JSCC’s IRS unit hit by record margin breaches
Interest rate volatility drives coverage level below CCP’s risk appetite, triggering IM methodology review
The Japan Securities Clearing Corporation’s (JSCC) interest rate swaps division reported the highest number of initial margin (IM) breaches on record in Q1 2023 amid interest rate volatility.
The central counterparty (CCP) disclosed 216 backtesting deficiencies in the 12 months ending March 2023, almost four times the figure reported for 2022.
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