Notice2026-02112
Self-Regulatory Organizations; Fixed Income Clearing Corporation; Notice of Filing of Proposed Rule Change To Enhance the Correlation Calculation for Bond Haircut Models and Make Other Changes
Primary source
Metadata and text below are from the Federal Register, a public-domain U.S. government work. Always verify the official published version before relying on it for any legal matter.
Published
February 3, 2026
Issuing agencies
Securities and Exchange Commission
Full Text
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<title>Federal Register, Volume 91 Issue 22 (Tuesday, February 3, 2026)</title>
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[Federal Register Volume 91, Number 22 (Tuesday, February 3, 2026)]
[Notices]
[Pages 4975-4979]
From the Federal Register Online via the Government Publishing Office [<a href="http://www.gpo.gov">www.gpo.gov</a>]
[FR Doc No: 2026-02112]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-104735; File No. SR-FICC-2026-002]
Self-Regulatory Organizations; Fixed Income Clearing Corporation;
Notice of Filing of Proposed Rule Change To Enhance the Correlation
Calculation for Bond Haircut Models and Make Other Changes
January 29, 2026.
Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934
(``Act'') \1\ and Rule 19b-4 thereunder,\2\ notice is hereby given that
on January 27, 2026, Fixed Income Clearing Corporation (``FICC'') filed
with the Securities and Exchange Commission (``Commission'') the
proposed rule change as described in Items I, II and III below, which
Items have been prepared by the clearing agency. The Commission is
publishing this notice to solicit comments on the proposed rule change
from interested persons.
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\1\ 15 U.S.C. 78s(b)(1).
\2\ 17 CFR 240.19b-4.
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I. Clearing Agency's Statement of the Terms of Substance of the
Proposed Rule Change
The proposed rule change \3\ consists of amendments to the
Methodology Document--GSD Initial Market Risk Margin Model (``QRM
Methodology Document'') \4\ in order to enhance the correlation
calculation for bond haircut models. In addition, FICC is proposing a
technical change to the QRM Methodology Document.
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\3\ Capitalized terms used herein and not defined shall have the
meaning assigned to such terms in the FICC Government Securities
Division (``GSD'') Rulebook (``GSD Rules''), available at
<a href="http://www.dtcc.com/legal/rules-and-procedures">www.dtcc.com/legal/rules-and-procedures</a>.
\4\ The QRM Methodology Document was filed as a confidential
exhibit in the rule filing and advance notice for GSD sensitivity
VaR. See Securities Exchange Act Release Nos. 83362 (June 1, 2018),
83 FR 26514 (June 7, 2018) (SR-FICC-2018-001) and 83223 (May 11,
2018), 83 FR 23020 (May 17, 2018) (SR-FICC-2018-801). The QRM
Methodology Document has been subsequently amended. See Securities
Exchange Act Release Nos. 85944 (May 24, 2019), 84 FR 25315 (May 31,
2019) (SR-FICC-2019-001), 90182 (Oct. 14, 2020), 85 FR 66630 (Oct.
20, 2020) (SR-FICC-2020-009), 93234 (Oct. 1, 2021), 86 FR 55891
(Oct. 7, 2021) (SR-FICC-2021-007), 95605 (Aug. 25, 2022), 87 FR
53522 (Aug. 31, 2022) (SR-FICC-2022-005), 97342 (Apr. 21, 2023), 88
FR 25721 (Apr. 27, 2023) (SR-FICC-2023-003), 99447 (Jan. 30, 2024),
89 FR 8260 (Feb. 6, 2024) (SR-FICC-2024-001), 101569 (Nov. 8, 2024),
89 FR 90109 (Nov. 14, 2024) (SR-FICC-2024-003), and 104116 (Sept.
29, 2025), 90 FR 47437 (Oct. 1, 2025) (SR-FICC-2025-018).
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FICC is requesting confidential treatment of the QRM Methodology
Document and has filed it separately with the Secretary of the
Commission.\5\
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\5\ 17 CFR 240.24b-2.
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II. Clearing Agency's Statement of the Purpose of, and Statutory Basis
for, the Proposed Rule Change
In its filing with the Commission, the clearing agency included
statements concerning the purpose of and basis for the proposed rule
change and discussed any comments it received on the proposed rule
change. The text of these statements may be examined at the places
specified in Item IV below. The clearing agency has prepared summaries,
set forth in sections A, B, and C below, of the most significant
aspects of such statements.
