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 Central Bank revises the haircuts applicable to government securities provided as collateral for Vertical Repos, the CBK Discount (Overnight) Window, and the Intra-day Liquidity Facility. Effective immediately, the haircut for Treasury Bills and Bonds with maturities under one year is reduced from 10% to 2%, for those with maturities between one and ten years from 20% to 5%, and for those with maturities over ten years from 20% to 10%. These changes apply to all commercial banks.

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BANKI KUU YA KENYA
CENTRAL BANK OF 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:

Collateral	Current Applicable Haircut	New Applicable Haircut
Treasury Bills/Bonds < 1 year	10%	2%
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

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Lineage: In force

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Source: Central Bank of Kenya — original document · Summary generated with machine assistance and reviewed before publication; the authoritative text is the regulator's original document. How RegAlert works