Supervisory haircutsSupervisory haircuts

Supervisory haircuts

1. An ADI must use the supervisory haircuts set out in Table 23 to determine the haircuts for the collateral (Hi) and the exposure (Hj).

2. Supervisory haircuts

<table cellspacing="0" cellpadding="0" style="margin-bottom:0pt; border:0.75pt solid #000000; border-collapse:collapse"><tbody><tr><td style="width:93.25pt; border-right:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:middle"><p style="margin-top:3pt; margin-bottom:3pt; page-break-after:avoid"><span style="font-weight:bold">Credit rating grade for debt securities</span></p></td><td style="width:63.85pt; border-right:0.75pt solid #000000; border-left:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:top"><p style="margin-top:3pt; margin-bottom:3pt; text-align:center"><span style="font-weight:bold">Residual maturity</span></p></td><td style="width:69.45pt; border-right:0.75pt solid #000000; border-left:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:top"><p style="margin-top:3pt; margin-bottom:3pt; text-align:center"><span style="font-weight:bold">Sovereign (%)</span></p></td><td style="width:63.05pt; border-right:0.75pt solid #000000; border-left:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:top"><p style="margin-top:3pt; margin-bottom:3pt; text-align:center"><span style="font-weight:bold">Other issuer</span><a id="_ftnref23"></a><a href="#_ftn23" style="text-decoration:none"><span class="FootnoteReference" style="font-size:8pt; font-weight:bold; color:#000000">[23]</span></a><span style="font-weight:bold"> (%)</span></p></td><td style="width:71.75pt; border-left:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:top"><p style="margin-top:3pt; margin-bottom:3pt; text-align:center"><span style="font-weight:bold">Securitisation exposure</span><a id="_ftnref24"></a><a href="#_ftn24" style="text-decoration:none"><span class="FootnoteReference" style="font-size:8pt; font-weight:bold; color:#000000">[24]</span></a><span style="font-weight:bold"> (%)</span></p></td></tr><tr><td rowspan="5" style="width:93.25pt; border-top:0.75pt solid #000000; border-right:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:middle"><p style="margin-top:3pt; margin-bottom:3pt"><span>1 (long- and short-term)</span></p></td><td style="width:63.85pt; border:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:middle"><p style="margin-top:3pt; margin-bottom:3pt; text-align:center"><span style="font-family:Symbol, serif"></span><span> </span><span>1 year</span></p></td><td style="width:69.45pt; border:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:middle"><p style="margin-top:3pt; margin-bottom:3pt; text-align:center"><span>0.5</span></p></td><td style="width:63.05pt; border:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:middle"><p style="margin-top:3pt; margin-bottom:3pt; text-align:center"><span>1</span></p></td><td style="width:71.75pt; border-top:0.75pt solid #000000; border-left:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:middle"><p style="margin-top:3pt; margin-bottom:3pt; text-align:center"><span>2</span></p></td></tr><tr><td style="width:63.85pt; border:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:middle"><p style="margin-top:3pt; margin-bottom:3pt; text-align:center"><span>&gt;</span><span> </span><span>1 year, </span><span style="font-family:Symbol, serif"></span><span> </span><span>3 years</span></p></td><td rowspan="2" style="width:69.45pt; border:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:middle"><p style="margin-top:3pt; margin-bottom:3pt; text-align:center"><span>2</span></p></td><td style="width:63.05pt; border:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:middle"><p style="margin-top:3pt; margin-bottom:3pt; text-align:center"><span>3</span></p></td><td rowspan="2" style="width:71.75pt; border-top:0.75pt solid #000000; border-left:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:middle"><p style="margin-top:3pt; margin-bottom:3pt; text-align:center"><span>8</span></p></td></tr><tr><td style="width:63.85pt; border:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:middle"><p style="margin-top:3pt; margin-bottom:3pt; text-align:center"><span>&gt;</span><span> </span><span>3 years, </span><span style="font-family:Symbol, serif"></span><span> </span><span>5 years</span></p></td><td style="width:63.05pt; border:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:middle"><p style="margin-top:3pt; margin-bottom:3pt; text-align:center"><span>4</span></p></td></tr><tr><td style="width:63.85pt; border:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:middle"><p style="margin-top:3pt; margin-bottom:3pt; text-align:center"><span>&gt;</span><span> </span><span>5 years, </span><span style="font-family:Symbol, serif"></span><span> </span><span>10 years</span></p></td><td