PRU A4.3.13

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

Debt security:
Credit Quality Grade
of issue – long-term
Residual Maturity Standard Supervisory Haircut
(%)
Issuer
Central
government
or central bank
Other
1 ≤ 1 year 0.5      1     
> 1 year and ≤ 5 years 2      4     
> 5 years 4      8     
2 or 3,
and unrated bank
securities as defined
in Rule 4.13.5(d)
≤ 1 year 1      2     
> 1 year and ≤ 5 years 3      6     
> 5 years 6      12     
4 All 15      n/a     

 

Debt security:
Credit Quality Grade of issue
– short-term
Standard Supervisory Haircut
(%)
Issuer
Central
government
or central bank
Other
I 0.5      1     
II or III,
and unrated bank securities as
defined in Rule 4.13.5(d)
1      2     

 

Other collateral or exposure type

Standard Supervisory Haircut
(%)
Gold 15     
Any equity (including a convertible bond) included in a main index 15     
Any equity (including a convertible bond) traded on a regulated exchange 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). 25