Fourteen margin breaches at CME’s swap unit in Q1
The peak breach was almost $80 million in size
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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