26 Jan BCBS – proposes amendments to rules on haircut floors for securities financing transactions

January 26, 2021

Technical Amendments

Amendments aimed to address the interpretive issues regarding collateral upgrade transactions, correct a misstatement of the formula applied to netting sets of STFs.

Amendments both relate to chapter CRE56 of the consolidated Basel framework which set out a formula for calculation of portfolio haircut floor for a netting set of SFTs.

Effectiveness

Responses to the consultation are requested by March 31, 2021.

For more information, visit www.bis.org.

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