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
Published Date: 2/3/2026
Notice
Summary
The Fixed Income Clearing Corporation (FICC) is updating how it calculates bond risk to make it smarter and more accurate. These changes affect financial firms that use FICC’s bond clearing services and could improve how much money they need to set aside for safety. The updates are proposed now, and the public can comment before they take effect.
Analyzed Economic Effects
4 provisions identified: 0 benefits, 4 costs, 0 mixed.
Use Alternate Vendor Correlations
FICC proposes to allow the use of index data from an alternate vendor to calculate correlations for short-term bond maturity buckets (Treasury 0–6 months, Treasury 6–12 months, and TIPS 0–12 months) when the designated vendor does not provide index data. Previously, correlations for those buckets were manually set to zero; changing this may increase Required Fund Deposits and Segregated Customer Margin Requirements for FICC Members.
Some Members Face Multi‑Million Dollar Hikes
At the Member Margin Portfolio level over the impact study period, FICC found the average start-of-day VaR Charge would have increased by about $0.22 million (0.09%). The largest average percentage increase for any Member Margin Portfolio would have been about 14.52% ($0.38 million) and the largest average dollar increase about $5.91 million (0.79%). If Margin Proxy were deployed, the average increase would be about $0.42 million (0.16%), with the largest percentage increase about 23.18% ($0.59 million) and the largest dollar increase about $17.35 million (0.34%).
Aggregate VaR Charges Increase
FICC's impact study for September 1, 2024 through August 31, 2025 found that, if the change had been in place, the average increase to aggregate VaR Charges at GSD would have been about $46 million (0.09%), with the largest increase about $85 million (0.15%). If Margin Proxy were deployed, the average increase would have been about $88 million (0.16%), with the largest increase about $163 million (0.38%).
Higher Margins Could Burden Weaker Firms
FICC states that increases in Required Fund Deposits and/or Segregated Customer Margin Requirements resulting from this change could burden participants that have lower operating margins or higher costs of capital than other participants. FICC notes the burden could affect competition among participants.
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