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  • Standard Haircuts

    • CA-4.3.7

      These are the standard haircuts (assuming daily mark-to-market, daily re-margining and a 10-business day holding period), expressed as percentages:

      Issue rating for debt securities Residual Maturity Sovereigns19,20 Other issuers21
      AAA to AA-/A-1 ≤1 year 0.5 1
      >1 year, ≤5 years 2 4
      > 5 years 4 8
      A+ to BBB-/ A-2/A-3/P-3 and unrated bank securities per para. CA-4.3.1(d) ≤1 year 1 2
      >1 year, ≤5 years 3 6
      > 5 years 6 12
      BB+ to BB- All 15  
      Main index equities (including convertible bonds) and Gold 15
      Other equities (including convertible bonds) listed on a recognised exchange 25
      UCITS/Mutual funds Highest haircut applicable to any security in which the fund can invest
      Cash in the same currency22 0

      19 Includes PSEs which are treated as sovereigns by the CBB.

      20 Multilateral development banks receiving a 0% risk weight will be treated as sovereigns.

      21 Includes PSEs which are not treated as sovereigns by CBB.

      22 Eligible cash collateral specified in paragraph CA-4.3.1 (a).

      Apr 08

    • CA-4.3.8

      The standard haircut for currency risk where exposure and collateral are denominated in different currencies is 8% (also based on a 10-business day holding period and daily mark-to-market).

      Apr 08

    • CA-4.3.9

      For transactions in which the bank lends non-eligible instruments (e.g. non-investment grade corporate debt securities), the haircut to be applied on the exposure should be the same as the one for equity traded on a recognised exchange that is not part of a main index.

      Apr 08