29 Aug 2025
📈Proposed Rule Change for Basis Risk Haircut Charge by FICC
Self-Regulatory Organizations; Fixed Income Clearing Corporation; Notice of Filing of Proposed Rule Change To Add Basis Risk Haircut Charge to Certain Models
Summary
The Securities and Exchange Commission has announced a proposed rule change by the Fixed Income Clearing Corporation to add a basis risk haircut charge into margin models. The change aims to enhance the management of market risk associated with mortgage-backed securities and clarify methodologies in the QRM Methodology Document.
Agencies
- Securities and Exchange Commission
Business Impact
$$$ - High
The proposed rule change by the FICC to incorporate a basis risk haircut charge into MBS margin models will affect margin requirements for members dealing in government securities. This compliance change may lead to increased capital requirements for affected businesses, presenting a significant financial implication.