FICC MBSD Intraday VaR Charges


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.

Regulators FICC
Entity Types B/D; Depo
Reference Nt MBS1382-24, 10/24/2024
Functions Operations; Settlement
Countries United States of America
Category
State
Products Clearing; Securities
Regions Am
Rule Type Final
Rule Date 10/24/2024
Effective Date 11/7/2024
Rule Id 231266
Linked to N/A
Reg. Last Update 10/24/2024
Report Section US Investment

Last substantive update on 10/30/2024