Collateral haircut revision for central government securities tightens risk margins and requires monthly classification review for clearing members. Revision of minimum haircuts for Central Government securities accepted as collateral categorises securities by liquidity into short residual maturity liquid instruments, longer residual maturity liquid instruments, and semi liquid/illiquid instruments with graduated haircuts. Classification is jointly determined by clearing corporations and reviewed monthly on the 15th, with changes effective from the first of the next month, updating the risk management framework for assets deposited by clearing members.
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Collateral haircut revision for central government securities tightens risk margins and requires monthly classification review for clearing members.
Revision of minimum haircuts for Central Government securities accepted as collateral categorises securities by liquidity into short residual maturity liquid instruments, longer residual maturity liquid instruments, and semi liquid/illiquid instruments with graduated haircuts. Classification is jointly determined by clearing corporations and reviewed monthly on the 15th, with changes effective from the first of the next month, updating the risk management framework for assets deposited by clearing members.
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