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  • The Standard Supervisory Haircuts and Add-Ons

    • CA-4.7.25

      Both the amount of exposure to counterparty and the value of collateral received are adjusted by using standard supervisory add-ons and haircuts as set out below with the exception of any exposures collateralised by own securities which are subject to treatment under Subparagraph CA-4.7.14(d) (and Chapter CA-2 as applicable):

      Types of Collateral* Residual Maturity (yrs) Haircuts (%)
          Sovereigns31 Others
      Cash on deposit All 0 0
      Sukuk ≦1 0.5 1
      Long-term: AAA to AA- and > 1 to ≦ 5 2 4
      Short-term: A-1 > 5 4 8
      Sukuk ≦1 1 2
      Long-term: A+ to BBB- and > 1 to ≦ 5 3 6
      Short-term: A-2 to A-3 > 5 6 12
      Sukuk All 15 15
      Long-term: BB+ to BB-      
      Sukuk (unrated) All 25 25
      Equities (listed and included in main index) All 15 15
      Equities (listed but not included in main index) All 25 25
      Units in collective investment schemes All Depending on the underlying assets as above Depending on the underlying assets as above
      Certain physical assets fulfilling the role of collateral in accordance with CA-4.7.10 (except real estate — see CA-4.2.19 to CA-4.2.20) All >=30 >=30

      * Collateral denominated in a different currency will also be subject to an additional 8% haircut to cater for foreign exchange risk (see Paragraph CA-4.7.26.

      31 Includes PSEs and MDBs

      January 2015

    • CA-4.7.26

      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 Islamic bank licensee lends non-eligible instruments (e.g. non- investment grade securities), the haircut 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