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Do we need to generate our own haircuts for repo-style transactions and over the counter (OTC) derivatives to be eligible for the advanced internal-ratings based approach (A-IRB)?

April 26, 2017advanced counter derivatives eligible HairCuts OTC transactions

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Do we need to generate our own haircuts for repo-style transactions and over the counter (OTC) derivatives to be eligible for the advanced internal-ratings based approach (A-IRB)?

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(January 24, 2005) Answer: As noted in Appendix C of the QIS-4 instructions, standard supervisory haircuts are permitted, so you do not need to generate your own haircuts to be eligible for A-IRB.