(A) Clearing Agency's Statement of the Purpose of, and Statutory Basis
for, the Proposed Rule Change
1. Purpose
The purpose of this proposed rule change is to amend the QRM
Methodology Document in order to enhance the correlation calculation
for bond haircut models. FICC is also proposing to make a technical
change to the QRM Methodology Document.
Background
FICC, through GSD, serves as a central counterparty and provider of
clearance and settlement services for transactions in U.S. government
securities, as well as repurchase and reverse repurchase transactions
involving U.S. government securities. GSD also clears and settles
certain transactions on securities issued or guaranteed by U.S.
government agencies and government sponsored enterprises. As part of
its market risk management strategy, FICC manages its credit exposure
to Members by determining the appropriate Required Fund Deposit to the
Clearing Fund and monitoring its sufficiency, as provided for in the
GSD Rules.\6\ The Required Fund Deposit serves as each Member's margin.
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\6\ See GSD Rule 4 (Clearing Fund and Loss Allocation), supra
note 3. FICC's market risk management strategy is designed to comply
with Rule 17ad-22(e)(4) under the Act, where these risks are
referred to as ``credit risks.'' 17 CFR 240.17ad-22(e)(4).
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The objective of a Member's Required Fund Deposit is to mitigate
potential losses to FICC associated with liquidating a Member's
portfolio in the event FICC ceases to act for that Member (hereinafter
referred to as a ``default'').\7\ The aggregate amount of all Members'
Required Fund Deposits constitutes the Clearing Fund. FICC would access
the Clearing Fund should a defaulting Member's own Required Fund
Deposit be insufficient to satisfy losses to FICC caused by the
liquidation of that Member's portfolio.
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\7\ The GSD Rules identify when FICC may cease to act for a
Member and the types of actions FICC may take. For example, FICC may
suspend a firm's membership with FICC or prohibit or limit a
Member's access to FICC's services in the event that Member defaults
on a financial or other obligation to FICC. See GSD Rule 21
(Restrictions on Access to Services), supra note 3.
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At GSD, each Member is also responsible for the margin obligations
arising from the activity of the Member's indirect participant
customers submitted to FICC via the sponsored membership service
(``Sponsored Service'') and/or the Agent Clearing Service. FICC's
Sponsored Service permits Members that are approved to be Sponsoring
Members, to sponsor certain institutional firms, referred to as
``Sponsored Members,'' into GSD membership.\8\ FICC establishes and
maintains a ``Sponsoring Member Omnibus Account'' on its books in which
it records the transactions of the Sponsoring Member's Sponsored
Members (``Sponsored Member Trades'').\9\ Similarly, FICC's Agent
Clearing Service permits Members that are approved to be Agent Clearing
Members to submit activities of certain institutional firms, referred
to as ``Executing Firm Customers,'' into FICC for clearing and
settlement.\10\ FICC establishes and maintains an ``Agent Clearing
Member Omnibus Account'' on its books in which it records the
transactions of the Agent Clearing
[[Page 4976]]
Member's Executing Firm Customers (``Agent Clearing
Transactions'').\11\
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\8\ See GSD Rule 3A (Sponsoring Members and Sponsored Members),
supra note 3.
\9\ See GSD Rule 1 (definition of ``Sponsored Member Trades''),
supra note 3.
\10\ See GSD Rule 8 (Agent Clearing Service), supra note 3.
\11\ See GSD Rule 1 (definition of ``Agent Clearing
Transactions''), supra note 3.
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Both the Sponsoring Members and the Agent Clearing Members have the
option of segregating Sponsored Member Trades of a Sponsored Member and
Agent Clearing Transactions of an Executing Firm Customer, as
applicable, in separate accounts (i.e., Segregated Indirect
Participants Accounts), each such Sponsored Member and Executing Firm
Customer being referred to as a ``Segregated Indirect Participant.''
FICC manages its credit exposure to Segregated Indirect Participants by
determining the appropriate Segregated Customer Margin Requirement and
monitoring its sufficiency, as provided for in the GSD Rules.\12\
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\12\ See GSD Margin Component Schedule, supra note 3.
