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MarginMargin on Futures and Options

Margin for Listed Derivatives

  • 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.

    ※ With regards to Futures and Options traded at other Exchanges, Margin is deposited with respective Exchange.
<Please see here for Customer Margin>
<Please see here for Clearing Margin>
  • The minimum Margin requirement shall be the amount of SPAN Risk, which is calculated by JSCC via SPAN®, developed by Chicago Mercantile Exchange (CME), subtracting/adding the total net option value.
<Please see here for SPAN®>
<Please see here for SPAN Risk Parameter Files>
<Please see here for getting SPAN® Data and Info>

(※)The total required Margin for Listed Derivatives amount contributed by all Clearing Participants was JPY1,380.8B (Financial Instruments and Exchange Act-related: JPY1,343.2B, Commodity Futures Act-related: JPY37.6B) (as of Sep. 30, 2021)

<Please see here for the position recognition period for Margin calculation>
<Please see here for Method of Determining Settlement Prices of Options and Futures>

Depositing Collateral Securities and Warehouse Receipts

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

Margin

Margin Calculation Timing

  • JSCC calculates Margin requirement for each account based on positions reflected various reports/notifications processed by 19:00. If the deposited amount falls short of the Margin requirement, additional margin shall be deposited by 11:00am on the next business day.

    * JSCC re-calculates the Margin requirement in case corrective reports/notifications are processed from 19:00 to 06:10 on the next business day.

Margin Requirement

  • The required amount of Margin shall be calculated by subtracting/adding the total net option value of positions from/on the amount of the portfolio risk of house positions on Futures and Options (positions by client unit for client positions) as of 19:00, which is calculated via SPAN®, and adding Delivery Clearing Margin.

Intraday Margin

Intraday Margin Calculation Timing

  • At 11:00 am (for 10-year JGB Futures, at the closing of morning session), JSCC calculates required amount of Intraday Margin and if the deposited amount falls short of the calculated amount(*), additional margin shall be deposited as Margin for Clearing Participant's House Position by 14:00 on the day.

    * Intraday Margin will be applied if the Intraday Margin requirement exceeds the latest Initial Margin requirement of Clearing Participant's House Position by JPY 10 million or more.

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 house position on Futures and Options at 11:00am (for all products other than JGB Futures and Options on JGB Futures) or at 11:02am (for JGB Futures and Options on JGB Futures) calculated via SPAN® ± The total net option value of its house position at 11:00am (11:02am) ± 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.

Emergency Margin

Trigger to Emergency Margin

  • When the market moves beyond predetermined range at 13:00 or when JSCC deems it necessary, Emergency Margin is triggered. JSCC calculates required amount of Emergency Margin and if the deposited amount falls short of the calculated amount(*), additional margin shall be deposited by 16:00 on the day.

    * Emergency Margin will be applied if the Emergency Margin requirement exceeds the latest Initial Margin requirement of Clearing Participant's House Position by JPY 10 million or more.

    ※ 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

  • When Emergency Margin is triggered, 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 house position on Futures and Options at 13:00 calculated via SPAN® ± The total net option value of its house 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.

Emergency Margin for Specified Party

Trigger to Emergency Margin for Specified Party

  • JSCC calculates Margin equivalent (house), VM equivalent (house), risk amount (by client's account) and risk amount exceeding collateral (by client's account) with high frequency, 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 9:00am to 13:00, may apply the Emergency Margin for Specified Party.

    a. The ratio obtained by dividing the risk amount (by client's account) for any of the accounts of the Clearing Participant (other than house) by the amount deposited with JSCC as Margin related to the relevant account(*1)(*2) exceeds the value prescribed by JSCC (Trigger Threshold: 110%); or

    *1: When the amount calculated just before the trigger judgment as the amount expected to be deposited as Margin related to the relevant account is large, the amount so calculated. The same applies to b.
    *2: When the amount deposited as Margin for the relevant account (or when *27 applies, the amount expected to be deposited) is less than 30 billion yen, it shall be 30 billion yen.

    b. When the sum total of Margin equivalent (house), VM equivalent (house) and risk amount exceeding collateral (by client's account) in respect of the Clearing Participant exceeds the amount deposited with JSCC as Margin for the Clearing Participant's house(*3) 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: set by JSCC taking into account the status of net worth and deposited Margin for each Clearing Participant with a floor of 100%)

    *3: When the amount deposited as Margin for the relevant account (or when *1 applies, the amount expected to be deposited) is less than 10 million yen, it shall be 10 million yen.

Notification of Emergency Margin for Specified Party

  • When Emergency Margin for Specified Party is applied, JSCC shall send an email notification to the relevant Clearing Participant.

Requirement of Emergency Margin for Specified Party

  • The requirement of Emergency Margin for Specified Party shall be the minimum amount that no longer meets the Trigger Threshold. The calculation method of Margin equivalent (house), VM equivalent (house), risk amount (by client's account) and risk amount exceeding collateral (by client's account) to be calculated with high frequency shall be the same as the method used at the time of calculation of Intraday Margin and Emergency Margin.