Evaluation of Collateral
Among the collaterals, substitute securities and foreign currencies are subject to changes in value and the possibility of the decline of the collateral value. Therefore, substitute securities and foreign currencies are recognized only up to a certain ratio (haircut) of the base prices to secure sufficient collateral value in case of collateral devaluation in emergency. The KRX evaluates collaterals by their market value every day to measure the accurate collateral value.
Collateral Assessment Recognition Ratio
Collateral assessment ratio (haircut ratio) should be determined by fully taking into consideration emergent situation to secure collateral disposal value that amounts over the collateral assessment amount and is calculated by measuring historical price volatility and liquidity. In addition, to limit the procyclical changes, the volatility measurement period and the confidence level are set in a conservative manner.
< Assessment rates of Foreign Currencies >
Classification Type of asset
Foreign currencies USD, JPY, EUR, GBP, HKD, AUD, AGD, CHF, CAD, CNY
95%주의
주의Assessment rate = Min[95%, 100% - |(Base yield x Procyclicality mitigation factor - Bank buying commission)|]
- Base yield: The base yield refers to a value corresponding to the 99th percentile by sorting the base yields for the assessment period in descending order.
- Calculation of base yields: Log(Basic rate(t-day) / Basic rate(t-2 day))
- Procyclicality mitigation factor: 1.25
- Bank buying commission = Buying rate - Basic rate
< Assessment rates of listed debt Securities >
Classification Terms to maturity
Type of Issuer Credit Rating ≤1 Year >1 Year
and ≤3 Years
>3 Years
and ≤5 Years
>5 Years
and ≤10 Year
>10 Years
Government Bond Group n/a 98% 97% 96% 95% 93%
Special Purpose
Bond Group
(Government Guarantee)
AAA 96% 95% 94% 93% 91%
AA+ ~ AA- 94% 93% 92% 91% 89%
A+ ~ BBB+ 92% 91% 90% 89% 87%
BBB ~ BBB- 88% 86% 84% 82% 78%
BB+ ~ 84% 82% 80% 78% 74%
Special Purpose
Bond Group
AAA 94% 93% 92% 91% 89%
AA+ ~ AA- 92% 91% 90% 89% 87%
A+ ~ BBB+ 90% 89% 88% 87% 85%
BBB ~ BBB- 86% 84% 82% 80% 76%
BB+ ~ 82% 80% 78% 76% 72%
Municipal Bond Group n/a 92% 91% 90% 89% 87%
Corporate Bond Group (Financial Institutions) AAA 90% 89% 88% 87% 85%
AA+ ~ AA- 88% 87% 86% 85% 83%
A+ ~ BBB+ 86% 85% 84% 83% 81%
BBB ~ BBB- 82% 80% 78% 76% 72%
BB+ ~ 78% 76% 74% 72% 68%
Corporate Bond Group AAA 88% 87% 86% 85% 83%
AA+ ~ AA- 86% 85% 84% 83% 81%
A+ ~ BBB+ 84% 83% 82% 81% 79%
BBB ~ BBB- 80% 78% 76% 74% 70%
BB+ ~ 76% 74% 72% 70% 66%
< Assessment rates of listed stocks >
Classification Yield Grades
1st 2nd 3rd 4th 5th 6th
Liquidity Grades 1st 80% 78% 76% 74% 72% 70%
2nd 78% 76% 74% 72% 70% 68%
3rd 76% 74% 72% 70% 68% 66%
4th 74% 72% 70% 68% 66% 64%
5th 72% 70% 68% 66% 64% 62%
6th 70% 68% 66% 64% 62% 60%
주의Reference
- Enforcement Rules of Derivatives Market Business Regulation Annex 19-4.
- Enforcement Rules of KOSPI Market Business Regulation Annex 6, 9, 10.
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