IBANK 8.8.6 Haircuts for readily marketable assets

(1) The haircuts to be applied to readily marketable assets of each kind are as set out in table 8.8.6. The haircut for an asset is to be applied to the mark-to-market value of the asset.
(2) For the table, an asset is investment grade if it is rated no lower than BBB- (long-term) or A-3 (short-term) by Standard & Poor's (or the equivalent by another ECRA).
(3) In the table:
MDB means multilateral development bank.

Note For a list of multilateral development banks that qualify for 0% risk weight, and examples of other multilateral development banks that do not, see the note following table 4.4.7A.
PSE means public sector enterprise.

Table 8.8.6 Haircuts for assets

Item Kind of asset Haircut (%)
A. Sovereign, central bank, non-commercial PSE and MDB investment-grade securities
A.1 Marketable securities with 12 months' or less residual maturity, issued or guaranteed by a sovereign, a central bank, a non-commercial PSE or an MDB 0
A.2 Marketable securities with more than 12 months' but not more than 5 years' residual maturity, issued or guaranteed by a sovereign, a central bank, a non-commercial PSE or an MDB 5
A.3 Marketable securities with more than 5 years' residual maturity, issued or guaranteed by a sovereign, a central bank, a non-commercial PSE or an MDB 10
B. Sovereign, central bank, non-commercial PSE and MDB non-investment-grade securities
B.1 Marketable securities issued by a sovereign, a central bank, a non-commercial PSE or an MDB, where the credit exposure is to the issuer, regardless of maturity 20
B.2 Marketable securities issued by a sovereign, a central bank, a non-commercial PSE or an MDB, where the credit exposure is not to the issuer, regardless of maturity 40
C. Non-government investment-grade securities
C.1 Marketable securities, issued by a corporate issuer or commercial PSE, with 6 months' or less residual maturity 5
C.2 Marketable securities, issued by a corporate issuer or commercial PSE, with more than 6 months', but 5 years' or less, residual maturity 10
C.3 Marketable securities, issued by a corporate issuer or commercial PSE, with more than 5 years' residual maturity 15
D. Non-government non-investment-grade securities
D.1 Marketable securities, issued by a corporate issuer or commercial PSE, regardless of maturity 60
E. Equities
E.1 Equities that qualify for a risk weight of 4% or less 20
(4) The Regulatory Authority may vary the haircut for an asset to reflect the conditions of a particular market or institution.
Inserted by QFCRA RM/2018-2 (as from 1st May 2018).