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 Gradeof 1 or short-term Credit Quality Gradeof "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 Gradeof 2 or 3 or short-term Credit Quality Gradeof "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 Gradeof 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 Unitin a Collective Investment Fund. highest haircut applicable to any Securityin which the fund can invest Cash in the same currency as the underlying Exposure. 0 Instrumentsin the Trading Bookother than those listed (for pre-settlement Counterparty Exposuresarising from SFTs included in the Trading Book). 0.25
PIB A4.3.13 Guidance
PSEs and MDBs should be treated as equivalent to central governments for the purpose of this table.
The standard supervisory haircut, HE, for transactions in which an
Authorised Firmlends instruments that do not qualify as eligible financial Collateral(e.g. corporate debt Securitieswith a Credit Quality Gradeof 4 or worse) is 0.25.
The standard supervisory haircut, HFX, for currency mismatch where
Exposureand Collateralare denominated in different currencies based on a ten-business day holding period and daily revaluation is 0.08.
Where the minimum holding period, frequency of remargining or revaluation assumptions set out for eligible financial
Collateralin PIB Rule A4.3.13 differ from those of the Authorised Firm, the Authorised Firmmust adjust HE, HC and HS using the formulae in Rules PIB A4.3.25 to PIB A4.3.26.