MarginMargin on Futures and Options

• JSCC conducts clearing operations for Futures and Options listed at the Osaka Exchange, Tokyo Commodity Exchange and Osaka Dojima Exchange, and undertakes overall procedures for these transactions from the Margin calculation to the management of the deposit as Margin.


• The total amount of the required Margin for Listed Derivatives contributed by all Clearing Participants was JPY 2,475.8 bil. (Financial Instruments and Exchange Act-related: JPY 2,450.0 bil., Commodity Futures Act-related: JPY 25.7 bil.) (as of Mar. 29, 2024).

• A customer trading Futures and Options is required to open an account for Futures and Options Transactions with a securities company and deposit margin by the next day following the trade execution. A margin deposited with the securities company is then deposited with JSCC as the Margin via a securities company, etc. that is a Clearing Participant.
  
  - Please note that securities companies may require clients to deposit a certain amount of margin in advance of trade execution and most of securities companies do so.


• Clearing Participants are permitted to substitute margin deposited by their customer with their own money or securities upon depositing the Margin with JSCC (Substitution of deposit). In such a case, a margin originally deposited by a customer is treated as Customer Margin.
  
  - The required amount of margin for customers is individually set by each securities company to the extent of at least equal to the minimum margin requirement (including the Add-on Charge, if applicable) calculated by VaR Method. Please note that operational procedures for depositing margin are also individually set by each securities company.
  
  - Margin Add-on is a framework set forth in the Rules on Margins, etc. for Futures and Option Contracts, under which the additional Margin is called from a customer when the position held by the customer is extremely large in light of liquidity or position concentration.

The Margin, which a Clearing Participant deposits with JSCC, consists of the Margin for Proprietary Position and the Margin for Customer Position.

• Margin Requirement
  The amount obtained through VaR Method (plus Delivery Clearing Margin, if any).


• Margin Requirement Add-on
  When a Clearing Participant’s proprietary position is extremely large in light of liquidity or position concentration, JSCC will charge the Margin requirement add-on for the Clearing Participant’s proprietary trades.


• Preliminary Margin Add-on related to Holiday Trading
  For a Clearing Participant submitted the notification of its intention to participate in the holiday trading, as a general rule, the sum total, for all accounts of the Clearing Participant, of the predetermined percentage of Expected Loss Amount calculated by VaR Method obtained for the position of each account shall be added to the required amount of Margin for the house account as a pre-add-on amount. However, a Clearing Participant may have its customer deposit the portion of its pre-add-on amount attributable to that customer if the Clearing Participant and the customer have agreed to do so and the Clearing Participant has obtained JSCC's approval through the prescribed application process.


• Deposit of Margin in Foreign Currency
  Foreign currency cash may be deposited as the Margin for proprietary trades.


• Securities and Warehouse Receipts in lieu of cash for Margin (Collateral Securities and Warehouse Receipts)
  Securities and Warehouse Receipts may be deposited as the Margin for Proprietary Position.


• Additional deposit of Margin
  In the case where the amount of the Margin for Proprietary Position deposited with JSCC falls short of the required amount, the additional Margin that is greater than the shortfall shall be deposited with JSCC by 11:00 am on the next day following such shortfall occurred.


• Intraday Margin Call
  At 11:00 am (for JGB Futures, Option on JGB Futures, and Interest Rate Futures, at the close of morning session), the required amount of the Margin is re-calculated and if the deposited amount falls short of the re-calculated amount, the additional Margin shall be deposited by 2:00 pm on the day.


• Emergency Margin Call
  For the central contract month for either of Futures listed below, if the difference between the latest contract price as of 1:00 pm and the intraday settlement price on the same trading day exceeds the Emergency Margin Activation Base Value (i.e. the value obtained by dividing the average of Margin per 1 unit of short and long position for the contract month by trade unit multiplier), the required amount of the Margin is re-calculated and if the deposited amount falls short of the re-calculated amount, the additional Margin shall be deposited by 4:00 pm on the day.
  
  * TOPIX Futures, Nikkei 225 Futures, 10-year JGB Futures, Gold Futures, Platts Dubai Crude Oil Futures
  


• Emergency Margin for Specified Party
  JSCC calculates the Margin equivalent (house)*1, VM equivalent (house)*2, risk amount (by client's account) and risk amount exceeding collateral (by client's account) with high frequency by each Clearing Participant, and if the calculation result falls under either of the cases specified in a. and b. below as of the close of the Night Session or during the period from 9:00 am to 1:00 pm, may apply the Emergency Margin for Specified Party.
  
  a. The risk amount at calculation timing (by client's account) for any of the accounts of the Clearing Participant (other than house account) exceeds the amount deposited with JSCC as the Margin related to the relevant account*3*4 by more than 30 billion yen and the ratio obtained by dividing the above-mentioned risk amount by the above-mentioned deposited amount exceeds the value prescribed by JSCC (Trigger Threshold: 110%); or
  
  b. When the sum total of the Margin equivalent (house), VM equivalent (house) and risk amount exceeding collateral (by client's account) at calculation timing in respect of the Clearing Participant exceeds the amount deposited with JSCC as the Margin for the Clearing Participant's house*5 by 10 million yen and the ratio obtained by dividing the above-mentioned sum total by the above-mentioned deposited amount exceeds the value prescribed by JSCC (Trigger Threshold: for each Clearing Participant, the value obtained by dividing its net worth by deposited Margin and multiplying by 50%, with a floor of 100%).
  
  *1 Sum total of Margin requirement obtained by using VaR Method and Margin requirement add-ons, based on the house account position at the time of calculation.
  *2 Amount equivalent to VM obtained by mark-to-market at the latest market price and the amount equivalent to the Option Premium, based on the house account position at the time of calculation.
  *3 When the amount calculated just before the trigger judgment as the amount expected to be deposited as the Margin related to the relevant account is greater, the amount so calculated.
  *4 When the amount deposited as the Margin for the relevant account*3 is less than 30 billion yen, it shall be 30 billion yen.
  *5 When the amount deposited as the Margin for the relevant account*3 is less than 10 million yen, it shall be 10 million yen.
  

The required amount of the Margin for customers’ position shall be the aggregate amount of each customer’s required amount of the Margin for Futures and Options.

• Margin Requirement
  The amount obtained through VaR Method (plus Delivery Clearing Margin, if any).


• Margin Requirement Add-on
  When each customer’s position is extremely large in light of liquidity or position concentration, JSCC will charge the Margin requirement add-on for the customer's trades. For deposit of such add-on, please ask your securities company.


• Deposit of Margin in Foreign Currency
  Foreign currency cash may be deposited as the Margin for customer trades.


• Securities and Warehouse Receipts in lieu of cash for Margin (Collateral Securities and Warehouse Receipts)
  Securities and warehouse receipts may be deposited as the Margin for customers' position.


• Additional deposit of Margin
  In the case where the amount of the Margin for customers’ position deposited with JSCC falls short of the required amount, the additional Margin that is greater than the shortfall shall be deposited with JSCC by 11:00 am on the next day following such shortfall occurred.

Securities and warehouse receipts may be deposited as the Margin, including Intraday Margin, Emergency Margin and Emergency Margin for Specified Party.

On the calculation of Margin Requirement, the position recognition period during which Margin shall be deposited is individually set for each instrument. Clearing Participants should note that, when submitting Position Report, Position Report needs to cover the position for the relevant issue up to the time specified below.