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