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

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

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: