real-time news and commentary for investors
Wednesday, Oct 16
CME boosting U.S. rate swap margins
- Systemic risk: The CME tells customers it will boost margins on U.S. interest rate swaps by 12% over the next four days amid concern over fallout from a possible government debt default. This follows last week's move by The Hong Kong Exchange to raise collateral levels on certain short-term Treasurys.
- Interest rate swaps are the world's largest OTC asset class, with around $500B in daily notional volume, according to the FT.
- From the CME: "CME Clearing is closely monitoring the developments related to the US reaching its debt ceiling."
- Short-dated Treasury ETFs: SHY, SHV, IEI, BIL, TUZ, FIVZ, DTUL, VGSH, DTUS, DFVS, DFVL, SST, ISTB, TBZ.