BANK 4.5.5 Standard haircuts to be applied
other issuers include banks, corporates, and public sector enterprises that are not treated as sovereigns.
sovereign includes a multilateral development bank, and a non-commercial public sector enterprise, that has a zero per cent risk-weight.
Table 4.5.5A Haircuts for debt securities
|column 1 item||column 2 credit rating for debt securities||column 3 residual maturity %||column 4 sovereigns %||column 5 other issuers %|
|1||AAA to AA-/A-1 (long-term and short-term)||1 year||0.5||1|
|>1 year, 5 years||2||4|
|> 5 years||4||8|
|2||A+ to BBB-/ A-2/A-3/P-3 (long-term and short-term) and unrated bank securities that are eligible financial collateral||1 year||1||2|
|>1 year, 5 years||3||6|
|> 5 years||6||12|
|3||BB+ to BB- (long-term)||All||15||Not applicable|
|4||securities issued by the State of Qatar or the Qatar Central Bank||1 year||1||Not applicable|
|>1 year, 5 years||3||Not applicable|
|>5 years||6||Not applicable|
Note Table 4.5.5A item 3, column 5: securities rated BB+ or below are eligible financial collateral only if issued by a sovereign or non-commercial public sector enterprise — see rule 4.5.7 (1) (c) (i).
Table 4.5.5B Haircuts for other assets
|column 1 item||column 2 description of assets||column 3 haircut %|
|1||main index equities (including convertible bonds) and gold||15|
|2||other equities (including convertible bonds) listed on a recognised exchange||25|
|3||units in listed trusts, undertakings for collective investments in transferable securities (UCITS), mutual funds and tracker funds||highest haircut applicable to any security in which the entity can invest|
|4||cash collateral denominated in the same currency as the collateralised exposure||0|
Gx(1 — Hfx)
G is the nominal amount of the guarantee.
Hfx is the haircut appropriate for the currency mismatch between the credit protection and the underlying obligation, as follows:
H is the scaled-up haircut.
N is the number of business days between revaluations.
|Amended by QFCRA RM/2015-3 (as from 1st January 2016).|