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  • The Standard Supervisory Haircuts

    • CA-4.7.39

      Both the amount of exposure to counterparty and the value of collateral received are adjusted by using standard supervisory haircuts as set out below:

      Types of Collateral* Residual Maturity (yrs) Haircuts (%)
      Sovereigns15 Others
      Cash All 0 0
      Sukuk
      Long-term: AAA to AA- and
      Short-term: A-1
      		 ≤ 1
      > 1 to ≤ 5
      > 5       		0.5
      2
      4       		1
      4
      8
      Sukuk
      Long-term: A+ to BBB- and
      Short-term: A-2 to A-3       		≤ 1
      > 1 to ≤ 5
      > 5       		1
      3
      6       		2
      6
      12
      Sukuk
      Long-term: BB+ to BB-       		All 15 15
      Sukuk (unrated) All 25 25
      Equities (included in main index)
      Equities (not included in main index but listed)
      Units in collective investment schemes       		All
      All
      All       		15
      25
      Depending on the underlying assets as above       		15
      25
      Depending on the underlying assets as above
      Leased assets used as collateral (except residential real estate -see CA-4.2.19) and other assets All >=30 >=30

      * Collateral denominated in different currency will also be subject to additional 8% haircut to cater for foreign exchange risk.

      15 Includes PSEs and MDBs

      Apr 08

    • CA-4.7.40

      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). For transactions in which the bank lends non-eligible instruments (e.g. non- investment grade 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