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Pursuant to the GSD Rules, each Member's Required Fund Deposit
amount (and Segregated Customer Margin Requirement amount, to the
extent applicable) consists of a number of components, each of which is
calculated to address specific risks faced by FICC, as identified
within the GSD Rules.\13\ At GSD, these components include the VaR
Charge, Blackout Period Exposure Adjustment, Backtesting Charge, Excess
Capital Premium, Holiday Charge, Intraday Supplemental Fund Deposit,
Intraday Mark-to-Market Charge, Margin Liquidity Adjustment Charge,
Portfolio Differential Charge, Volatility Event Charge, and special
charge.\14\ The VaR Charge generally comprises the largest portion of a
Member's Required Fund Deposit and Segregated Customer Margin
Requirement amounts.
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\13\ Supra note 3.
\14\ These margin components and the relevant defined terms are
located in GSD Rule 1 (Definitions) and/or the GSD Margin Component
Schedule, supra note 3.
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The VaR Charge is based on the potential price volatility of
unsettled positions using a sensitivity-based Value-at-Risk
(``sensitivity VaR'') methodology and is designed to cover FICC's
projected liquidation losses with respect to a defaulted Member's
portfolio at a 99% confidence level. The sensitivity VaR methodology
provides an estimate of the possible losses for a given portfolio based
on: (1) confidence level, (2) a time horizon, and (3) historical market
volatility. FICC uses historical simulation to estimate the impact of
market volatilities on the Member's portfolio. A haircut method is
applied to securities with insufficient requisite data used to employ
the sensitivity VaR approach, e.g., short-term bonds.
Enhancing the Correlation Calculation for Bond Haircut Models
The QRM Methodology Document provides the methodologies by which
FICC calculates the VaR Charge, i.e., sensitivity VaR methodology and
haircut methodology. Specifically, the QRM Methodology Document
provides model inputs, parameters, and assumptions, among other
information, for these methodologies.
Pursuant to the QRM Methodology Document, all short-term bonds
(i.e., bonds with maturity of one-year or less) (including Treasury
Inflation Protected Securities (``TIPS'')) and bonds with no vendor
provided sensitivity analytics data are subject to a haircut
calculation. The haircut charges are calculated by placing the bonds
into relevant maturity buckets, using correlations to account for
cross-bucket effects. The correlations are calculated based on fixed
income indices provided by a designated vendor. However, because the
designated vendor does not currently provide index data for Treasury 0-
6 months, Treasury 6-12 months, and TIPS 0-12 months maturity buckets,
the correlations involving any of these three maturity buckets are
manually set by FICC to zero.\15\ Setting the correlation to zero for
Treasury 0-6 months, Treasury 6-12 months, and TIPS 0-12 months
maturity buckets may result in understated haircut charges. This is
particularly true for directional portfolios with securities in
adjacent maturity buckets, for example, one bond with 5 months to
maturity and another with 7 months to maturity, because historical
evidence shows short-term maturity buckets are substantially
intercorrelated. To strengthen FICC's assessment of market risk for
portfolios with bond positions in maturity buckets where the designated
vendor does not provide index data, FICC proposes to enhance the
correlation calculation for bond haircut models by permitting the use
of index data from an alternate vendor in such cases.
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\15\ During the initial methodology development, the overall
impact to the haircut charge due to correlations was expected to be
limited. Consequently, when vendor index data is unavailable,
correlations for Treasury 0-6 months, Treasury 6-12 months, and TIPS
0-12 months maturity buckets are set to zero. The decision to set
such correlations to zero is intended to provide a clear and
consistent framework for margin calculation, pending the
availability of reliable index data from external vendors.
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FICC is proposing modifications to the QRM Methodology Document in
order to enhance the correlation calculation for bond haircut models.
Specifically, in the subsection of the QRM Methodology Document that
describes calculation of haircut of Treasury and agency bonds without
sensitivity analytics data, FICC would delete existing language
regarding correlation parameter alternatives and replace it with new
language to make it clear that, for fixed income indices not provided
by the designated vendor, FICC may use data from another vendor to
calculate the correlation. In addition, FICC would delete existing
language that describes the current practice of assuming zero
correlation for certain maturity buckets of short-term bonds.
Furthermore, FICC is also proposing a technical change that corrects a
section reference.
Impact Study
FICC performed an impact study for the period beginning September
1, 2024 through August 31, 2025 (``Impact Study Period''), looking at
Treasury 0-6 months, Treasury 6-12 months, and TIPS 0-12 months
maturity buckets with a different correlation number than zero
calculated based on index data provided by an alternate vendor. If the
proposed rule change had been in place during the Impact Study Period
compared to the existing GSD Rules, the average increase to the
aggregate VaR Charges at GSD would be approximately $46 million (or
0.09%), with the largest increase of approximately $85 million (or
0.15%). The impact study indicated that, if the proposed rule change
had been in place, the VaR model backtesting coverage would have
remained unchanged at 99.85%.
