Minimum haircut floors for securities financing transactions

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.

Comments on the proposed technical amendments should be submitted here by Wednesday, 31 March 2021. All comments will be published on the BIS website unless a respondent specifically requests confidential treatment.