FICC’s government securities unit hit by $995m breach

Large moves in US Treasury yields in June to blame for largest backtesting exception on record

The government securities division (GSD) of the Fixed Income Clearing Corporation reported a $995.3 million initial margin breach in the second quarter, the largest reported by the clearing unit since public disclosures began to be published in 2015.

The deficiency, which considers the size of uncovered exposures following the results of backtesting of initial margin coverage, occurred on June 9, and was almost 25% larger than the previous peak breach of $797 million that occurred in Q1 2020.

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