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