SEC: Fixed Income Clearing Corp Bond Haircut Model Enhancements

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Notice

Self-Regulatory Organizations; Fixed Income Clearing Corporation; Notice of Filing and Immediate Effectiveness of a Proposed Rule Change To Establish Implementation Timeframe for Enhancement of Correlation Calculation for Bond Haircut Models

A Notice by the Securities and Exchange Commission on 03/25/2026

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• Document Details Published Content - Document Details Agency Securities and Exchange Commission Agency/Docket Numbers Release No. 34-105056 File No. SR-FICC-2026-005 Document Citation 91 FR 14612 Document Number 2026-05758 Document Type Notice Pages 14612-14613
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• Document Details Published Content - Document Details Agency Securities and Exchange Commission Agency/Docket Numbers Release No. 34-105056 File No. SR-FICC-2026-005 Document Citation 91 FR 14612 Document Number 2026-05758 Document Type Notice Pages 14612-14613
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Securities and Exchange Commission

1. [Release No. 34-105056; File No. SR-FICC-2026-005] March 20, 2026. Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (“Act”) [1 ] and Rule 19b-4 thereunder, [2 ] notice is hereby given that on March 13, 2026, Fixed Income Clearing Corporation (“FICC”) filed with the Securities and Exchange Commission (“Commission”) the proposed rule change as described in Items I, II and III below, which Items have been prepared by the clearing agency. FICC filed the proposed rule change pursuant to Section 19(b)(3)(A) of the Act [3 ] and Rule 19b-4(f)(4) thereunder. [4 ] The Commission is publishing this notice to solicit comments on the proposed rule change from interested persons.

I. Clearing Agency's Statement of the Terms of Substance of the Proposed Rule Change

The proposed rule change consists of amendments to the Methodology Document—GSD Initial Market Risk Margin Model (“QRM Methodology Document”) [5 ] in order to provide for delayed implementation of changes to the QRM Methodology Document that were proposed pursuant to File Number SR-FICC-2026-002 (“Rule Filing”) and approved by the Commission on March 9, 2026 (“Approved Rule Changes”). [6 ]

II. Clearing Agency's Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change

In its filing with the Commission, the clearing agency included statements concerning the purpose of and basis for the proposed rule change and discussed any comments it received on the proposed rule change. The text of these statements may be examined at the places specified in Item IV below. The clearing agency has prepared summaries, set forth in sections A, B, and C below, of the most significant aspects of such statements.

(A) Clearing Agency's Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change

1. Purpose

On January 27, 2026, FICC filed the Rule Filing with the Commission pursuant to Section 19(b)(1) of the Act [7 ] and Rule 19b-4 thereunder. [8 ]

On March 9, 2026, the Commission approved the Rule Filing pursuant to Section 19(b)(2) of the Act. [9 ] The Approved Rule Changes consist of modifications to the QRM Methodology Document in order to enhance the correlation calculation for bond haircut models and make a technical change.

FICC is proposing to amend the QRM Methodology Document to add a legend to the cover page of the QRM Methodology Document to state that the Approved Rule Changes will be implemented by April 30, 2026. Upon implementation of the Approved Rule Changes, the legend will be automatically removed from the QRM Methodology Document.

2. Statutory Basis

Section 17A(b)(3)(F) of the Act requires that the rules of a clearing agency be designed to, among other things, promote the prompt and accurate clearance and settlement of securities transactions. [10 ]

By establishing the date by which the Approved Rule Changes would be implemented, this proposal would enable Members to timely fulfill their obligations to FICC, which would in turn support FICC's ability to promote the prompt and accurate clearance and settlement of securities transactions. Therefore, FICC believes that the proposal is consistent with Section 17A(b)(3)(F) of the Act. [11 ]

(B) Clearing Agency's Statement on Burden on Competition

FICC does not believe that the proposal to establish an implementation date for the Approved Rule Changes would have any impact, or impose any burden, on competition.

(C) Clearing Agency's Statement on Comments on the Proposed Rule Change Received From Members, Participants, or Others

FICC has not received or solicited any written comments relating to this proposal. If any written comments are received, they will be publicly filed as an Exhibit 2 to this filing, as required by Form 19b-4 and the General Instructions thereto.

Persons submitting comments are cautioned that, according to Section IV (Solicitation of Comments) of the Exhibit 1A in the General Instructions to Form 19b-4, the Commission does not edit personal identifying information from comment submissions. Commenters should submit only information that they wish to make available publicly, including their name, email address, and any other identifying information.

All prospective commenters should follow the Commission's instructions on ( printed page 14613) how to submit comments, available at www.sec.gov/​rules-regulations/​how-submit-comment. General questions regarding the rule filing process or logistical questions regarding this filing should be directed to the Main Office of the Commission's Division of Trading and Markets at tradingandmarkets@sec.gov or 202-551-5777.

FICC reserves the right not to respond to any comments received.

III. Date of Effectiveness of the Proposed Rule Change, and Timing for Commission Action

The foregoing rule change has become effective pursuant to Section 19(b)(3)(A) of the Act [12 ] and paragraph (f) of Rule 19b-4 thereunder. [13 ] At any time within 60 days of the filing of the proposed rule change, the Commission summarily may temporarily suspend such rule change if it appears to the Commission that such action is necessary or appropriate in the public interest, for the protection of investors, or otherwise in furtherance of the purposes of the Act.