Margin Proxy was not deployed during the Impact Study Period; \16\
however, if the proposed rule change had been in place and Margin Proxy
were deployed during the Impact Study Period, the average increase to
the aggregate VaR Charges at GSD would be approximately $88 million (or
0.16%), with the largest increase of approximately $163 million (or
0.38%). The impact study indicated that, if the proposed rule change
had been in place and Margin Proxy were deployed during the Impact
Study Period, the VaR model backtesting coverage would have remained
unchanged at 99.92%.
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\16\ FICC can deploy Margin Proxy as a back-up VaR Charge
calculation in the event that FICC experiences a data disruption
with its third-party vendor. See GSD Margin Component Schedule
(definition of ``Margin Proxy''), supra note 3.
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Impact to Members Over the Impact Study Period
If the proposed rule change had been in place during the Impact
Study Period compared to the existing GSD Rules, on
[[Page 4977]]
average, at the Member Margin Portfolio level, the proposed rule change
would have increased the start of day (``SOD'') VaR Charge by
approximately $0.22 million, or 0.09%, over the Impact Study Period.
The largest average percentage increase in SOD VaR Charge for any
Member Margin Portfolio would have been approximately 14.52%, or $0.38
million. The largest average dollar increase in SOD VaR Charge for any
Member Margin Portfolio would have been approximately $5.91 million, or
0.79%.
If the proposed rule change had been in place and Margin Proxy were
deployed during the Impact Study Period, on average, at the Member
Margin Portfolio level, the proposed rule change would have increased
the SOD VaR Charge by approximately $0.42 million, or 0.16% over the
Impact Study Period. The largest average percentage increase in SOD VaR
Charge for any Member Margin Portfolio would have been approximately
23.18%, or $0.59 million. The largest average dollar increase in SOD
VaR Charge for any Member Margin Portfolio would have been
approximately $17.35 million, or 0.34%.
2. Statutory Basis
FICC believes this proposal is consistent with the requirements of
the Act, and the rules and regulations thereunder applicable to a
registered clearing agency. Specifically, FICC believes that the
proposed rule change is consistent with Section 17A(b)(3)(F) of the Act
\17\ and Rules 17ad-22(e)(4)(i) and (e)(6)(i) promulgated thereunder
\18\ for the reasons described below.
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\17\ 15 U.S.C. 78q-1(b)(3)(F).
\18\ 17 CFR 240.17ad-22(e)(4)(i) and (e)(6)(i).
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Section 17A(b)(3)(F) of the Act requires that the rules of a
clearing agency be designed to, among other things, assure the
safeguarding of securities and funds which are in the custody or
control of the clearing agency.\19\ FICC believes the proposed change
to enhance the correlation calculation for bond haircut models is
designed to assure the safeguarding of securities and funds which are
in its custody or control because it is designed to mitigate FICC's
risk exposure from bond positions held in Members' portfolios.
Specifically, the proposed enhancement would allow FICC to collect
financial resources to mitigate credit risk exposure resulting from
bonds held in Members' portfolios.
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\19\ 15 U.S.C. 78q-1(b)(3)(F).
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The Clearing Fund/Segregated Customer Margin is a key tool that
FICC uses to mitigate potential losses to FICC associated with
liquidating a Member's portfolio in the event of Member default.
Therefore, the proposed change to enhance the correlation calculation
for bond haircut models would enable FICC to better address credit risk
exposure resulting from bonds held in Members' portfolios such that, in
the event of a Member default, FICC's operations would not be
disrupted, and non-defaulting Members would not be exposed to losses
they cannot anticipate or control. In this way, the proposed change to
enhance the correlation calculation for bond haircut models would
assure the safeguarding of securities and funds which are in the
custody or control of FICC, consistent with Section 17A(b)(3)(F) of the
Act.\20\
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\20\ Id.
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FICC believes the proposed change to make a technical change to the
QRM Methodology Document would enhance the accuracy of the QRM
Methodology Document for FICC. The QRM Methodology Document is used by
FICC risk management personnel for the calculation of margin
requirements. Having an accurate QRM Methodology Document will help
facilitate the accurate and smooth functioning of the margining process
at FICC. The proposed technical change would promote such accuracy.
