Following the release of a YouTube video in English by JSCC, the FIA Japan Operations Committee made the following comments:
“The BoJ made a surprise announcement to widen the range of its 10Y JGB yield target from 25 bps to 50 bps at its December 2022 meeting. The market responded with 10Y JGBs jumping to the 50bps target, OIS 10Y spiking from 66 bps to 85 bps, and 10Y JGB futures crashing 2.01 yen lower to 145.58.
This significantly impacted the market pricing mechanism and margin requirements at the clearing house (i.e. 10YR JGB Futures margin increased +19% in 10YR OIS swaps margin increased +11% in Pay, +13% in Receive).
Learning lessons from the market, JSCC made some interesting analysis of potential future margin impacts through similar BoJ action in future meetings. Watch the YouTube video for details, and prepare for potential impacts in the future. “
JSCC has been disclosing its quarterly risk data such as margin back testing, in the form under the Principles for Financial Market Infrastructures, the global standard on central counterparties established by CPMI-IOSCO. To enhance transparency on its risk management, additionally JSCC has been holding a quarterly webinar briefing on the disclosure, together with some topic of interest for industries, such as migration to VaR model in its clearing service for exchange-traded derivatives.
Link to past disclosures and webinars by JSCC: https://www.jpx.co.jp/jscc/en/company/fmi-pdf2.html
Please send your request for invitation to future webinars to: