FIA responds to JSCC consultation on initial margin and clearing fund calculation methods 

19 April 2024

FIA has submitted a response to the Japan Securities Clearing Corporation’s consultation, which proposes to introduce stress add-on initial margin charges and a partial revision of the clearing fund calculation method in its listed financial derivatives clearing service.

The response supports a "defaulter-pays" approach, where members with exceptionally high exposures post additional margin to limit the burden on mutualised default resources. While the response acknowledges Stress Risk Add-on Margins (SAM) as a potential tool, it argues against an over-reliance on this due to concerns about reduced resources and potential instability during market stress. Instead, it emphasizes the importance of a strong base initial margin methodology.

The response also suggests ways to improve transparency and clarity for members, including providing numerical examples and clarifying calculation methods. It also supports a proposed shift to clearing fund contributions based on uncollateralized stress loss, with a preference for allocating at least 50% based on the Stress Loss Over IM (SLOIM) rate.

Read the response in full.

  • FIA
  • CCP Risk
  • Advocacy
  • Asia-Pacific