The Committee has published for consultation two technical amendments to the chapter of the Basel Framework that sets out the calculation of 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 STFs.
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 received
The Committee wishes to thank those who have taken the time and effort to express their views on the above consultation. The comments received are available in PDF format below.