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MarginOutline of OTC JGB Margin

Outline of OTC JGB Margin

Initial Margin

An amount to cover losses expected to arise as a result of variation of settlement prices until completion of settlement of positions of defaulting participant upon occurrence of default of Clearing Participant (to be calculated using parameter calculated based on the Reference Statistical Price published by Japan Securities Dealers Association with respect to positions of each OTC JGB Clearing Participant).

Variation Margin

JSCC performs mark-to-market (MTM) revaluations on a daily basis and requests an amount equal to the variance as variation margin from the clearing participant.

Present value of the position prior to Collateral Allocation for Subsequent Collateral Allocation Repo Transaction is Starting Delivery Amount.

Variation Margin

How is Margin Settled?

Deposit and Return of Initial Margin

If the balance of a clearing participant's initial margin is less than the required amount of initial margin, the clearing participant must additionally deposit an amount equal to or greater than such shortage with JSCC.
The required amount of Initial Margin is calculated three times a day (7:00・11:00・14:00) and for each calculation, cutoff time for deposit is specified (10:00・14:00・17:00).

Clearing participants may deposit initial margin in the form of JGB certificates under certain authorized conditions.
If a clearing participant's balance of initial margin exceeds its updated required amount, the participant may request a refund of up to the excess amount from JSCC.
The deposit or return of initial margin between a clearing participant and JSCC is made by transfer between the clearing participant's and JSCC's accounts at the Bank of Japan.

Settlement of Variation Margin

Settlements of variation margin between a clearing participant and JSCC are made by transfer between the participant's and JSCC's checking accounts at the Bank of Japan.