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 print this content. Please contact [email protected] to find out more.
You are currently unable to copy this content. Please contact [email protected] to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
More on Risk Quantum
7 days in 60 seconds
Big bangs, FinCEN leak and prime exodus
The week on Risk.net, October 10–16, 2020
Receive this by email