Interest rate vol triggered three breaches at CME in Q2

CCP’s interest rate swaps clearing unit reported its first initial margin shortfalls since Q3 2020

A sudden move in the US dollar interest rate triggered three initial margin breaches at CME Clearing in the second quarter – only the fourth time this happened since 2015, when public disclosures for central counterparties were first published.

With a peak size of $21.6 million, the biggest breach – which considers the theoretical scenario of the largest clearing member not meeting its payment obligations – was the third largest ever reported by the CCP’s interest rate swaps (IRS) clearing unit

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