

FICC default exposure exceeded size of clearing fund in Q2
On three days in the second quarter, the margin deposits held by the Fixed Income Clearing Corporation’s mortgage-backed securities division (MBSD) were judged insufficient to cover losses if two participants imploded.
Quantitative disclosures show the unit estimated its peak stress loss to be $6.6 billion on one day between end-March and end-June, which was $887 million more than it had to hand in prefunded default resources, which at FICC is made up of clearing members’ required margin
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