1)
Clearing Corporation stock is to be valued at book value for regulatory capital purposes
subject to a haircut equal to the greater of: (i) 15 percent;
or (ii) 100 percent minus the ratio of liquid assets to
total assets as determined by the Clearing Corporation.
2)
Only those shares pledged to the Clearing Corporation Guaranty
Fund are allowable for capital and may be reported as current
on the balance sheet. As such:
(i)
FCMs should reflect Guaranty Fund shares within 1-FR line
5.C., Box 1150 (Receivables From and Deposits With U.S.
Commodity Clearing Organizations - Guarantee Deposits).
The valuation adjustment from balance sheet cost to book
value less applicable haircuts should be reflected within
Capital Computation line 2, Box 3010 (Increase/Decrease
To U.S. Clearing Organization Stock).
(ii)
Broker-Dealers should reflect Guaranty Fund shares in
Focus II line 3.D.2., Box 290 (Receivables From Brokers
or Dealers and Clearing Organizations - Clearing Organizations
- Other). Broker-Dealers should continue to reflect the
valuation adjustment from balance sheet cost to book value
less applicable haircuts within the Capital Computation
location consistent with the firm's prior clearing organization
stock adjustments.
3)
Any shares not held within the Clearing Corporation's Guaranty
Fund are to be reported as non-current on the balance sheet.
FCMs should reflect non-current shares within 1FR line 3.D.,
box 1105, Securities-Stock In Clearing Organization. Broker-Dealers
should reflect non-current shares within Focus II line 8.B.,
box 610, Securities Owned Not Readily Marketable. Such shares
are non-allowable assets. No capital increase or capital
charge is applicable for shares held outside the Guaranty
Fund.
