Margin

Margin Deposited by Customers

A customer shall directly deposit Clearing Margin with the JSCC. However, if the customer agrees in writing, a participant may have the customer deposit Brokerage Margin.
(In this case, the participant replaces the Clearing Margin deposited by the customer as Brokerage Margin with cash or securities owned by the participant which is equivalent amount to the Brokerage Margin.)

Margin Requirement

Margin requirement shall be equal to or larger amount calculated by deducting the Total Amount of Net Option Value calculated based on open positions of options trading from the amount calculated by SPAN® (SPAN Requirement) based on open positions of futures and options trading.

SPAN Requirement - Total Amount of Net Option Value

SPAN Requirement:
The worst possible portfolio loss arising from market fluctuation, etc. subtracting loss amounts that can be theoretically offset in that portfolio.
This shall be calculated by SPAN®.

Total Amount of Net Option Value:
Settlement value of each option in the portfolio at the market close. This shall be the amount that covers costs taking place in the event of liquidation of open positions required by participant's default, etc., or risks taking place in the event of option exercise.

Deposit of margin in securities in lieu of cash

A customer may deposit margin in securities in lieu of cash. However, if there is a cash margin, such amount should be deposited in cash.

Calculation method of the total amount of margin deposited

The total amount of margin deposited is calculated by adding or deducting the amount a customer is supposed to receive or pay in cash, to or from the amount of cash and/or securities deposited by the customer as margin for futures and options trading.

The amount of cash a customer supposed to receive or pay

The amount of cash a customer supposed to receive or pay is the amount calculated by deducting the amount to be charged to the customer and deemed necessary by a participant from the sum of (1) the unrealized profit or loss in futures trading, (2) the unsettled future profit or loss, and (3) the unsettled option premium (including unsettled cash difference upon exercise of stock index options).

Unrealized profit or loss

The unrealized profit or loss is the amount calculated by deducting the amount of unrealized profit paid to a customer from the net balance between profit and loss due to settlement price change for futures contract.

Unsettled future profit or loss

The unsettled future profit or loss is the profit or loss fixd by closing trading and/or Final settlement.

Unsettled option premium

The unsettled option premium is the total premium of options traded on the day and/or cash difference upon exercise (Final settlement) of stock index options.

Payment of unrealized profit

If an unrealized profit arises in a customer's position and the total amount of margin deposited exceeds Margin Requirement, a participant may pay the customer such unrealized profit up to the exceeding amount.

Margin call and maintenance

When there is a deficit in the total amount of margin deposited or a cash margin deficit, a customer is required to deposit with a participant additional margin in cash and/or securities equal to or larger than such deficit based on the claim of the participant.

Deadline of margin deposit

A customer should deposit margin to a participant by the time specified by the participant on or before the following day (the next day, in case of a holiday; the same applies hereinafter) when there is deficit in total amount or cash margin deficit.