Risk Quantum/National Securities Clearing Corporation (NSCC)
NSCC default fund surges to record $19.8bn in Q2
Q2 spike pushes resources past pandemic-era peak
Record rise in concentration at top CCPs leads to all-time high
Median top-five member open position concentration rises 2.4pp in Q4
NSCC issued record $45bn cash call in Q4
Worst-case scenario estimate up 22% from previous quarter
Concentration risk ticks up at large CCPs
Top five clearing members accounted for almost half IM and open positions in Q3
NSCC had top margin breach of $1.2bn in Q3
Margin shortfall is largest on record for the CCP and bucks wider trend across global clearing houses
RepoClear’s default fund halves in Q1
Elevated initial margin allows LCH service to scale back second line of defence to lowest point on record
CCPs shun central banks in liquidity buffers rejig
LCH, Ice US and CME lead the way towards commercial banks
NSCC member received record $42bn cash call in Q1
Largest payment obligation was 22% larger than previous quarter
FICC’s liquidity pool $3.8bn short of payment obligation
Clearing unit for MBSs incurred first shortfall on record in January