Texas Register, Volume 37, Number 35, Pages 6819-7008, August 31, 2012 Page: 6,949
6819-7008 p. ; 28 cm.View a full description of this periodical.
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Figure: 7 TAC 12.12(c)(1)(iv)(ll)
Table 3--Collateral Haircuts
SOVEREIGN ENTITIES
Residual maturity Haircut without currency mismatch4
OECD Country Risk <- 1 year .................. ........ .......... ..................... 0.005
Classification 0- ................. >1 year, <=- 5 years................... ............ ......0.02
>5 years.. ........ ............... .... .... ... ......0.04
OECD Country Risk <= 1 year..................... ... ..... .... ....... ........... 0.01
Classification 2-3................. >1 year, <= 5 years .... ... ................. 0.03
>5 years. ......... ........................ 0.06
CORPORATE AND MUNICIPAL BONDS THAT ARE BANK-ELIGIBLE INVESTMENTS
Residual maturity for debt securities Haircut without currency mismatch
All..............b........... <- 1 year............... .. .... ................. ............0.02
All............... ......... >1 year, <= 5 years........ ..................................... ....0.06
All........... ........ >5 years................ ....... ........ ....................... 0.12
OTHER ELIGIBLE COLLATERAL
Main index" equities (including convertible bonds)......................... 0.15
Other publicly traded equities (including convertible bonds)........... 0.25
Mutual funds... ............. ............. Highest haircut applicable to any
security in which the fund can invest
Cash collateral held............. .......... . ............... 0In cases where the currency denomination of the collateral differs
credit transaction, an additional 8.0% haircut will apply.from the currency denomination of the
OECD Country Risk Classification means the country risk classification as defined in Article 25 of the
OECD's February 2011 Arrangement on Officially Supported Export Credits Arrangement.
6 Main index means the Standard & Poor's 500 Index, the FTSE All-World Index, and any other index for
which the covered company can demonstrate to the satisfaction of the Federal Reserve that the equities
represented in the index have comparable liquidity, depth of market, and size of bid-ask spreads as equities in
the Standard & Poor's 500 Index and FTSE All-World [ndex.TABLES AND GRAPHICS August 31, 2012 37 TexReg 6949
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Texas. Secretary of State. Texas Register, Volume 37, Number 35, Pages 6819-7008, August 31, 2012, periodical, August 31, 2012; Austin, Texas. (https://texashistory.unt.edu/ark:/67531/metapth253227/m1/128/: accessed April 30, 2024), University of North Texas Libraries, The Portal to Texas History, https://texashistory.unt.edu; crediting UNT Libraries Government Documents Department.