Friday September 29 2017

News Source: Global Exchanges

Focus: Credit Rating

Type: Correspondence with Exchange




On the 28th September 2017, the Japan Securities and Clearing Commissions (JSCC) made revisions to its Risk Management Framework. The rationale behind the changes was the implication of international regulations, such as the Committee on Payment and Settlement Systems (CPSS) and the Technical Committee of the International Organization of Securities Commissions (IOSCO) Resilience and recovery of central counterparties (CCPs)” framework.

The Amendments will make extensive changes particularly in areas of Margin Adjustment and Clearing.

Notably the Amendments will redefine the Base Probable Maximum Loss amount of the Clearing Fund.

The Probable Maximum Loss amount of the Clearing Participant shall be determined by deducting the amount of Margin from the amount of loss arising from the unsettled contracts under stress scenarios.

The Implementation of the New Framework is expected to occur in the first quarter of 2018. While provisions on  the  Cap on Temporary Utilization and Suspension of Withdrawal of Cash Portion of Clearing Fund under Temporary Utilization will become effective February 2018.

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