Regulatory Alerts2023-08-29 | 1891759358Banking 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 Central Bank of Kenya announces revised haircuts for government securities used as collateral for various financial operations, including Vertical Repos, the CBK Discount Window, and the Intra-day Liquidity Facility. These changes are effective immediately and aim to refine operations involving government securities following the launch of the DhowCSD. The haircuts for Treasury Bonds with maturities between 1 and 10 years have been reduced to 5%, while haircuts for Treasury Bonds with maturities over 10 years have been adjusted to 10%.
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