Fourteen margin breaches at CME’s swap unit in Q1
CME disclosed 14 initial margin breaches at its interest rate swaps clearing service over the first quarter, the largest of which was almost $80 million in size.
The three months to end-March were the first quarter since Q4 2016 in which the swaps unit experienced a breach. Then, the peak breach was $14 million.
The maximum aggregate initial margin call over the first quarter was $3.3 billion, compared to $402 million in Q4 2019. Total initial margin held by the default fund for the interest
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