On March 31, 2021, ISDA and the Institute of International Finance (IIF) submitted a joint response to the Basel Committee on Banking Supervision (BCBS) consultation on technical amendments to minimum haircuts for securities financing transactions (SFTs).
The BCBS published for consultation two technical amendments to the section of the framework that deals with the calculation of minimum haircut floors for SFTs. The technical amendments clarify an interpretation issue relating to collateral upgrade transactions and fix a misstatement of the formula used to calculate haircut floors for netting sets of SFTs.
In the response, the associations took the opportunity to respond to broad aspects of the framework. The response is structured in two components. First, it focuses on the scope of application of the minimum haircut requirement and, in particular, the potential negative impact for securities borrowing transactions. The second component focuses on the quantitative determination of minimum haircut requirements and issues relating to the penalty function embedded in the proposed framework that creates cliff-effect outcomes and introduces instability in the calculation.
Documents (1) for ISDA and IIF Respond to Basel Committee Consultation on SFT Haircuts
Latest
Response to FASB on KPIs for Business Entities
On April 30, ISDA submitted a response to the Financial Accounting Standards Board’s (FASB) proposal on financial key performance indicators (KPIs) for business entities. In the response, ISDA addressed the implications of KPI standardization, its potential impact on financial reporting...
Updated OTC Derivatives Compliance Calendar
ISDA has updated its global calendar of compliance deadlines and regulatory dates for the over-the-counter (OTC) derivatives space.
Response on Commodity Derivatives Markets
On April 22, ISDA and FIA submitted a joint response to the European Commission’s (EC) consultation on the functioning of commodity derivatives markets and certain aspects relating to spot energy markets. In addition to questions on position management, reporting and...
Episode 50: The Value of Derivatives
A new report from ISDA shows that companies all over the world use derivatives to alleviate uncertainty, transfer risk and enhance profitability. ISDA discusses the findings with Boston Consulting Group’s Roy Choudhury. Please view this page via Chrome to access...