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Equities and BondsMargin

Initial Margin for Cash Products

In order to cover exposures for cash products, JSCC asks Securities Clearing Participants to deposit the daily initial margin calculated 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 JPY137.0B (as of Sep. 30, 2021)

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.

Intraday Call of Initial Margin

  • Increase according to abrupt market fluctuation
    JSCC will activate intraday call of Initial Margin requirement, if any of the following event occurs:

    - If the difference between the latest contract price as of 11:00am in auction session of the central contract month of TOPIX Futures and the settlement price of the relevant contract month on the previous trading day exceeds Price Scan Range Base Level for TOPIX group; or
    - If the difference between the latest contract price as of 11:00am in auction session of the central contract month of Nikkei 225 Futures and the settlement price of the relevant contract month on the previous trading day exceeds Price Scan Range Base Level for Nikkei 225 group.

    * Intraday Call of Initial Margin will be applied if the requirement calculated based on the unsettled contracts of cash equities, etc. as of the close of morning session on the relevant day exceeds the latest Initial Margin requirement by JPY 30 million or more.