Standardized Haircut Schedule
Cash in same currency as swap obligation | 0.0 |
Eligible government and related debt (e.g., central bank, multilateral development bank, GSE securities identified in paragraph (a)(1)(v) of this section): Residual maturity less than one-year | 0.5 |
Eligible government and related debt (e.g., central bank, multilateral development bank, GSE securities identified in paragraph (a)(1)(v) of this section): Residual maturity between one and five years | 2.0 |
Eligible government and related debt (e.g., central bank, multilateral development bank, GSE securities identified in paragraph (a)(1)(v) of this section): Residual maturity greater than five years | 4.0 |
Eligible corporate debt (including eligible GSE debt securities not identified in paragraph (a)(1)(v) of this section): Residual maturity less than one-year | 1.0 |
Eligible corporate debt (including eligible GSE debt securities not identified in paragraph (a)(1)(v) of this section): Residual maturity between one and five years | 4.0 |
Eligible corporate debt (including eligible GSE debt securities not identified in paragraph (a)(1)(v) of this section): Residual maturity greater than five years | 8.0 |
Equities included in S&P 500 or related index | 15.0 |
Equities included in S&P 1500 Composite or related index but not S&P 500 or related index | 25.0 |
Gold | 15.0 |
Additional (additive) haircut on asset in which the currency of the swap obligation differs from that of the collateral asset | 8.0 |
17 C.F.R. §23.156