On Oct. 24, FICC announced changes to MBSD Intraday VaR charges
FICC announced change to Mortgage-Backed Securities Division intraday VaR charges.
Threshold Changes
Currently, an Intraday VaR Charge is assessed during volatile market conditions when change in members Charge equals, exceeds $40mn compared to recent calculation.
This volatile marker threshold will decreased from current $40mn to $30mn threshold.
Thresholds during normal market conditions will remain unchanged, with VaR charges assessed when member charge exceed $1mn or exceeds 100% of recent calculation.
Additionally, when Intraday VaR Charge exceed $80mn when compared to calculation.
Effectiveness
Changes to MBSD VaR Charge thresholds take effect Nov. 7, 2024.
