JSCC margin changes ease Japan interest rate pain

Negative rates prompted switch in the CCP’s margin calculation model for interest rate swaps

bank-of-japan-street-scene
Bank of Japan: policy rate moves affected JSCC initial margin model

A change to the initial margin model used by a Japanese clearing house has eliminated instances of under-collateralisation but experts are warning that a signalled shift in the country’s interest rate regime may force the clearing house to revisit the model once again.

The Japan Securities Clearing Corporation tweaked its calculation method after initial margin held against interest rate swaps members fell below mark-to-market exposures on 19 separate occasions in 2016. Quarterly results disclo

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: