Japan Securities Clearing Corporation (JSCC)
The Giancarlo spirit: wobbling but not falling
The burden of US extraterritoriality rules may be easing
Yen swaps users stuck in clearing Catch-22
Lack of access to client clearing at JSCC poses problems for US buyers of Japanese government bonds
JSCC incurred 311 IM breaches in 2020
IRS service experienced the largest breach last year
Japan debuts swaptions linked to risk-free rate
Sparse liquidity in Tonar swaps may put premium on swaption pricing, dealers warn
Top CCPs invest little clearing member cash in securities
Cash payments of initial margin and default fund contributions are typically placed with central banks
Skin in the game of top CCPs varies
The average default fund has less than 4% of total resources contributed by the host CCP itself
JSCC increases skin in the game after merger
CCP added ¥2.4 billion to cover commodities contracts
JFSA pushes for JSCC to clear US customer trades
Discussions with CFTC over bankruptcy protections for US clients are ongoing
CCP liquidity risks varied in Q2
Most clearing services said their estimated largest payment obligations fell quarter-on-quarter
Initial margin held by top CCPs declined over Q2
Cash collateral held at central banks down 23% across top CCPs
JSCC placed majority of its default funds with the BoJ in Q2
Loss-absorbing resources stashed with commercial banks fell over the three months to end-June
CCPs added cash to their liquidity buffers in Q1
CME increased cash reserves at central banks by 271% quarter-on-quarter
Top clearing houses bolstered default funds over Q1
NSCC reported its guaranty resources grew 231%
Initial margin models of top CCPs slipped in Q1
Achieved coverage levels declined quarter-on-quarter
Initial margin held by JSCC swelled 65% in Q1
Largest IM call for JGB index futures and options unit was ¥443.9 billion
CCPs built up liquidity buffers heading into 2020
LCH SA grew qualifying liquid resources 49% year on year
Entering 2020, most CCPs had bigger default funds than a year ago
Majority of back-up funds to handle member defaults saw more pre-funded resources flow in
Asia CCPs forced to hike margins rapidly during equities rout
Margins for Nikkei 225 futures more than doubled at JSCC in a matter of days
Japan selects term risk-free rate vendor
Sketchy volumes in overnight index swaps hold up calculation methodology
Clearing members in cash clash with Apac CCPs
Banks and clearing houses wrangle over who should pay for losses on invested collateral
Top five clearing members dominate CCPs
Thirteen of 25 clearing services surveyed have 50% or more open positions in hands of top five members
At CCPs, sovereign bonds are top IM collateral
Government debt makes up 48% of IM on average among top clearing houses
Inside top CCPs’ default funds
Central banks favoured by CCPs to hold default resources
JSCC caps member cash calls, revamps futures margin model
Clearing house set to end unlimited default fund top-ups for futures clearing