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 the collateral 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 procyclicalitycyclical changes, the volatility measurement period and the confidence level are set in a conservative manner.
Content Manager
  • CCP Risk Management 051-662-2742