Entire Section

  • 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]