CFTC Form 1-FR-IB Instructions - National Futures Association

(ii) Between 5 years and 10 years and within 9 months of each
other;
(iii) Between 10 years and 15 years and within 2 years of each
other; or
(iv) 15 years or more and within 10 years of each other.
The broker-dealer shall deduct the amounts specified in paragraphs
(c)(2)(vi)(F)(3) and (4) of this section.
(3) With respect to those positions described in paragraph
(c)(2)(vi)(F)(2) of this section that include a long or short position
in securities issued by the United States or any agency thereof, the
broker or dealer shall exclude the hedging short or long United States
or agency securities position from the applicable haircut category
under paragraph (c)(2)(vi)(A) of this section. The broker or dealer
shall deduct the percentage of the market value of the hedged long or
short position in nonconvertible debt securities as specified in each
of the categories below:
(i) Less than 5 years to maturity - 1 1/2%
(ii) 5 years but less than 10 years to maturity - 2 1/2%
(iii) 10 years but less than 15 years to maturity - 2 3/4%
(iv) 15 years or more to maturity - 3%
(4) With respect to those positions described in paragraph
(c)(2)(vi)(F)(2) that include offsetting long and short positions in
nonconvertible debt securities, the broker or dealer shall deduct a
percentage of the market value of the hedged long or short position in
nonconvertible debt securities as specified in each of the categories
below:
(i) Less than 5 years to maturity - 1 3/4%
(ii) 5 years but less than 10 years to maturity - 3%
(iii) 10 years but less than 15 years to maturity - 3 1/4%
(iv) 15 years or more to maturity - 3 1/2%
(5) In computing deductions under paragraph (c)(2)(vi)(F)(3) of
this section, a broker or dealer may include in the categories
specified in paragraph (c)(2)(vi)(F)(3) of this section, long or short
positions in securities issued by the United States or any agency
thereof that are deliverable against long or short positions in
futures contracts relating to Government securities, traded on a
recognized contract market approved by the Commodity Futures Trading
Commission, which are held in the proprietary or other accounts of the
broker or dealer. The value of the long or short positions included
in the categories shall be determined by the contract value of the
futures contract held in the account.