Clearing members welcome JSCC initial margin reforms
Stress loss add-ons touted as path to ensure defaulter pays and default fund contributions shrink
The dominant Japanese derivatives clearing house JSCC is set to reform its initial margin methodology early next year, in a plan that looks likely to be welcomed by clearing members.
Futures commission merchants (FCMs) hope the proposal – which would establish IM add-ons calculated using stress loss over margin (Slom) – should also result in lower default fund contributions for members of the central counterparty (CCP). This is seen as a fairer way to handle potential member defaults.
“From the
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