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
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 info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Risk Quantum
Record share of OTC trades eschews interdealer, CCP channels
More than one-fourth of global notional involves a single dealer and is not cleared, BIS data shows
EU IMA users maintain edge in keeping risk charges compressed
Aggregate market RWAs increased slower in 12 months to June than at banks using SA only
OTC derivatives hit $730 trillion peak in H1 2024
Interest rate and FX derivatives drive notional spike
G-Sib cross-border risk drops to four-year low
Two-thirds of systemic banks saw systemic indicator decrease in 2023
Thirteen EU banks face loan losses of more than 16% from green switch
Climate stress test predicts overall bank losses of 6%, rising to 11% under adverse scenarios
Deutsche misses G-Sib surcharge cut despite EU score benefit
Carve-out of intra-bloc exposure lowers score below 230bp, but 1.5% surcharge remains
Post-UBS takeover, Switzerland sees biggest regional G-Sib score spike
Credit Suisse acquisition pushes UBS’s complexity category to all-time high, driving up country’s overall score
Deutsche’s IRC tops €8 billion in four-year high
Ballooning credit-event risk charge contrasts with Q3 drop at BNP Paribas, ING