This would in turn enable FICC risk management to assess an appropriate
level of margin for Members. As such, FICC believes that the proposed
technical change to the QRM Methodology Document would assure the
safeguarding of securities and funds which are in the custody or
control of FICC, consistent with Section 17A(b)(3)(F) of the Act.\21\
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\21\ Id.
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The proposed change to enhance the correlation calculation for bond
haircut models has also been designed to be consistent with Rules 17ad-
22(e)(4)(i) and (e)(6)(i) under the Act.\22\ Rule 17ad-22(e)(4)(i)
under the Act requires a covered clearing agency to establish,
implement, maintain, and enforce written policies and procedures
reasonably designed to effectively identify, measure, monitor, and
manage its credit exposures to participants and those exposures arising
from its payment, clearing, and settlement processes by maintaining
sufficient financial resources to cover its credit exposure to each
participant fully with a high degree of confidence.\23\ As described
above, the proposed change to permit the use of index data from an
alternate vendor when the designated vendor does not provide such data
would enhance the correlation calculation for bond haircut models,
which in turn would help address the identification, measurement,
monitoring and management of credit exposures that may arise from bonds
held in Members' portfolios. By enhancing the correlation calculation
for bond haircut models, the proposed change would enable FICC to have
rule provisions that are reasonably designed to effectively identify,
measure, monitor, and manage its credit exposures to Members and those
exposures arising from its payment, clearing, and settlement processes,
which FICC believes is consistent with Rule 17ad-22(e)(4)(i). Moreover,
the proposed change would enable FICC to better identify, measure,
monitor, and, through the collection of Members' Required Fund Deposits
and Segregated Customer Margin Requirements, manage its credit
exposures to Members by maintaining sufficient resources to cover those
credit exposures fully with a high degree of confidence. The proposed
correlation calculation change for bond haircut models as described
above would help improve FICC's ability to determine the appropriate
bond haircut charges, thus ensuring Members' portfolio risks are
adequately identified, measured and monitored. It would help ensure
that the margin FICC collects from Members is sufficient to mitigate
the credit exposure presented by the Members. As a result, FICC
believes that the proposal would enhance FICC's ability to effectively
identify, measure, and monitor its credit exposures and would enhance
its ability to maintain sufficient financial resources to cover its
credit exposure to each participant fully with a high degree of
confidence, consistent with the requirements of Rule 17ad-22(e)(4)(i)
under the Act.\24\
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\22\ 17 CFR 240.17ad-22(e)(4)(i) and (e)(6)(i).
\23\ 17 CFR 240.17ad-22(e)(4)(i).
\24\ Id.
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Rule 17ad-22(e)(6)(i) under the Act requires, among other things, a
covered clearing agency to establish, implement, maintain, and enforce
written policies and procedures reasonably designed to cover its credit
exposures to its participants by establishing a risk-based margin
system that, at a minimum, considers, and produces margin levels
commensurate with, the risks and particular attributes of each relevant
product, portfolio, and market.\25\ FICC believes that the proposed
change to enhance the correlation calculation for bond haircut models
is consistent with the requirements of Rule 17ad-22(e)(6)(i) cited
above. The Required Fund Deposits and Segregated Customer Margin
Requirements are comprised of
[[Page 4978]]
risk-based components (as margin) that are calculated and assessed
daily to limit FICC's credit exposures to Members. FICC is proposing a
change that is designed to make the bond haircut models more effective
in measuring and addressing credit risk. The proposed change to the
correlation calculation for bond haircut models would help to ensure
margin levels are commensurate with the risk exposure that arises from
bonds held in Members' portfolios. It would also help ensure the margin
that FICC collects from Members is sufficient to mitigate the credit
exposure presented by the Members. Overall, this proposed change would
allow FICC to more effectively address the risks presented by Members.
In this way, the proposed change to the correlation calculation for
bond haircut models would enhance the ability of FICC to produce margin
levels commensurate with the risks and particular attributes of each
relevant product, portfolio, and market. As such, FICC believes that
this proposed change is consistent with the requirements of Rule 17ad-
22(e)(6)(i) under the Act.\26\
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\25\ 17 CFR 240.17ad-22(e)(6)(i).
\26\ Id.
