Vanessa Countryman
Secretary
Securities and Exchange Commission 100 F Street NE
Washington, DC 20549-1090

Re: File No. SR-FICC-2020-017; Self-Regulatory Organizations; Fixed Income Clearing Corporation; Notice of Filing of Proposed Rule Change to Modify the Calculation of the MBSD VaR Floor to Incorporate a Minimum Margin Amount

Dear Ms. Countryman,

SIFMA1 appreciates the opportunity to respond to this rule proposal from the Fixed Income Clearing Corporation (FICC).2 FICC plays a critical role in facilitating a liquid and robust agency mortgage-backed securities market, including the TBA market, which is a key component of the U.S. housing finance system, and a key driver of the economy. Importantly, the housing market has been one of the few bright spots over the last year, as many other components of the economy have suffered.

We also thank the SEC for extending the comment period to allow for a more in-depth discussion of this important proposal.

Central counterparties such as FICC need to collect appropriate margin from their members to ensure the robustness of the CCP as well as to protect their members from the risk and cost of the failure of another member. In the MBS market, we saw the value of this form of organization when Lehman Brothers failed. However, it is important that the levels of margin be calibrated appropriately – enough margin to protect the CCP and its members, but not too much so as to create a drag on the market it serves, and in this case the mortgage markets more broadly.

1 SIFMA is the voice of the U.S. securities industry. We represent the broker-dealers, banks and asset managers whose nearly 1 million employees provide access to the capital markets, raising over $2.5 trillion for businesses and municipalities in the U.S., serving clients with over $18.5 trillion in assets and managing more than $67 trillion in assets for individual and institutional clients including mutual funds and retirement plans. SIFMA, with offices in New York and Washington, D.C., is the U.S. regional member of the Global Financial Markets Association (GFMA). 2 FICC’s proposed rule is available here: https://www.federalregister.gov/documents/2020/12/10/2020-27087/self-regulatory-organizations-fixed-income-clearing-corporation-notice-of-filing-of-proposed-rule