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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

Source 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
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