IV. Solicitation of Comments

Interested persons are invited to submit written data, views and arguments concerning the foregoing, including whether the proposed rule change is consistent with the Act. Comments may be submitted by any of the following methods:

Electronic Comments

• Use the Commission's internet comment form (https://www.sec.gov/​rules-regulations/​self-regulatory-organization-rulemaking); or
• Send an email to rule-comments@sec.gov. Please include File Number SR-FICC-2026-005 on the subject line.

Paper Comments

• Send paper comments in triplicate to Secretary, Securities and Exchange Commission, 100 F Street NE, Washington, DC 20549. All submissions should refer to File Number SR-FICC-2026-005. This file number should be included on the subject line if email is used. To help the Commission process and review your comments more efficiently, please use only one method. The Commission will post all comments on the Commission's internet website (https://www.sec.gov/​rules-regulations/​self-regulatory-organization-rulemaking). Copies of the filing will be available for inspection and copying at the principal office of FICC and on DTCC's website (www.dtcc.com/​legal/​sec-rule-filings). Do not include personal identifiable information in submissions; you should submit only information that you wish to make available publicly. We may redact in part or withhold entirely from publication submitted material that is obscene or subject to copyright protection. All submissions should refer to File Number SR-FICC-2026-005 and should be submitted on or before April 15, 2026.

For the Commission, by the Division of Trading and Markets, pursuant to delegated authority. [14 ]

Vanessa A. Countryman,

Secretary.

Footnotes

1. 15 U.S.C. 78s(b)(1).

Back to Citation 2. 17 CFR 240.19b-4.

Back to Citation 3. 15 U.S.C. 78s(b)(3)(A).

Back to Citation 4. 17 CFR 240.19b-4(f)(4).

Back to Citation 5.

                     The QRM Methodology Document was filed as a confidential exhibit in the rule filing and advance notice for GSD sensitivity VaR. 
                    See 
                     Securities Exchange Act Release Nos. 83362 (June 1, 2018), [83 FR 26514](https://www.federalregister.gov/citation/83-FR-26514) (June 7, 2018) (SR-FICC-2018-001) and 83223 (May 11, 2018), [83 FR 23020](https://www.federalregister.gov/citation/83-FR-23020) (May 17, 2018) (SR-FICC-2018-801). The QRM Methodology Document has been subsequently amended. 
                    See 
                     Securities Exchange Act Release Nos. 85944 (May 24, 2019), [84 FR 25315](https://www.federalregister.gov/citation/84-FR-25315) (May 31, 2019) (SR-FICC-2019-001), 90182 (Oct. 14, 2020), [85 FR 66630](https://www.federalregister.gov/citation/85-FR-66630) (Oct. 20, 2020) (SR-FICC-2020-009), 93234 (Oct. 1, 2021), [86 FR 55891](https://www.federalregister.gov/citation/86-FR-55891) (Oct. 7, 2021) (SR-FICC-2021-007), 95605 (Aug. 25, 2022), [87 FR 53522](https://www.federalregister.gov/citation/87-FR-53522) (Aug. 31, 2022) (SR-FICC-2022-005), 97342 (Apr. 21, 2023), [88 FR 25721](https://www.federalregister.gov/citation/88-FR-25721) (Apr. 27, 2023) (SR-FICC-2023-003), 99447 (Jan. 30, 2024), [89 FR 8260](https://www.federalregister.gov/citation/89-FR-8260) (Feb. 6, 2024) (SR-FICC-2024-001), 101569 (Nov. 8, 2024), [89 FR 90109](https://www.federalregister.gov/citation/89-FR-90109) (Nov. 14, 2024) (SR-FICC-2024-003), 104116 (Sept. 29, 2025), [90 FR 47437](https://www.federalregister.gov/citation/90-FR-47437) (Oct. 1, 2025) (SR-FICC-2025-018), and 104952 (Mar. 9, 2026), [91 FR 12248](https://www.federalregister.gov/citation/91-FR-12248) (Mar. 12, 2026) (SR-FICC-2026-002).

Back to Citation 6.

                     
                    See 
                     Securities Exchange Act Release No. 104952 (Mar. 9, 2026), [91 FR 12248](https://www.federalregister.gov/citation/91-FR-12248) (Mar. 12, 2026) (SR-FICC-2026-002).

Back to Citation 7. 15 U.S.C. 78s(b)(1).

Back to Citation 8. 17 CFR 240.19b-4.

Back to Citation 9. 15 U.S.C. 78s(b)(2).

Back to Citation 10. 15 U.S.C. 78q-1(b)(3)(F).

Back to Citation 11. Id.

Back to Citation 12. 15 U.S.C. 78s(b)(3)(A).

Back to Citation 13. 17 CFR 240.19b-4(f).

Back to Citation 14. 17 CFR 200.30-3(a)(12).

Back to Citation [FR Doc. 2026-05758 Filed 3-24-26; 8:45 am]

BILLING CODE 8011-01-P

Published Document: 2026-05758 (91 FR 14612)