Version effective as of 01 Jan 2023

First version in the format of the consolidated framework, updated to take account of the revised implementation date announced on 27 March 2020 and the technical amendments announced on 1 July 2021.

Scope

56.1 This chapter specifies the treatment of certain non-centrally cleared securities financing transactions (SFTs) with certain counterparties. The requirements are not applicable to banks in jurisdictions that are prohibited from conducting such transactions below the minimum haircut floors specified in CRE56.6 below.

56.2 The haircut floors found in CRE56.6 below apply to the following transactions:

(1) Non-centrally cleared SFTs in which the financing (ie the lending of cash) against collateral other than government securities is provided to counterparties who are not supervised by a regulator that imposes prudential requirements consistent with international norms.

(2) Collateral upgrade transactions with these same counterparties. A collateral upgrade transaction is when a bank lends a security to its counterparty and the counterparty pledges a lower-quality security as collateral, thus allowing the counterparty to exchange a lower-quality security for a higher quality security. For these transactions, the floors must be calculated according to the formula set out in CRE56.9 below.

56.3 SFTs with central banks are not subject to the haircut floors.