FICC Common Margining Documentation

Subject to regulatory approval, the Fixed Income Clearing Corporation’s (“FICC”) Common Margining Proposal will create one Clearing Fund for all Government Securities Division (“GSD”) and Mortgage Backed Securities Division (“MBSD”) members. In addition, firms that are both GSD Members and MBSD Members (“Common Members”) will have an option to net their GSD positions with their MBSD positions into a single margin portfolio.

The Common Member margin amounts, along with the margin amounts for GSD Netting Members and MBSD Clearing Members that are not Common Members (referred to as “GSD-only Member” or “MBSD-only Member”) would be aggregated into one FICC Clearing Fund that would be calculated and collected at least twice daily. The proposed rule change would also conform certain aspects of margin methodology (such as MBSD mark-to-market, principal and interest on fails, and cash obligation items that are currently part of the Required Fund Deposit would be moved to Funds-Only Settlement), loss allocation, and the MBSD Cash Settlement process/GSD Funds-Only Settlement process between the Divisions.

Please refer to the FICC Common Margining FAQs found on this page for more details.

FAQ's

FICC Common Margining FAQs (Updated February 14, 2019)

MRO (Machine Readable Output) Specifications

Fund Settlement MRO Specification (version 1.1 / updated February 14, 2019)

Portfolio VaR CUSIP Detail MRO Specification (CusipDtl) (version 1.1 / updated February 14, 2019)

FYI Aggregate/Account VaR CUSIP Detail MRO Specification (FYICusipDtl) (version 1.2 / updated February 14, 2019)

Clearing Fund Required Deposit and Funds on Deposit Report (CLRFundReport) MRO Specification (version 1.2 / updated February 14, 2019)

FYI Aggregate/Account Report (FYICLRFAcct) MRO Specification (version 1.1 / updated February 14, 2019)



1 This proposal (the “Proposal”) is provided for informational purposes only. The processes and services referenced in this Proposal are subject to the approval of the U.S. Securities and Exchange Commission. This Proposal should not be regarded as a definitive or exhaustive description nor should it be regarded as a substitute for the GSD Rulebook and the MBSD Clearing Rules (collectively, the “FICC Rules”), which govern in all respects, the relationship between FICC and its members. In all cases, members and prospective members should refer to the FICC Rules for a complete statement of FICC’s procedures, obligations, and requirements. Nothing in this Proposal shall be deemed to impose any obligations on FICC that are not set forth in the FICC Rules. The Proposal as set forth herein may be amended at any time without prior notice.


 

 

 

 

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