(Art. 105 para. 1)
| Rating class as per Annex 2 and Art. 64a para. 2 CAO1 | Term to maturity | Haircut on collateral in cash deposits in % | Haircuts on collateral as per Art. 104 para. 1 lit. b in % | Haircuts on collateral as per Art. 104 para. 1 lit. c and d in % | Haircuts on collateral as per Art. 104 para. 1 lit. e and f in % | Haircuts for securities funds |
|---|---|---|---|---|---|---|
| n.a. | n.a. | 0 | n.a. | n.a. | 15 | Haircut applicable to invested assets (weighted average) |
| 1 or 2, or 1 for short-dated debt securities | ≤ 1 year | n.a. | 0.5 | 1 | n.a. | |
| > 1 year and ≤ 5 years | 2 | 4 | ||||
| > 5 years | 4 | 8 | ||||
| 3 or 4, or 2 or 3 for short-dated debt securities | ≤ 1 Jahr | 1 | 2 | |||
| > 1 year and ≤ 5 years | 3 | 6 | ||||
| > 5 year | 6 | 12 | ||||
| 5 | all | 15 | Not recognised |
Securities with at least one rating in rating classes 6 or 7 in accordance with Annex 2 CAO or rating class 4 in accordance with Article 64a CAO are generally not recognised as collateral.
SR 952.03 ↩
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