$899m margin breach at FICC’s mortgage unit
Three-day move in TBA prices on June 9 triggered second-highest backtesting deficiency to date
A large downward move in the mortgage-backed securities (MBS) market on June 9 triggered an $899 million initial margin breach at the Fixed Income Clearing Corporation, the second-largest on record for the central counterparty.
The MBS division reported 106 backtesting exceptions at end-June – calculated as the size of uncovered exposures following the results of backtesting of initial margin coverage over a rolling 12-month period. The previous quarter’s tally was 25.
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The Q2 peak
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