Primary Dealer Credit Facility: Collateral Schedule

Effective April 9, 2020

The schedule below reflects the securities eligible for the PDCF and applicable margins. The Federal Reserve may periodically make changes to the securities eligible for the PDCF and applicable margins and, accordingly, this schedule is subject to change. This schedule may be periodically updated without notice and is not binding on the Federal Reserve System in any particular transaction.

SCHEDULE OF ELIGIBLE SECURITIES
Direct obligations of the U.S. Treasury
Security Type Margin Percentage1
Bills, Notes and Bonds (including Inflation-Indexed Securities) 104%
STRIPS and Synthetic Treasuries (including Strips of Inflation Indexed Securities) 108%

Direct obligations of the following federally related entities:
  • Federal Agricultural Mortgage Corporation (Farmer Mac);
  • Federal Farm Credit Banks Funding Corporation (Farm Credit System);
  • Federal Home Loan Bank System;
  • Federal Home Loan Mortgage Corporation (Freddie Mac);
  • Federal National Mortgage Association (Fannie Mae);
  • Financing Corporation (FICO);
  • Resolution Funding Corporation (REFCO);
  • Small Business Administration (SBA);
  • Student Loan Marketing Association (SLMA); or
  • Tennessee Valley Authority
Security Type Margin Percentage1
Fixed and Floating Rate Debentures: 105%
Interest and Principal Strips: 109%

Agency and Private Label Mortgage-Backed Securities Passthroughs and CMOs (Excluding Trust Receipts)2
Security Type Margin Percentage1
Agency Single-Family, Pass-Through Securities 105%
Agency CMBS 105%
Agency REMICS/CMOs 106%
Agency Residential Credit Risk Transfer Securities
A-/A3/A- Rated or better 115%
BBB-/Baa3/BBB- Rated or better but less than A-/A3/A- 159%
Private Label Residential Mortgage Backed Securities
BBB-/Baa3/BBB- Rated or better 141%
Private Label CMBS
AAA/Aaa/AAA Rated 113%

Money Market Instruments
Security Type Margin Percentage1
Money Market Instruments
A2/P2/F2 Rated or better – Commercial Paper 105%
A2/P2/F2 Rated or better – Bankers Acceptances 105%
A2/P2/F2 Rated or better – Certificates of Deposit 105%
A2/P2/F2 Rated or better – Bank Notes 105%

Equities
Security Type Margin Percentage1
Common Stock, Preferred Stock and American Depository Receipts 120%

Municipal Securities, Corporate Securities, Asset Backed Securities, International Agencies
Security Type Margin Percentage1
Municipal Securities
BBB-/Baa3/BBB- Rated or better 107%
Corporate Securities
AAA/Aaa/AAA Rated 108%
AA-/Aa3/AA- Rated or better, but less than AAA/Aaa/AAA 109%
A-/A3/A- Rated or better but less than AA-/Aa3/AA- 110%
BBB-/Baa3/BBB- Rated or better but less than A-/A3/A- 113%
Asset Backed Securities
A-/A3/A- Rated or better 110%
BBB-/Baa3/BBB- Rated or better but less than A-/A3/A- 113%
Collateralized Debt Obligations (CDO)
AAA/Aaa/AAA Rated 125%
Collateralized Loan Obligations (CLO)
AAA/Aaa/AAA Rated 122%
Supranational Agency Securities
BBB-/Baa3/BBB- Rated or better 106%
Sovereign / Foreign Gov’t Agency / Foreign Gov’t Guaranteed Securities
A-/A3/A- Rated or better 107%
BBB-/Baa3/BBB- Rated or better but less than A-/A3/A- 109%

1 Margin percentages are calculated by dividing the value of the collateral pledged by the loan amount.

2 Agency refers to securities issued and/or fully guaranteed by the Government National Mortgage Association, Federal Home Loan Mortgage Corporation, Federal National Mortgage Association or Farmers Agricultural Mortgage Corporation.