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
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The Fixed Income Clearing Corporation (FICC) filed a rule change that sets a firm implementation deadline of April 30, 2026 for previously approved enhancements to its bond haircut models. These enhancements improve the correlation calculation used in the Quantitative Risk Management (QRM) Methodology Document for the Government Securities Division (GSD). The current filing simply adds a temporary legend to the cover page of the QRM Methodology Document stating the implementation date; the legend will be automatically removed once the changes go live. The Commission has already approved the underlying methodology improvements on March 9, 2026 under File No. SR-FICC-2026-002. This notice makes the April 30, 2026 implementation date official and immediately effective.
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Key Changes
- Adds temporary legend to cover page of QRM Methodology Document stating implementation by April 30, 2026
- Establishes firm go-live date of April 30, 2026 for previously approved correlation calculation enhancements
- Legend will be automatically removed upon implementation of the Approved Rule Changes
+ 3 more changes with Pro
Obligations
What this law requires
FICC must implement the approved enhancements to correlation calculation for bond haircut models in the QRM Methodology Document by April 30, 2026
FICC must maintain a legend on the cover page of the QRM Methodology Document stating that approved rule changes will be implemented by April 30, 2026, until such implementation occurs
FICC must automatically remove the implementation deadline legend from the QRM Methodology Document cover page upon completion of the approved rule changes implementation
FICC members must be notified of and prepared to comply with the April 30, 2026 implementation date for the approved correlation calculation enhancements to enable timely fulfillment of their obligations to FICC
The SEC may temporarily suspend the rule change within 60 days of filing (by May 12, 2026) if deemed necessary or appropriate in the public interest or for protection of investors