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(B) Clearing Agency's Statement on Burden on Competition
FICC believes the proposed change to enhance the correlation
calculation for bond haircut models could impose a burden on
competition. As a result of this proposed change, participants may
experience increases in their Required Fund Deposits and/or Segregated
Customer Margin Requirements. Such increases could burden participants
that have lower operating margins or higher costs of capital than other
participants. It is not clear whether the burden on competition would
necessarily be significant because it would depend on whether the
affected participants were similarly situated in terms of business type
and size; however, regardless of whether the burden on competition is
significant, FICC believes that any burden on competition would be
necessary and appropriate in furtherance of the purposes of the Act.
Specifically, as described in this filing and further below, FICC
believes that the above-described burden on competition that may be
created by this proposed change would be necessary in furtherance of
the purposes of the Act because the rules of a clearing agency must be
designed to assure the safeguarding of securities and funds that are in
FICC's custody or control, consistent with Section 17A(b)(3)(F) of the
Act.\27\ FICC believes that the proposed change to the correlation
calculation for bond haircut models as described above would enable
FICC to further improve margin resilience with respect to bonds held in
Members' portfolios such that, in the event of a Member default, FICC's
operations would not be disrupted and non-defaulting Members would not
be exposed to losses they cannot anticipate or control. As such, this
proposed change is designed to assure the safeguarding of securities
and funds which are in the custody or control of FICC, consistent with
Section 17A(b)(3)(F) of the Act.
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\27\ 15 U.S.C. 78q-1(b)(3)(F).
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FICC also believes the proposed change to the correlation
calculation for bond haircut models is necessary to support FICC's
compliance with Rules 17ad-22(e)(4)(i) and (e)(6)(i) under the Act,\28\
which require FICC to establish, implement, maintain, and enforce
written policies and procedures reasonably designed to (x) effectively
identify, measure, monitor, and manage its credit exposures to
participants and those arising from its payment, clearing, and
settlement processes and (y) cover its credit exposures to its
participants by establishing a risk-based margin system that, at a
minimum, considers, and produces margin levels commensurate with, the
risks and particular attributes of each relevant product, portfolio,
and market.
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\28\ 17 CFR 240.17ad-22(e)(4)(i) and (e)(6)(i).
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As described above, FICC believes that the proposed change to the
correlation calculation for bond haircut models would allow FICC to
better mitigate risk exposure resulting from bonds held in Members'
portfolios. Accordingly, FICC believes that this proposed change would
allow FICC to effectively identify, measure, monitor, and manage its
credit exposures to participants and better limit FICC's credit
exposures to participants and cover its credit exposures to its
participants by producing margin levels commensurate with the risks and
particular attributes of each relevant product, portfolio, and market,
consistent with the requirements of Rules 17ad-22(e)(4)(i) and
(e)(6)(i) under the Act.\29\
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\29\ Id.
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FICC also believes that the above-described burden on competition
that could be created by the proposed change to the correlation
calculation for bond haircut models would be appropriate in furtherance
of the purposes of the Act because such change has been appropriately
designed to assure the safeguarding of securities and funds which are
in the custody or control of FICC, as described in detail above. The
proposed change to the correlation calculation for bond haircut models
is specifically designed to cover risk exposures from bonds held in
Members' portfolios. Any increase in Required Fund Deposit and/or
Segregated Customer Margin Requirement as a result of such proposed
change for a particular participant would be in direct relation to the
specific risks presented by such participant's portfolio, and each
participant's Required Fund Deposit and/or Segregated Customer Margin
Requirement would continue to be calculated with the same parameters
and at the same confidence level. Therefore, participants with
portfolios that present similar risks, regardless of the type of
participant, would have similar impacts on their Required Fund Deposit
and/or Segregated Customer Margin Requirement amounts. In addition, the
proposed change to the correlation calculation for bond haircut models
would improve the risk-based margining methodology that FICC employs to
set margin requirements and better limit FICC's credit exposures to its
participants. Therefore, because the proposed change is designed to
provide FICC with a more appropriate and complete measure of the risks
presented by participants' portfolios, FICC believes this proposed
change is appropriately designed to meet its risk management goals and
its regulatory obligations.
Accordingly, FICC does not believe that the proposed change to the
correlation calculation for bond haircut models would impose any burden
on competition that is not necessary or appropriate in furtherance of
the purposes of the Act.\30\
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\30\ 15 U.S.C. 78q-1(b)(3)(I).
