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MarginEmergency Margin

Emergency Margin Call

Trigger to Emergency Margin Call

  • When the market moves beyond predetermined range at 1:00 pm (for 10-year JGB Futures, at the closing of morning session), or when JSCC deems it necessary, required amount of Clearing Margin is re-calculated and if the deposited amount falls short of the re-calculated amount, additional margin shall be deposited by 4:00 pm on the day.

※ The “predetermined range” refers to the base value of Price Scan Range for each Futures. For example, if Price Scan Range for the 10-year JGB Futures is ¥900,000, its base value is obtained by dividing the Price Scan Range by ¥1,000,000, which is the nominal price for one unit of the contract (¥900,000÷¥1,000,000=¥0.90).

Notification of Emergency Margin Call

  • When Emergency Margin is called, notification is posted on JSCC’s website and Target-JSCC site (exclusive site for Clearing Participants) immediately.

Emergency Margin Requirement

  • The required amount of Emergency Margin shall be calculated as follows:
  • Required amount of Emergency Margin= The amount of the portfolio risk of Clearing Participant’s proprietary position on Futures and Options at 1:00 pm calculated via SPAN®± The total net option value of its proprietary position ± The amount equivalent to Mark-To-Market Margin of Futures position and the premium of Options trades on proprietary book + risk amount exceeding collateral for each account other than Clearing Participant’s House account.

※ The Emergency Margin call is imposed only on a Clearing participant. A customer and a non-clearing participant are not required to deposit Emergency Margin.

Depositing Collateral Securities and Warehouse Receipts

  • Securities and warehouse receipts may be deposited as Emergency Margin. The scope of Collateral Securities and warehouse receipts is the same as that of the ordinary Clearing Margin.