26 Jan BCBS – proposes amendments to rules on haircut floors for securities financing transactions
January 26, 2021
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.
Responses to the consultation are requested by March 31, 2021.
For more information, visit www.bis.org.