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.
< Collateral Assessment Recognition Ratio >(As of Aug.2015)
Classification Type of asset Ratio
Cash KRW 100%
Foreign currencies USD, JPY, EUR, GBP, HKD, AUD, AGD, CHF, CAD, CNY 95%
Substitute securities Stocks, etc.
  1. ① Issues that are constituent stocks of KOSPI200 and their average daily trading value is placed at the top 50%
  2. ② Issues whose average daily trading value is placed at the bottom 5% and that listed in the KOSPI and KOSDAQ market, The issues listed in KONEX market
  3. ③ Stocks that do not come under ① and ② above, and DR
  1. 80%

  2. 60%

  3. 70%
  1. ① ETFs (Government bonds, Local government bonds, Special bonds, Corporate bonds issued by financial institutions)
  2. ② ETFs (Corporate bonds excluding corporate bonds issued by financial institutions or the equity-related bonds, CP(excluding the equity-related bonds)
  3. ③ ETFs (Equity-related bonds, Equity-Linked Securities, KOSPI200·50·KRX100)
  4. ④ Other ETFs not mentioned above, ETNs
  1. 95%

  2. 85%

  3. 80%
  4. 70%
Bond
  1. ① Government bonds, Local government bonds, Special bonds, Corporate bonds issued by financial institutions
  2. ② Corporate bonds excluding corporate bonds issued by financial institutions
  3. ③ Equity-related bonds, Equity-Linked Securities
  1. 95%

  2. 85%
  3. 80%
  1. ① US Treasury Bills, US Treasury Notes and US Treasury Bond with maturities of less than 1 year
  2. ② US Treasury Notes and US Treasury Bond with maturities of less than 10 years
  3. ③ US Treasury Notes and US Treasury Bond with maturities of 10 years or longer
  1. 92%
  2. 88%
  3. 84%
Beneficiary Certificates
  1. ① The beneficiary certificates of bond-type securities fund and money market funds
  2. ② The beneficiary certificates not mentioned above
  1. 80%
  2. 70%
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