On Aug. 22, JPN SCC said it will revise VaR margin calculation method.
JPN SCC issued a plan to revise VaR margin calculation method for index futures and options trading including Nikkei 225 futures, to improve the margin coverage rate.
This change is intended to improve margin levels for combination positions of futures or options but will not affect the margin calculation method per futures contract.
Effectiveness
Addition of stress scenarios for futures combination positions from Sep. 22, 2025.
Refining of holiday considerations when calculating options margins from Jan. 26, 2026.
Regulators
JPN SCC
Entity Types
B/D; Exch; IA
Reference
PR 8/22/2025
Functions
Actuarial and Valuation; Compliance; Financial; Operations; Risk; Settlement; Trading; Underwriting