rowspan="2" style="width:69.45pt; border:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:middle"><p style="margin-top:3pt; margin-bottom:3pt; text-align:center"><span>4</span></p></td><td style="width:63.05pt; border:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:middle"><p style="margin-top:3pt; margin-bottom:3pt; text-align:center"><span>6</span></p></td><td rowspan="2" style="width:71.75pt; border-top:0.75pt solid #000000; border-left:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:middle"><p style="margin-top:3pt; margin-bottom:3pt; text-align:center"><span>16</span></p></td></tr><tr><td style="width:63.85pt; border:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:middle"><p style="margin-top:6pt; margin-bottom:6pt; text-align:center"><span>&gt;</span><span> </span><span>10 years</span></p></td><td style="width:63.05pt; border:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:middle"><p style="margin-top:6pt; margin-bottom:6pt; text-align:center"><span>12</span></p></td></tr><tr><td rowspan="5" style="width:93.25pt; border-top:0.75pt solid #000000; border-right:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:middle"><p style="margin-top:3pt; margin-bottom:3pt"><span>2-3 (long- and short-term) and unrated bank securities</span><a id="_ftnref25"></a><a href="#_ftn25" style="text-decoration:none"><span class="FootnoteReference" style="font-size:8pt; color:#000000">[25]</span></a></p></td><td style="width:63.85pt; border:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:middle"><p style="margin-top:3pt; margin-bottom:3pt; text-align:center; page-break-inside:avoid; page-break-after:avoid"><span style="font-family:Symbol, serif"></span><span> </span><span>1 year</span></p></td><td style="width:69.45pt; border:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:middle"><p style="margin-top:3pt; margin-bottom:3pt; text-align:center; page-break-inside:avoid; page-break-after:avoid"><span>1</span></p></td><td style="width:63.05pt; border:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:middle"><p style="margin-top:3pt; margin-bottom:3pt; text-align:center; page-break-inside:avoid; page-break-after:avoid"><span>2</span></p></td><td rowspan="5" style="width:71.75pt; border-top:0.75pt solid #000000; border-left:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:middle"><p style="margin-top:3pt; margin-bottom:3pt; text-align:center; page-break-after:avoid"><span>Not eligible</span></p></td></tr><tr><td style="width:63.85pt; border:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:middle"><p style="margin-top:3pt; margin-bottom:3pt; text-align:center; page-break-inside:avoid; page-break-after:avoid"><span>&gt;</span><span> </span><span>1 year, </span><span style="font-family:Symbol, serif"></span><span> </span><span>3 years</span></p></td><td rowspan="2" style="width:69.45pt; border:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:middle"><p style="margin-top:3pt; margin-bottom:3pt; text-align:center; page-break-inside:avoid; page-break-after:avoid"><span>3</span></p></td><td style="width:63.05pt; border:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:middle"><p style="margin-top:3pt; margin-bottom:3pt; text-align:center; page-break-inside:avoid; page-break-after:avoid"><span>4</span></p></td></tr><tr><td style="width:63.85pt; border:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:middle"><p style="margin-top:3pt; margin-bottom:3pt; text-align:center; page-break-inside:avoid; page-break-after:avoid"><span>&gt;</span><span> </span><span>3 years, </span><span style="font-family:Symbol, serif"></span><span> </span><span>5 years</span></p></td><td style="width:63.05pt; border:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:middle"><p style="margin-top:3pt; margin-bottom:3pt; text-align:center; page-break-inside:avoid; page-break-after:avoid"><span>6</span></p></td></tr><tr><td style="width:63.85pt; border:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:middle"><p style="margin-top:3pt; margin-bottom:3pt; text-align:center; page-break-inside:avoid; page-break-after:avoid"><span>&gt;</span><span> </span><span>5 years, </span><span style="font-family:Symbol, serif"></span><span> </span><span>10 years</span></p></td><td rowspan="2" style="width:69.45pt; border:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:middle"><p style="margin-top:3pt; margin-bottom:3pt; text-align:center; page-break-inside:avoid; page-break-after:avoid"><span>6</span></p></td><td style="width:63.05pt; border:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:middle"><p style="margin-top:3pt; margin-bottom:3pt; text-align:center; page-break-inside:avoid; page-break-after:avoid"><span>12</span></p></td></tr><tr><td style="width:63.85pt; border:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:middle"><p