Haircut floors for non-centrally cleared securities financing transactions - consultative document

November 2015

In October 2014, the FSB published a report on Strengthening Oversight and Regulation of Shadow Banking - Regulatory framework for haircuts on non-centrally cleared securities financing transactions and introduced a framework for haircut floors for non-centrally cleared SFTs. As part of this framework, the FSB recommended that the Basel Committee on Banking Supervision (BCBS) incorporate the haircut floors into the capital requirements for non-centrally cleared SFTs by setting higher capital requirements for transactions with haircuts traded below the haircut floors. The objective of the BCBS proposal is to create incentives for banks to set their collateral haircuts above the floors rather than hold more capital.