Basel Committee proposes amendments to rules on haircut floors for securities financing transactions
On 26 January 2021, the Basel Committee on Banking Supervision published for consultation two technical amendments to the standard on 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 SFTs.
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 by 31 March 2021.