Introduction of Non-JPY Interest Rate Swaps Clearing and Cross Margining
2015/09/24
Japan Securities Clearing Corporation (JSCC) hereby announces that, from today, it has started clearing operations for interest rate swaps denominated in non-JPY currencies (USD, EUR and AUD) and cross margining scheme between interest rate swaps and Japanese government bond futures (JGB futures) to reduce collateral requirement by offsetting risks.
Starting with JPY LIBOR interest rate swaps in October 2012, JSCC expanded its clearing eligible JPY products to ZTIBOR (Euroyen TIBOR) in February 2013, OIS (Overnight Index Swaps) in November 2014, and DTIBOR (Japanese Yen TIBOR) in December 2014. Adding non-JPY interest rate swaps to the eligible products this time helps improving convenience of JSCC users as JSCC has realized “one stop shopping” for swaps denominated in multiple major currencies.
The cross margining scheme between interest rate swaps and JGB futures enables clearing members to reduce collateral requirement whilst maintaining the risk management level at JSCC.
Furthermore, JSCC has enhanced its compression services, which reduce the notional amount of cleared positions at JSCC, in response to the recent growing demand for the services from market participants due to “leverage ratio rule”, where capital costs corresponding to the notional amount of outstanding trades are required for financial institutions.
JSCC will make further effort on the expansion of its clearing services as well as functional enhancement, which JSCC believes to contribute to strengthening competitiveness of Japanese capital market.
Tel: +81-3-3665-1234 (rep.)
Email: otc@jscc.co.jp
