FICC - MBS Alert! Moving MBSD Deterministic Risk Component to Cash Only Settlement; Intraday Mark-to-Market Charge and Intraday VaR Charge. Due to recent market volatility, FICC will be raising the backtesting coverage threshold for intraday margin calls
During normal market conditions, the Intraday Mark-to-Market Charge applies to Clearing Members that experience an intraday increase in Mark-to-Market exposure that exceeds (i) a dollar threshold of $1,000,000, (ii) a percentage threshold of 30% as compared to the daily VaR Charge, and that have 12-month backtesting coverage below a target of 99%. Due to recent market volatility, FICC will be raising the backtesting coverage threshold for intraday margin calls to 100% in order to prevent backtesting deficiencies. FICC will also be applying a trading day threshold for intraday margin collection. Clearing Members who have less than 100 trading days in a rolling 12-month period, and who breach the threshold for (i) and (ii), will be assessed an Intraday Mark-to-Market Charge, regardless of their backtesting coverage.
