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  • Standard Haircuts and Add-Ons

    • CA-4.3.7

      These are the standardised supervisory haircuts and add-ons (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 Sovereigns22,23 Other issuers24 Securitisation Exposures25
      AAA to AA-/A-1 ≤1 year 0.5 1 2
      >1 year, ≤5 years 2 4 8
      >5 years 4 8 16
      A+ to BBB-/ A-2/ A-3/ P-3 and Unrated bank securities ≤1 year 1 2 4
      >1 year, ≤5 years 3 6 12
      >5 years 6 12 24
      BB+ to BB- All 15 Not Eligible Not Eligible
      Main index equities 15
      Other equities 25
      UCITS/mutual funds Highest haircut applicable to any security in fund
      Cash in the same currency26 0

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

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

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

      25 Securitisation exposures are defined as those exposures that meet the definition set forth in the securitisation framework.

      26 Eligible cash collateral specified in Subparagraph CA-4.3.1(a).

      January 2015

    • 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).

      January 2015

    • CA-4.3.9

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

      January 2015