Federal Register #SR-FICC-2026-005

This notice concerns a proposed rule change by the Fixed Income Clearing Corporation (FICC) as published by the Securities and Exchange Commission (SEC): - The rule change sets an implementation timeframe for enhancements to the correlation calculation in bond haircut models, as described in the QRM Methodology Document - The QRM Methodology Document is used by FICC for risk margin modeling in the clearing and settlement of securities transactions - No procurement of products or services is requested in this notice - No OEMs or commercial vendors are mentioned aside from FICC - The proposal is regulatory, aiming to improve risk management and ensure timely compliance by FICC members - No purchase quantities, part numbers, or unique procurement requirements are specified

This notice announces a proposed rule change filed by the Fixed Income Clearing Corporation (FICC) with the Securities and Exchange Commission (SEC). The proposal establishes an implementation timeframe for enhancements to the correlation calculation used in bond haircut models within the QRM Methodology Document. The change aims to improve risk margin models and ensure timely compliance by members, supporting prompt and accurate clearance and settlement of securities transactions. The rule change was filed on March 13, 2026, and is effective immediately upon filing.