Cash
Select Foreign Sovereign Cash		U.S. Dollars
Select Foreign Debt
Canada	France	Germany	United Kingdom
U.S. Treasuries – including TIPS
TBILLS	TNOTES	TBONDS	TSTRIPS
Select U.S. Government Agencies
(FNMA) FANNIE MAE	FREDDIE MAC (FHLM)	FEDERAL HOME LOAN BANK (FHLB)	FEDERAL FARM CREDIT BANK (FFCB)
Mortage Backed Securities (Fixed Rate, Conventional, Multifamily or Single Family Pass Through Certificates)
Fannie Mae (FNMA)	Freddie Mac (FHLM)	Ginnie Mae (GNMA)
Specialized Collateral Programs
IEF2 IEF3 IEF4 IEF5
Letters of Credit
Pass-through	Standby
Stock
Stock updated quarterly

Acceptable Collateral & Applicable Haircuts

Cash
Foreign Sovereign Cash Haircuts will be applied only when performance bond cash is utilized to meet PB requirements in other currencies:
Australian dollar, British pound, Canadian dollar, Euro, New Zealand dollar, Norwegian krone, Swedish krona, Swiss franc	3% haircut.
Japanese yen	5% haircut
Mexican peso	15% haircut
US Dollar
No haircuts are applied.

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Foreign Sovereign Debt

Selected Sovereign debt of Canada, France, Germany, Sweden and United Kingdom:

Discount bills 3%       0-5 years 5.50%       5-10 years 7.00%       10-30 years 8.50%       >30 years 10%

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U.S. Treasuries

U.S. Treasury Bills

No haircuts applied to market value.

U.S. Treasury Bonds U.S. Treasury Notes

0-5 years 5-10 years 10-30 years If security is off the run 2% 3.5% 5% 0.5% added

U.S. Treasury Strips (Principal & Coupon)

10% haircut applied to market value of security.

Please see Advisory Notice  # 03-97 for more details.

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U.S. Government Agencies

Limited to the combination of letters of credit and government agencies of no more than 50% of clearing member's core performance bond requirement in excess of $5 million. This restriction does not apply to the clearing firm's reserve performance bond or concentration requirements. See Clearing House Advisories -  #04-82 &  #03-64 for more details.

Discount notes (with remaining maturity of no more than 12 months). Issued by Federal Farm Credit Banks, Federal Home Loan Bank System, Federal Home Loan Mortgage Corp. and Federal National Mortgage Assoc.

3% haircut on market value (0.5% added if security is off the run)

Callable and Non-callable Fannie Mae Benchmark Bills Callable and Non-callable Freddie Mac Reference Bills Callable and Non-callable Federal Home Loan Bank Bills Callable and Non-callable Federal Farm Credit Bank Bills

3% haircut on market value of Agency Bills (0.5% added if security is off the run).

Callable and Non-callable Fannie Mae Benchmark Notes and Bonds Callable and Non-callable Freddie Mac Reference Notes and Bonds Callable and Non-callable Federal Home Loan Bank Notes and Bonds Callable and Non-callable Federal Farm Credit Bank Notes and Bonds

Agency Bonds and Notes have a haircut on market value: 0-5 yrs 5-10 yrs 10+ yrs If the security is off the run 3% 4.5% 6% 0.5% added Please see Advisory Notice  #04-82 for more details...

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