Hong Kong Regulations

BANKING (CAPITAL) RULES - SECT 90

Haircuts

Where a basket of recognized collateral which consists of more than one type
of recognized collateral is provided to an authorized institution in respect
of an exposure of the institution, the institution shall calculate the haircut
applicable to the basket of recognized collateral by the use of Formula 5.

FORMULA 5

CALCULATION OF HAIRCUT WHERE MORE THAN ONE TYPE OF RECOGNIZED COLLATERAL IS
PROVIDED IN RESPECT OF SAME EXPOSURE

Ha = ai × Hi

where— Ha = haircut applicable to the basket of recognized  collateral; ai =
weight of a given type of recognized collateral in relation to the aggregate
value of all types of recognized collateral provided in respect of the
exposure; and Hi = haircut applicable to that given type of recognized 
collateral pursuant to the standard supervisory haircuts for the
comprehensive approach to the treatment of recognized collateral subject to
adjustment as set out in section 92.