DTCC’s mortgage unit hit by $1.5bn margin breach in Q1

A large, directional portfolio $100 billion in size was to blame

On March 19, an account at the mortgage-backed securities division (MBSD) of the Depository Trust & Clearing Corporation incurred a $1.5 billion initial margin shortfall, as market volatility overwhelmed the clearing service’s value-at-risk model.

The DTCC said the supersized breach was caused by “a large, directional portfolio” over $100 billion in size. The average breach size for the rolling 12-month period ending March 31 was $35 million, and the number of breaches over this period totalled

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