$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.


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 info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

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