FICC Loss Allocation Overview - Now Online
Click on FICC Loss Allocation Overview in the What Members Need To Know section (below) to access the 3-part eLearning course explaining FICC loss allocation practices as they apply to both Defaulting Member and Declared Non-Default Loss events, and which presents hypothetical scenarios demonstrating how these concepts are applied during an Event Period in the case of single- or- multiple-member default
Looking for information about GSD Enhancements?
To support the enhancements, FICC is updating guides, webcasts and other learning resources on the learning center. Watch this space for announcements about these updates in the near future.
GSD Risk Reporting Guide (RTTM Reports)
The GSD Risk Reporting Guide (RTTM Reports) is meant to help members understand the reports available to them within the RTTM® Report Center. Within this document we present and describe Clearing Fund related reports, define their line items and provide an image of each report for reference. You may also find this document in the Documents tab at the top of this page.
The Government Securities Division (GSD) of FICC
The GSD Learning Center is designed as an educational resource to better equip Fixed Income Clearing Corporation's (FICC's) Government Securities Division (GSD) Netting Members and stakeholders with the tools needed to best use GSD's services.
US Government Securities is the largest sector of the fixed income market. The GSD acts as a CCP providing clearance, settlement and risk management services to its’ Netting Members in the U.S. Government Securities market. In addition to Netting Member services, GSD services another category of members known as Comparison-only members. GSD’s comparison services for Comparison-only members, does not include netting or settlement services for their trades.
Participating members include banks, Inter-Dealer Brokers (IDBs), dealers, Government Securities Issuers, Foreign Persons and Registered Clearing Agencies who meet GSD’s membership requirements.
Currently GSD supports two primary products, Delivery vs. Payment (DVP) and GCF Repo®; GSD processes several types of transactions including buy/sell trades of U.S. Government securities, both dealer to dealer and broker to dealer Repos including overnight, forward-start and term Repo trades, Treasury Auction Takedown trades and GCF Repo® transactions.
What Members Need To Know
This section is intended to provide GSD clients with quick access to information considered timely, important and/or recently posted to the Learning Center. Expand the sections below to learn more.
The FICC Loss Allocation Overview eLearning is divided into three parts. The eLearning assumes you will watch all three parts in order as the information in each builds on the part which precedes it. The Resources link provides access to transcripts for each part, and a Knowledge Check is included in Part 3 to solidify your comprehension of the concepts. You will also have the opportunity to share feedback for this eLearning at the end of Part 3.
The topics covered in the FICC Loss Allocation Overview, Parts 1 - 3, include:
- FICC loss allocation practices as they apply to both Defaulting Member and Declared Non-Default Loss events,
- loss allocation rule enhancements implemented in 2018,
- the look back period,
- pro rata share of losses calculation for FICC members,
- the Loss Allocation Cap,
- the member withdrawal process,
- the Event Period, and
- hypothetical scenarios demonstrating how these concepts are applied during an Event Period in the case of single- or- multiple-member default.
Links to videos appear below. You will need to be logged in to view them.
The FICC Government Securities Division (GSD) has implemented a number of enhancements as of June 25, 2018 to benefit Members. GSD invites you to view a few short videos created to acquaint you with the enhancements, why we’ve implemented them and how they benefit you.
Note: Please give the videos a moment to load. If you see an error message in place of a video, simply refresh this page in your browser (press F5 key).
1. The GSD Clearing Fund Calculation & Other Enhancements in 2018
2. The Value at Risk Model & Other GSD Enhancements
3. The Blackout Period Exposure Adjustment
Fixed Income Clearing Corporation (“FICC”) would like to remind the Government Securities Division (“GSD”) and the Mortgage Backed Securities Division (“MBSD”) member firms of the guidelines that should be followed in the event that they are experiencing internal system issues and require an end-of-day extension to submit trade input.
In the event that members are experiencing system issues and require an extension beyond the 8:00 p.m. EST cutoff, please contact the IT Operations Group at 888-382-2721 (option 5-5).
Please note the following important key points:
- Members must contact the IT Operations Group by 7:30 pm EST to request a trade submission extension.
- Any request received after 7:30 p.m. EST will be handled on a best efforts basis.
- Upon request by a member, an automatic extension will be granted for a period of up to 30 minutes through 8:30 p.m. EST.
- If a member requires an additional 30 minute extension through 9:00 p.m. EST, FICC Operational staff may request additional information (i.e. volume, system status, etc.) in order to assess the request.
- If FICC Operations agrees to grant an additional 30 minute extension through 9 p.m. EST, an email notice will be sent to all members alerting them of the delay in the transmission of end-of-day output beyond typical distribution timeframes. FICC will send status update alerts to member every 15 minutes thereafter with the estimated timeframe for publishing the end-of-day data output.
If you have any questions, please contact your Relationship Manager.
To learn more about GSD products and services, please select a topic from the menu located to the left of this article.