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 Voluntary Carbon Markets Consultation
On July 10, ISDA responded to the UK government’s consultation on voluntary carbon and nature markets. The UK should continue to play a leading role in promoting the consistent legal treatment of carbon credits internationally, with the development of global...
ISDA Response – ROC Consultation on Revised CDE Version 4
The International Swaps and Derivatives Association, Inc. (ISDA) response to the Regulatory Oversight Committee (ROC) consultation on the harmonisation of critical OTC derivatives data elements (CDE) revised CDE Technical Guidance – version 4, submitted to the ROC on January 24,...
ISDA response to ESMA MiFIR Review Consultation
On July 11, ISDA submitted a response to the European Securities and Markets Authority's (ESMA) fourth package of Level 2 consultation under the Markets in Financial Instruments Regulation Review (MiFIR), on transparency for derivatives, package orders and input/output data for...
Canadian Transaction Reporting Party Requirements
These Reporting Party Requirements establish the hierarchy and tie-breaker logic to determine a single reporting counterparty for Canadian provincial reporting. By leveraging the existing reporting party standard established for reporting to the CFTC, in most cases these rules facilitate submission...