MarginMargin Add-on Rules

JSCC has the following margin add-on rules for listed derivatives.

This margin add-on rule aims at covering losses for which Base IM (VaR margin) may be insufficient upon default of Clearing Members/Clients holding large positions vis-à-vis market size under normal market conditions.
When a Clearing Member’s proprietary position or its client’s position is extremely large in light of liquidity or position concentration, JSCC will charge margin add-on to the Clearing Member’s proprietary account or the client’s account.
Specifically, the commodities subject to this margin add-on (※1) are classified into JGB Futures Commodity Group, Index Futures Commodity Group, Gold Futures Commodity Group, Platinum Futures Commodity Group, and Energy Futures Commodity Group. The Liquidity Threshold for Judgment and Concentration Threshold for Judgment (※2) are calculated as of the last business day of the previous month as the Calculation Base Date. If the daily position balance (risk amount) held by a Clearing Member’s proprietary account or its client’s account exceeds these thresholds, this margin add-on will be imposed on the Clearing Member’s account or its client’s account.

(※1) (※2) For the commodities subject to this margin add-on and threshold adjustment multiplier used for calculating the threshold amounts, please refer to the following "Adjustment multipliers related to the margin add-on rules for listed derivatives."

This margin add-on rule aims at covering losses for which Base IM (VaR margin) and Add-on IM① (Liquidity and concentration charge) may be insufficient upon default of Clearing Members/Clients whose risk amount expected under stressed market condition (SLOIM) is large.
When SLOIM of a Clearing Member’s proprietary account or its client’s account is extremely large, JSCC will charge margin add-on to the Clearing Member’s proprietary account or the client’s account.
Specifically, for each product group related to JGB futures clearing qualification and index futures clearing qualification, if SLOIM obtained by deducting the required margin amount (※3) from the amount of loss (risk equivalent under stressed market conditions) that may arise under stressed market condition, calculated using the daily positions and prices of a Clearing Member’s proprietary account or its client’s account, exceeds the threshold(※4), this margin add-on will be imposed on the Clearing Member’s proprietary account or its client’s account.

（※3）The total amount of VaR margin and Add-on IM① (Liquidity and concentration charge).
（※4）The threshold obtained by multiplying the SLOIM of risk top 2 Clearing Members (expected defaulters) calculated using the positions and prices as of the end-of-day (EOD) on previous business day multiplied by adjustment multiplier (α%). For adjustment multiplier (α%), please refer to the following "Adjustment multipliers related to the margin add-on rules for listed derivatives”.

I. Adjustment multipliers related to Add-on IM① (Liquidity and concentration charge)

(*1)：Options on JGB Futures will be excluded from the scope of the risk amount and the threshold for judgment in the concentration criteria for the time being.
(*2)：As for Crude Oil Futures Commodity Group, capped at the value multiplying the highest trading volume of Platts Dubai Crude Oil Futures in each trading day in past 1 year by 40％ for the time being.
(*3)：As for Crude Oil Futures Commodity Group, capped at the value multiplying outstanding position of Platts Dubai Crude Oil Futures on the day of the highest trading volume of Platts Dubai Crude Oil Futures in each trading day in past 1year by 40％ for the time being.


II. Adjustment multipliers related to Add-on IM② (Stress Add-on IM)（※scheduled to go-live on May 26, 2025 (Mon.)）