Aged Fails to Deliver
Each fail-to-deliver contract outstanding for five business days or longer (21 business days or longer in the case of municipal securities) must deduct the haircut on the market value of that type of security. The haircut then must be increased by any excess of the contract price over the market value of the security. Or it will be reduced by any excess of the market value of the underlying security over the contract price, as long as the excess does not cause the haircut to fall below zero.
Contract value | Market value | Age from settlement | 15% haircut | Addition or subtraction | Total haircut | Allowable Asset |
$3,000 | $4,000 | 6 business days | $600 | ($1,000) | $0 | $3,000 |
$3,000 | $3,200 | 6 business days | $480 | ($200) | $280 | $2720 |
$3,000 | $2800 | 6 business days | $420 | +$200 | $620 | $2380 |
FINRA may, upon the broker-dealer’s request, extend the fail-to-deliver period up to five business days if it is satisfied that the extension is warranted. In this case, any haircut reduction in assets will be delayed another five business days.
SEC Rule 15c3-1(c)(2)(ix)
