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 |