Regulatory Alerts2023-08-29
Banking Circular No 6 of 2023 - Changes to Haircuts Applicable to Government Securities used as Collateral for Vertical Repos, CBK Discount (Overnight) Window and Intra-Day Liquidity Facility
The Financial Markets Department has revised haircut rates for government securities used as collateral for Vertical Repos, CBK Discount (Overnight) Window and Intra-day Liquidity Facility. Effective immediately, the new applicable haircuts are: 2% for all collateral, 10% for Treasury Bills/Bonds less than one year, 5% for Treasury Bonds between 1 to 10 years, and 10% for those over 10 years. This update follows the launch of DhowCSD on July 31, 2023, which aims at improving operations involving government securities.
BANKI KUU YA KENYA Haile Selassie Avenue P.O. Box 60000 - 00200 Nairobi, Kenya Telephone: 2860000, Fax: 340192 AUGUST 29, 2023 BANKING CIRCULAR NO. 6 OF 2023 TO: ALL CHIEF EXECUTIVE OFFICERS OF COMMERCIAL BANKS CHANGES TO HAIRCUTS APPLICABLE TO GOVERNMENT SECURITIES USED AS COLLATERAL FOR VERTICAL REPOS, CBK DISCOUNT (OVERNIGHT)WINDOW AND INTRA-DAY LIQUIDITY FACILITY The launch of the DhowCSD on July 31, 2023 has provided an opportunity to refine operations involving government securities. Given this development, the Central Bank hereby announces a revision of haircuts applicable to securities provided as collateral for Vertical Repos, CBK Discount (Overnight) Window and Intra-day Liquidity Facility as outlined below:
| Current Applicable | New Applicable | |
|---|---|---|
| Collateral | Haircut | Haircut |
| 2% | ||
| Treasury Bills/Bonds < 1 year | 10% | |
| Treasury Bonds > 1 year < 10 years | 20% | 5% |
| Treasury Bonds > 10 years | 20% | 10% |
These changes take effect immediately. DAVID LUUSA DIRECTOR, FINANCIAL MARKETS DEPARTMENT