Initial margin breaches surge at JSCC government bonds division

Sharp interest rate fluctuations triggers largest backtesting deficiency on record

Initial margin (IM) breaches at Japan Securities Clearing Corporation’s government bonds division rose to their highest-ever level of 75 during the 12 months ending March 2023.

JSCC attributed the spike in breaches to interest rate volatility sparked by banking turmoil in the US in March.

The largest single breach in the first quarter of 2023 was ¥62 billion ($467 million) in size, 71% higher than the previous largest breach on record, ¥36 billion in Q2 2022.

Not only did the overall number

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