FICC, NSCC Intraday Margin Calculation

Updated on: Apr 29, 2025

Latest Event


  • Apr. 25, 2025 Fed Reg Proposals
  • On Apr. 25, 2025, SEC published proposals in federal register, comment May 16, 2025.

On Apr. 15, FICC proposed rules on intraday margin, covered clearing.

  • FICC and NSCC proposed rule amendments to clarify calculation of margin, to address SEC adopted amendments to standards for covered clearing agencies (CCA), #194594.
  • Amendments to FICC’s Government Securities Division (GSD) Rulebook and Mortgage-Backed Securities Division (MBSD) Clearing Rules, as well as to NSCC Procedure XV.
  • Also, FICC issued notices, NSCC notice on proposed rule revisions to intraday margin.
  • FICC Proposed Amendments
  • Clarify that calculation of margin, i.e., required fund deposit portion and segregated customer margin requirements to be performed more frequently than twice daily.
  • If FICC deems appropriate per margin component schedule, subject to GSD Rule 4.
  • Provided examples of elevated volatility market conditions to include, not limited to, sudden swings in US Treasury yields or mortgage-backed security (MBS) spreads.
  • Outside of historically observed market moves, conditions to intraday risk exposures, in aggregate, materially exceed intraday risk exposure under normal market condition.
  • Proposed add language to make clearer FICC procedures for ongoing monitoring and collection of member’s intraday supplemental fund deposit or intraday VaR charge.
  • Also make amendments on MBSD intraday mark-to-market charge; made it clearer that intraday mark-to-market charge re-calculated intraday, each business day.
  • NSCC Amendments
  • Provide additional clarity and transparency on process for ongoing monitoring and recalculation of intraday mark-to-market and volatility exposures, collection of charge.
  • Additional clarity and transparency how facilitate compliance with CCAS margin rules.
  • Each CCA have policies and procedures reasonably to monitor intraday exposures on ongoing basis, make intraday margin calls, as frequently as circumstances warrant.
  • Effectiveness
  • Expects implement proposed change by Dec. 15, 2025, announce by Important Notice.
  • Consultation
  • Comments on proposed rule change due 21 days from publication in federal register.
  • Apr. 21, 2025 SEC Proposals
  • On Apr. 21, 2025, SEC issued notice of FICC, NSCC proposal, 21-day comment period.
  • Apr. 25, 2025 Fed Reg Proposals
  • On Apr. 25, 2025, SEC published proposals in federal register, comment May 16, 2025.
Regulators
FICC; NSCC
Entity Types
B/D; Depo
Reference
FICC: 90 FR 17486, 4/25/2025; SEC RF 34-102894, 4/21/2025; FICC-2025-008, Nt MBS1442-25, GOV1954-25, 4/15/2025; NSCC: 90 FR 17491, 4/25/2025; SEC RF 34-102893, 4/21/2025; NSCC-2025-005, Nt a9586, 4/15/2025;
Functions
Compliance; Financial; Legal; Operations; Risk; Settlement
Countries
United States of America
Category
State
N/A
Products
ABS; Clearing; Securities
Rule Type
Proposed
Regions
Am
Rule Date
Apr 15, 2025
Effective Date
May 16, 2025
Rule ID
251388
Linked to
Reg. Last Update
Apr 25, 2025
Report Section
US Investment