Appendix B
Effective from 2020-10-05 - Oct 04 2020
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Standardised haircut schedule
| Asset class | Haircut (% of market value) |
| Cash in same currency | 0 |
| High-quality government and central bank securities: residual maturity less than one year | 0.5 |
| High-quality government and central bank securities: residual maturity between one and five years | 2 |
| High-quality government and central bank securities: residual maturity greater than five years | 4 |
| High-quality corporate\covered bonds: residual maturity less than one year | 1 |
| High-quality corporate\covered bonds: residual maturity greater than one year and less than five years | 4 |
| High-quality corporate\covered bonds: residual maturity greater than five years | 8 |
| Equities included in major stock indices | 15 |
| Gold | 15 |
| Additional (additive) haircut on asset in which the currency of the derivatives obligation differs from that of the collateral asset | 8 |