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Equities and BondsMargin

Initial Margin for Cash Products

In order to cover exposures for cash products, JSCC calculates the daily initial margin based on the following:

  • Mark-to-market value of each unsettled contract evaluated using the latest price
  • Expected loss based on the unsettled market value and price fluctuation of each issue (1-day holding period, 250 day reference period, 99% confidence level)

The additional Initial Margin will be charged when an expected loss upon a default of the relevant Securities Clearing Participant under stressed conditions cannot be covered by pre-funded financial resources.

(※)The total required Initial Margin for Cash Products amount contributed by all Clearing Participants was JPY43.1B (as of 30, June, 2020)

Structure of Increasing Initial Margin

  • Increase according to Credit Standing
    If JSCC considers necessary in light of the credit standing of the Clearing Participant, JSCC may increase the Required Initial Margin Amount.