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MarginIntraday Margin

Intraday Margin Call

Intraday Margin Calculation Timing

  • At 11:00 am (for 10-year JGB Futures, at the closing of morning session), 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 2:00 pm on the day.

Intraday Margin Requirement

  • The required amount of Intraday Margin shall be calculated as follows:
  • Required amount of Intraday Margin= The amount of the portfolio risk of Clearing Participant’s proprietary position on Futures and Options at 11:00 am (for all products other than JGB Futures and Options on JGB Futures) or at 11:02 am(for JGB Futures and Options on JGB Futures) calculated via SPAN® ± The total net option value of its proprietary position at 11:00 am (11:02 am)± 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 Intraday Margin call is imposed only on a Clearing participant. A customer and a non-clearing participant are not required to deposit Intra-Day Margin.

Depositing Collateral Securities and Warehouse Receipts

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