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FICC does not believe the proposed technical change to the QRM
Methodology Document would have any impact on competition. This
proposed change would enhance the QRM Methodology Document by providing
additional accuracy. The proposed technical change would not advantage
or disadvantage any particular Member of FICC or unfairly inhibit
access to FICC's services. FICC therefore does not believe the proposed
technical change would have any impact, or impose any burden, on
competition.
(C) Clearing Agency's Statement on Comments on the Proposed Rule Change
Received From Members, Participants, or Others
FICC has not received or solicited any written comments relating to
this
[[Page 4979]]
proposal. If any written comments are received, they will be publicly
filed as an Exhibit 2 to this filing, as required by Form 19b-4 and the
General Instructions thereto.
Persons submitting comments are cautioned that, according to
Section IV (Solicitation of Comments) of the Exhibit 1A in the General
Instructions to Form 19b-4, the Commission does not edit personal
identifying information from comment submissions. Commenters should
submit only information that they wish to make available publicly,
including their name, email address, and any other identifying
information.
All prospective commenters should follow the Commission's
instructions on how to submit comments, available at <a href="http://www.sec.gov/rules-regulations/how-submit-comment">www.sec.gov/rules-regulations/how-submit-comment</a>. General questions regarding the rule
filing process or logistical questions regarding this filing should be
directed to the Main Office of the Commission's Division of Trading and
Markets at <a href="/cdn-cgi/l/email-protection#72060013161b1c15131c161f130019170601320117115c151d04"><span class="__cf_email__" data-cfemail="56222437323f38313738323b37243d3322251625333578313920">[email protected]</span></a> or 202-551-5777.
FICC reserves the right not to respond to any comments received.
III. Date of Effectiveness of the Proposed Rule Change, and Timing for
Commission Action
Within 45 days of the date of publication of this notice in the
Federal Register or within such longer period up to 90 days (i) as the
Commission may designate if it finds such longer period to be
appropriate and publishes its reasons for so finding or (ii) as to
which the self-regulatory organization consents, the Commission will:
(A) by order approve or disapprove such proposed rule change, or
(B) institute proceedings to determine whether the proposed rule
change should be disapproved.
IV. Solicitation of Comments
Interested persons are invited to submit written data, views and
arguments concerning the foregoing, including whether the proposed rule
change is consistent with the Act. Comments may be submitted by any of
the following methods:
Electronic Comments
<bullet> Use the Commission's internet comment form (<a href="https://www.sec.gov/rules-regulations/self-regulatory-organization-rulemaking">https://www.sec.gov/rules-regulations/self-regulatory-organization-rulemaking</a>);
or
<bullet> Send an email to <a href="/cdn-cgi/l/email-protection#f88a8d949dd59b9795959d968c8bb88b9d9bd69f978e"><span class="__cf_email__" data-cfemail="146661787139777b7979717a6067546771773a737b62">[email protected]</span></a>. Please include
File Number SR-FICC-2026-002 on the subject line.
Paper Comments
<bullet> Send paper comments in triplicate to Secretary, Securities
and Exchange Commission, 100 F Street NE, Washington, DC 20549.
All submissions should refer to File Number SR-FICC-2026-002. This file
number should be included on the subject line if email is used. To help
the Commission process and review your comments more efficiently,
please use only one method. The Commission will post all comments on
the Commission's internet website (<a href="https://www.sec.gov/rules-regulations/self-regulatory-organization-rulemaking">https://www.sec.gov/rules-regulations/self-regulatory-organization-rulemaking</a>). Copies of the
filing will be available for inspection and copying at the principal
office of FICC and on DTCC's website (<a href="http://www.dtcc.com/legal/sec-rule-filings">www.dtcc.com/legal/sec-rule-filings</a>). Do not include personal identifiable information in
submissions; you should submit only information that you wish to make
available publicly. We may redact in part or withhold entirely from
publication submitted material that is obscene or subject to copyright
protection. All submissions should refer to File Number SR-FICC-2026-
002 and should be submitted on or before February 24, 2026.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\31\
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\31\ 17 CFR 200.30-3(a)(12).
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Sherry R. Haywood,
Assistant Secretary.
[FR Doc. 2026-02112 Filed 2-2-26; 8:45 am]
BILLING CODE 8011-01-P
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</html>Indexed from Federal Register on February 3, 2026.
This is legal information, not legal advice. Laws vary by jurisdiction and change frequently. Always verify current law with official sources and consult a licensed attorney in your jurisdiction for advice on your specific situation.