SR-FICC-2020-804 - Advanced Notice Filing
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| Author       | Source       | 
| :-------------: |:-------------:|
|  [u/k2fa91](https://www.reddit.com/user/k2fa91/) | [Reddit](https://www.reddit.com/r/Superstonk/comments/nx1501/srficc2020804_advanced_notice_filing/) | 

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**Relevant comment by [u/laflammaster](https://www.reddit.com/user/laflammaster/)**

Ooooo Juicy.

TLDR; Sounds to me like they will modify the determination of risk of an asset portfolio (specifically TBAs) to calculate the margin limits (min margin amount). Specifically, they are raising the risk factor to the financial institutions that contain large concentration of TBAs, and therefore coverage of risk from 97.3% to 98.5% for June 2020. Basically, FICC are preparing for a nice market downfall w.r.t. MBS - CMBS in my opinion - and want to make sure they have enough cash on hand to withstand the defaults.

MBSD = mortgage backed securities division

VaR = Value at Risk

TBA = To be Announced trade for MBS. Basically an IOU on an unknown. Say you come into a convenience store and ask for a chocolate with an agreed to price of $1.39. The vendor picks up a chocolate and gives you a Twix. Therefore they are super risky, especially when the vendor is out of any chocolate that sells for less than $1.40, but must fulfill an obligation against which you both agreed to at a price of $1.39.

> that current prices may reflect higher mortgage prepayment risk than FICC's margin methodology currently takes into account during periods of extreme market volatility.

> Thus, to be consistent with its regulatory requirements, FICC must consider potential future exposure, which includes, among other things, losses associated with the liquidation of a defaulted member's portfolio.

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[SR-FICC-2020-804.pdf](https://github.com/verymeticulous/wikAPEdia/files/6638439/SR-FICC-2020-804.pdf) posted by [u/Meticulous-](https://www.reddit.com/user/Meticulous-)
