Codify the Processing of Conditional Prepayment Rate Claims in the MBSD Rules and Make Other Changes.
Release No. 34-84236; File No. SR-FICC-2018-006
(September 20, 2018)
Update the Government Securities Division Rulebook and the Mortgage-Backed Securities Division Clearing Rules to
introduce a floor to the calculation of the fails charges and make other changes
To enhance the calculation of the volatility component of the Clearing Fund formula that utilizes a parametric Value-at-
Risk model and eliminate the Market Maker Domination charge
Amendment No. 1 to SR-NSCC-2017-808