Document ID: chunk:federal_register_of_legislation:F2024L01073:reg:4:p6
Version: federal_register_of_legislation:F2024L01073
Segment Type: reg
Provision Reference: reg 4 (pt 6/21)
Character Range: 86993–94612

maturity mismatch, an ADI must apply the following adjustment:
where:
    C =  value of the collateral adjusted for maturity mismatch
    P =  collateral amount
           t = min (T, residual maturity of the term of lodgement of the collateral) expressed in years
    T =  min (5, residual maturity of the exposure) expressed in years.

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).

 1.         Supervisory haircuts
Credit rating grade for debt securities                                                                                                                                                                                                                                  Residual maturity                                                         Sovereign (%)  Other issuer[22] (%)  Securitisation exposure[23] (%)
1 (long- and short-term)                                                                                                                                                                                                                                                  1 year                                                                  0.5            1                     2
> 1 year,  3 years                                                                                                                                                                                                                                                      2                                                                         3              8
> 3 years,  5 years                                                                                                                                                                                                                                                     4
> 5 years,  10 years                                                                                                                                                                                                                                                    4                                                                         6              16
> 10 years                                                                                                                                                                                                                                                               12

2-3 (long- and short-term) and unrated bank securities[24]                                                                                                                                                                                                                1 year                                                                  1              2                     Not eligible
> 1 year,  3 years                                                                                                                                                                                                                                                      3                                                                         4
> 3 years,  5 years                                                                                                                                                                                                                                                     6
> 5 years,  10 years                                                                                                                                                                                                                                                    6                                                                         12
> 10 years                                                                                                                                                                                                                                                               20
4 (long-term)                                                                                                                                                                                                                                                            All                                                                       15             Not eligible
Main index equities (including convertible bonds) and gold                                                                                                                                                                                                               20
Other equities and convertible bonds listed on a recognised exchange                                                                                                                                                                                                     30
Securities that are posted collateral but not eligible financial collateral                                                                                                                                                                                              30
Units in trusts                                                                                                                                                                                                                                                          Highest haircut applicable to any security in which the trust can invest
Cash[25]                                                                                                                                                                                                                                                                 0
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[26]   0

 1.          An ADI must apply a haircut of 8 per cent for currency risk (Hfx,i) where the exposure and collateral are denominated in different currencies, and zero per cent where they are denominated in the same currency.

Adjustments for different holding periods and non-daily mark-to-market or remargining
 1.          An ADI must apply the minimum holding periods and conditions in Table 24 to SFTs, other capital-market-driven transactions (e.g. OTC derivative transactions) and secured lending.

 1.         Minimum holding periods and conditions
Transaction type                    Minimum holding period (business days)  Condition
SFTs                                5                                       Daily remargining
Other capital market transactions   10                                      Daily remargining
Secured lending                     20                                      Daily revaluation

 1.          Under the following circumstances, an ADI must apply a higher minimum holding period:
         1.           for all netting sets where the number of trades exceeds 5,000 at any point during a quarter, an ADI must set the minimum holding period to 20 business days for the following quarter;
         2.           for netting sets containing one or more trades involving either illiquid collateral, or an OTC derivative that cannot be easily replaced, an