Basel Committee finalizes technical amendments for SFT minimum haircut floors

Basel Committee has finalized technical amendments to the calculation of minimum haircut floors for securities financing transactions.

  • The regulatory treatment of collateral upgrade transactions has been clarified.
  • The calculation formula applied to netting sets has been revised.
  • The Basel Committee on Banking Supervision published two technical amendments to the standard on minimum haircut floors for securities financing transactions (SFTs).

The first technical amendment addresses an interpretative issue relating to collateral upgrade transactions and the second corrects for a misstatement of the formula used to calculate haircut floors for netting sets of STFs.

The amendments were published for consultation in January 2021 and have been finalized as originally proposed. 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.

Source

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