Minimum haircur floors for securities financing transactions - Technical Amendment.
The Committee has published for consultation two technical amendments to the chapter of the Basel Framework that sets out the calculation of minimum haircut floors for securities financing transactions (SFTs). The technical amendments seek to address an interpretative issue relating to collateral upgrade transactions and correct for a misstatement of the formula used to calculate haircut floors for netting sets of STFs.
Technical amendments are defined as changes in standards that are not substantial in nature but that cannot be unambiguously resolved based on the current text.
Commentson the proposed technical amendments should be submitted here by Wednesday,31March 2021. All comments will be published on the BIS website unless a respondent specifically requests confidential treatment.
- Publication Date: January 2021
- Publication Type: Consultative
- Publication Status: Open
- Publication Category: Credit Risk
- Number of Pages: 4
- Keywords: Credit Risk, Market Risk
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