Entire Section

  • Standard Supervisory Haircuts

    • PIB A4.3.13 PIB A4.3.13

      The standard supervisory haircuts, HE, HC and HS referred in Rules PIB A4.3.6 to PIB A4.3.8 (assuming daily remargining or revaluation and a ten-business day holding period), are subject to PIB Rule A4.3.14, as follows:

      Eligible Financial Collateral Standard Supervisory Haircuts
      Issue Rating for Debt Securities Residual Maturity Central Governments or Central Banks Other Issuers
      Any debt security with a Credit Quality Grade of 1 or short-term Credit Quality Grade of "I". ≤ 1 year 0.005 0.01
      > 1 year, ≤ 5 years 0.02 0.04
      > 5 years 0.04 0.08
      Any debt security with a Credit Quality Grade of 2 or 3 or short-term Credit Quality Grade of "II" and "III" and unrated bank securities as defined in PIB Rule 4.13.5(d). ≤ 1 year 0.01 0.02
      > 1 year, ≤ 5 years 0.03 0.06
      > 5 years 0.06 0.12
      Any debt security with a Credit Quality Grade of 4. All 0.15 NA
      Gold 0.15
      Any equity (including a convertible bond) included in a main index. 0.15
      Any other equity (including a convertible bond) traded on a regulated exchange. 0.25
      Any Unit in a Collective Investment Fund. highest haircut applicable to any Security in which the fund can invest
      Cash in the same currency as the underlying Exposure. 0
      Instruments in the Trading Book other than those listed (for pre-settlement Counterparty Exposures arising from SFTs included in the Trading Book). 0.25
      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]

      • PIB A4.3.13 Guidance

        PSEs and MDBs should be treated as equivalent to central governments for the purpose of this table.

        Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]

    • PIB A4.3.14

      The standard supervisory haircut, HE, for transactions in which an Authorised Firm lends instruments that do not qualify as eligible financial Collateral (e.g. corporate debt Securities with a Credit Quality Grade of 4 or worse) is 0.25.

      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]

    • PIB A4.3.15

      The standard supervisory haircut, HFX, for currency mismatch where Exposure and Collateral are denominated in different currencies based on a ten-business day holding period and daily revaluation is 0.08.

      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]

    • PIB A4.3.16

      Where the minimum holding period, frequency of remargining or revaluation assumptions set out for eligible financial Collateral in PIB Rule A4.3.13 differ from those of the Authorised Firm, the Authorised Firm must adjust HE, HC and HS using the formulae in Rules PIB A4.3.25 to PIB A4.3.26.

      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]