style="margin-top:3pt; margin-bottom:3pt; text-align:center; page-break-inside:avoid; page-break-after:avoid"><span>&gt;</span><span> </span><span>10 years</span></p></td><td style="width:63.05pt; border:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:middle"><p style="margin-top:3pt; margin-bottom:3pt; text-align:center; page-break-inside:avoid; page-break-after:avoid"><span>20</span></p></td></tr><tr><td style="width:93.25pt; border-top:0.75pt solid #000000; border-right:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:middle"><p style="margin-top:3pt; margin-bottom:3pt"><span>4 (long-term)</span></p></td><td style="width:63.85pt; border:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:middle"><p style="margin-top:3pt; margin-bottom:3pt; text-align:center"><span>All</span></p></td><td style="width:69.45pt; border:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:middle"><p style="margin-top:3pt; margin-bottom:3pt; text-align:center"><span>15</span></p></td><td colspan="2" style="width:145.6pt; border-top:0.75pt solid #000000; border-left:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:middle"><p style="margin-top:3pt; margin-bottom:3pt; text-align:center"><span>Not eligible</span></p></td></tr><tr><td colspan="2" style="width:167.9pt; border-top:0.75pt solid #000000; border-right:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:middle"><p style="margin-top:3pt; margin-bottom:3pt"><span>Main index equities (including convertible bonds) and gold</span></p></td><td colspan="3" style="width:225.85pt; border-top:0.75pt solid #000000; border-left:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:middle"><p style="margin-top:3pt; margin-bottom:3pt; text-align:center"><span>20</span></p></td></tr><tr><td colspan="2" style="width:167.9pt; border-top:0.75pt solid #000000; border-right:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:middle"><p style="margin-top:3pt; margin-bottom:3pt"><span>Other equities and convertible bonds listed on a recognised exchange</span></p></td><td colspan="3" style="width:225.85pt; border-top:0.75pt solid #000000; border-left:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:middle"><p style="margin-top:3pt; margin-bottom:3pt; text-align:center"><span>30</span></p></td></tr><tr><td colspan="2" style="width:167.9pt; border-top:0.75pt solid #000000; border-right:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:middle"><p style="margin-top:3pt; margin-bottom:3pt"><span>Securities that are posted collateral but not eligible financial collateral</span></p></td><td colspan="3" style="width:225.85pt; border-top:0.75pt solid #000000; border-left:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:middle"><p style="margin-top:3pt; margin-bottom:3pt; text-align:center"><span>30</span></p></td></tr><tr><td colspan="2" style="width:167.9pt; border-top:0.75pt solid #000000; border-right:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:middle"><p style="margin-top:3pt; margin-bottom:3pt"><span>Units in trusts</span></p></td><td colspan="3" style="width:225.85pt; border-top:0.75pt solid #000000; border-left:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:middle"><p style="margin-top:3pt; margin-bottom:3pt; text-align:center"><span>Highest haircut applicable to any security in which the trust can invest</span></p></td></tr><tr><td colspan="2" style="width:167.9pt; border-top:0.75pt solid #000000; border-right:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:middle"><p style="margin-top:3pt; margin-bottom:3pt"><span>Cash</span><a id="_ftnref26"></a><a href="#_ftn26" style="text-decoration:none"><span class="FootnoteReference" style="font-size:8pt; color:#000000">[26]</span></a></p></td><td colspan="3" style="width:225.85pt; border-top:0.75pt solid #000000; border-left:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:middle"><p style="margin-top:3pt; margin-bottom:3pt; text-align:center"><span>0</span></p></td></tr><tr><td colspan="2" style="width:167.9pt; border-top:0.75pt solid #000000; border-right:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:middle"><p style="margin-top:3pt; margin-bottom:3pt"><span>Securities forming part of posted or received collateral for transactions that satisfy the criteria in paragraphs 19 and 20 of this Attachment, provided that, if the transaction is in a netting set, all transactions in that netting set satisfy those criteria</span><a id="_ftnref27"></a><a href="#_ftn27" style="text-decoration:none"><span class="FootnoteReference" style="font-size:8pt; color:#000000">[27]</span></a><span></span></p></td><td colspan="3" style="width:225.85pt; border-top:0.75pt solid #000000; border-left:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:middle"><p style="margin-top:3pt; margin-bottom:3pt; text-align:center"><span>0</span></p></td></tr></tbody></table>