Risk Quantum/National Securities Clearing Corporation (NSCC)
RepoClear’s concentration risks see highest rate of increase
LCH's cash bond and repo trade-clearing service has steepest slope of IM and open positions over 2016–22
CCPs’ largest members account for almost half IM
Analysis of 30 clearing services shows wide dispersion in concentration risk – with LCH and JSCC leading the pack
Options expiry triggered $135m liquidity shortfall at NSCC
The CCP collected supplemental liquidity deposits six times during the first quarter
Liquidity risk rose at most CCPs in Q3
JSCC, CME, Ice and Eurex among those that revised their VM estimates
One NSCC member paid record $40bn to cover dues in Q3
The cash call was 141% larger than the previous quarter
NSCC’s liquidity pool twice short of payment obligation in Q3
The CCP reported a shortfall in its qualifying liquid resources for the third consecutive quarter
NSCC caught $5 billion short in June
Worst-case losses would have wiped out the CCP’s available liquid resources on two separate days in Q2
NSCC caught $600m short during meme-stock frenzy
Worst-case losses would have wiped out the CCP’s available liquid resources on one day in Q1
NSCC hit by $1.06bn margin breach
In total, the DTCC division reported 96 margin breaches at end-March 2021
One FICC member paid record $102bn to cover dues in Q4
Previous highest payment obligation of a single participant was $77 billion in size
Top clearing houses bolstered default funds over Q1
NSCC reported its guaranty resources grew 231%
DTCC’s mortgage unit hit by $1.5bn margin breach in Q1
A large, directional portfolio $100 billion in size was to blame