Risk Quantum/Japan Securities Clearing Corporation (JSCC)
JSCC, FICC lead VM spike across CCPs
BoJ decision to allow 10-year yields above 1% contributed to JSCC spikes
JSCC’s initial margin hit all-time high in Q3
Requirements at ETP cash securities unit up fivefold, OSE-listed ETP service grows to record size
JSCC’s IRS unit hit by record margin breaches
Interest rate volatility drives coverage level below CCP’s risk appetite, triggering IM methodology review
Sovereign bonds top choice for IM collateral
Drive towards higher interest-earning assets strongest at CME and LCH among top CCPs
Ice Credit makes biggest IM call since early pandemic
Aggregate peak calls were 17% higher in Q1 than previous quarter across 25 clearing houses
CCPs shun central banks in liquidity buffers rejig
LCH, Ice US and CME lead the way towards commercial banks
Initial margin breaches surge at JSCC government bonds division
Sharp interest rate fluctuations triggers largest backtesting deficiency on record
CCP ‘skin in the game’ still dwarfed by member contributions
Even as markets churned in 2022, clearing houses coughed up only 2% of funds at end-September – the same as the previous year
Commercial bank cash grows more popular for initial margin
Shift driven by Ice Europe as CCPs diverge on preferred type of collateral