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

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 [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

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: