Notice2026-05758
Self-Regulatory Organizations; Fixed Income Clearing Corporation; Notice of Filing and Immediate Effectiveness of a Proposed Rule Change To Establish Implementation Timeframe for Enhancement of Correlation Calculation for Bond Haircut Models
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
March 25, 2026
Issuing agencies
Securities and Exchange Commission
Full Text
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<title>Federal Register, Volume 91 Issue 57 (Wednesday, March 25, 2026)</title>
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[Federal Register Volume 91, Number 57 (Wednesday, March 25, 2026)]
[Notices]
[Pages 14612-14613]
From the Federal Register Online via the Government Publishing Office [<a href="http://www.gpo.gov">www.gpo.gov</a>]
[FR Doc No: 2026-05758]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-105056; File No. SR-FICC-2026-005]
Self-Regulatory Organizations; Fixed Income Clearing Corporation;
Notice of Filing and Immediate Effectiveness of a Proposed Rule Change
To Establish Implementation Timeframe for Enhancement of Correlation
Calculation for Bond Haircut Models
March 20, 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 March 13, 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. FICC filed the
proposed rule change pursuant to Section 19(b)(3)(A) of the Act \3\ and
Rule 19b-4(f)(4) thereunder.\4\ 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.
\3\ 15 U.S.C. 78s(b)(3)(A).
\4\ 17 CFR 240.19b-4(f)(4).
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I. Clearing Agency's Statement of the Terms of Substance of the
Proposed Rule Change
The proposed rule change consists of amendments to the Methodology
Document--GSD Initial Market Risk Margin Model (``QRM Methodology
Document'') \5\ in order to provide for delayed implementation of
changes to the QRM Methodology Document that were proposed pursuant to
File Number SR-FICC-2026-002 (``Rule Filing'') and approved by the
Commission on March 9, 2026 (``Approved Rule Changes'').\6\
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\5\ 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), 104116 (Sept. 29,
2025), 90 FR 47437 (Oct. 1, 2025) (SR-FICC-2025-018), and 104952
(Mar. 9, 2026), 91 FR 12248 (Mar. 12, 2026) (SR-FICC-2026-002).
\6\ See Securities Exchange Act Release No. 104952 (Mar. 9,
2026), 91 FR 12248 (Mar. 12, 2026) (SR-FICC-2026-002).
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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
On January 27, 2026, FICC filed the Rule Filing with the Commission
pursuant to Section 19(b)(1) of the Act \7\ and Rule 19b-4
thereunder.\8\
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\7\ 15 U.S.C. 78s(b)(1).
\8\ 17 CFR 240.19b-4.
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On March 9, 2026, the Commission approved the Rule Filing pursuant
to Section 19(b)(2) of the Act.\9\ The Approved Rule Changes consist of
modifications to the QRM Methodology Document in order to enhance the
correlation calculation for bond haircut models and make a technical
change.
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\9\ 15 U.S.C. 78s(b)(2).
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FICC is proposing to amend the QRM Methodology Document to add a
legend to the cover page of the QRM Methodology Document to state that
the Approved Rule Changes will be implemented by April 30, 2026. Upon
implementation of the Approved Rule Changes, the legend will be
automatically removed from the QRM Methodology Document.
2. Statutory Basis
Section 17A(b)(3)(F) of the Act requires that the rules of a
clearing agency be designed to, among other things, promote the prompt
and accurate clearance and settlement of securities transactions.\10\
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\10\ 15 U.S.C. 78q-1(b)(3)(F).
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By establishing the date by which the Approved Rule Changes would
be implemented, this proposal would enable Members to timely fulfill
their obligations to FICC, which would in turn support FICC's ability
to promote the prompt and accurate clearance and settlement of
securities transactions. Therefore, FICC believes that the proposal is
consistent with Section 17A(b)(3)(F) of the Act.\11\
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\11\ Id.
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(B) Clearing Agency's Statement on Burden on Competition
FICC does not believe that the proposal to establish an
implementation date for the Approved Rule Changes 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 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
[[Page 14613]]
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#87f3f5e6e3eee9e0e6e9e3eae6f5ece2f3f4c7f4e2e4a9e0e8f1"><span class="__cf_email__" data-cfemail="81f5f3e0e5e8efe6e0efe5ece0f3eae4f5f2c1f2e4e2afe6eef7">[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
The foregoing rule change has become effective pursuant to Section
19(b)(3)(A) of the Act \12\ and paragraph (f) of Rule 19b-4
thereunder.\13\ At any time within 60 days of the filing of the
proposed rule change, the Commission summarily may temporarily suspend
such rule change if it appears to the Commission that such action is
necessary or appropriate in the public interest, for the protection of
investors, or otherwise in furtherance of the purposes of the Act.
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\12\ 15 U.S.C. 78s(b)(3)(A).
\13\ 17 CFR 240.19b-4(f).
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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#f98b8c959cd49a9694949c978d8ab98a9c9ad79e968f"><span class="__cf_email__" data-cfemail="4a383f262f67292527272f243e390a392f29642d253c">[email protected]</span></a>. Please include
File Number SR-FICC-2026-005 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-2026-005. 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-
005 and should be submitted on or before April 15, 2026.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\14\
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\14\ 17 CFR 200.30-3(a)(12).
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Vanessa A. Countryman,
Secretary.
[FR Doc. 2026-05758 Filed 3-24-26; 8:45 am]
BILLING CODE 8011-01-P
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