Division 2 Counterparties shall apply at least the haircuts provided in the following Tables 1 and 2 to the market value of the collateral:
United Kingdom
Table 1
Haircuts for long term credit quality assessments
| Credit quality step with which the credit assessment of the debt security is associated | Residual maturity | Haircuts for debt securities issued by entities described in Article 4 (1) (c) to (e) and (h) to (k), in (%) | Haircuts for debt securities issued by entities described in Article 4 (1) (f), (g), (l) to (n) in (%) | Haircuts for securitisation positions meeting the criteria in Article 4 (1) (o) in (%) |
|---|---|---|---|---|
| 1 | ≤ 1 year | 0,5 | 1 | 2 |
| > 1 ≤ 5 years | 2 | 4 | 8 | |
| > 5 years | 4 | 8 | 16 | |
| 2-3 | ≤ 1 year | 1 | 2 | 4 |
| > 1 ≤ 5 years | 3 | 6 | 12 | |
| > 5 years | 6 | 12 | 24 | |
| 4 or below | ≤ 1 year | 15 | N/A | N/A |
| > 1 ≤ 5 years | 15 | N/A | N/A | |
| > 5 years | 15 | N/A | N/A |
Table 2
Haircuts for short term credit quality assessments
| Credit quality step with which the credit assessment of a short term debt security is associated | Haircuts for debt securities issued by entities described in Article 4(1) (c) and (j) in (%) | Haircuts for debt securities issued by entities described in Article 4(1) (m) in (%) | Haircuts for securitisation positions and meeting the criteria in Article 4(1) (o) in (%) |
|---|---|---|---|
| 1 | 0,5 | 1 | 2 |
| 2-3 or below | 1 | 2 | 4 |