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