1. Municipal Bonds - Municipal bonds are haircut per Exhibit 1 based on both their time
to maturity and scheduled maturity at date of issue. The bond details can be found on
the Bonds & Ratings Information tab in the spreadsheet.
2. Corporate Bonds - Corporate bonds are haircut based on both their time to maturity
and whether they are rated as investment grade (defined by S&P and Fitch as BBB- and
above and by Moody's as Baa3 and above) 1 by at least two of the nationally recognized
statistical rating organizations. If the bonds qualify as investment grade, use Exhibit 2 to
determine the haircut of the bonds. If they do not qualify as investment grade, then
they are considered non-marketable and follow the haircut rules as stated in Exhibit 3.
It is important to note that the haircut is calculated using the absolute value of the
market value of the relevant bond.
What is the total haircut in USD on the positions in the accompanying spreadsheet as of
2017-12-31?