Collateral / Settlement / Custody / InvestmentCollateral
Collateral
(As of February 16, 2024)
Eligible Collateral
- JSCC has a basic policy of only accepting collateral with low risk in relation to credit, liquidity, and market. The scope of eligible collateral for each Clearing Business is defined based on this basic policy.
- JSCC accepts the following collateral from its Clearing Participants for Margin and Clearing Fund deposits.
|
Eligible Collateral |
Cash Products |
Listed Derivatives |
CDS |
IRS |
OTC JGB |
|---|---|---|---|---|---|
|
Cash (JPY) |
✓ |
✓ |
✓ |
✓ |
✓ |
|
Cash (USD) |
✓ |
✓ |
– |
– |
– |
|
Japanese Government Bonds(*1) |
✓ |
✓ |
✓ |
✓ |
✓ |
|
Bonds guaranteed by the (Yen denominated bonds |
✓ |
✓ |
– |
– |
– |
|
Foreign Government Bonds (U.S. Treasury |
✓ |
✓ |
✓ |
✓ |
– |
|
Foreign Government Bonds (UK, Germany, France) |
✓ |
✓ |
– |
– |
– |
|
Stocks (*3) |
✓ |
✓ |
– |
– |
– |
|
Municipal Bonds (*2) |
✓ |
✓ |
– |
– |
– |
|
Special Bonds (excluding |
✓ |
✓ |
– |
– |
– |
|
Corporate Bonds (excluding |
✓ |
✓ |
– |
– |
– |
|
Yen-denominated bonds issued |
✓ |
✓ |
– |
– |
– |
|
Beneficiary securities of public |
– |
✓ (*6) |
– |
– |
– |
|
Convertible Bonds (*5) |
– |
✓ (*6) |
– |
– |
– |
|
Exchangeable Corporate Bonds |
– |
✓ (*6) |
– |
– |
– |
|
Beneficiary securities of investment trusts (excluding beneficiary securities of public and corporate bond investment trusts) listed on a financial instruments exchange |
✓ |
✓ |
– |
– |
– |
|
Beneficiary securities of investment trusts (excluding beneficiary securities of public and corporate bond investment trusts) not listed on a financial instruments exchange |
– |
✓ (*6) |
– |
– |
– |
|
Investment securities |
✓ |
✓ |
– |
– |
– |
| Warehouse Receipts (those certifying the storage of goods deliverable for the JSCC's settlement by delivery) | – | ✓(*7) | – | – | – |
*1 Including Climate Transition Interest-bearing Government Bonds. Inflation-Indexed JGBs are eligible collateral for Cash Products and Listed Derivatives Clearing Business, as well as the OTC JGB Clearing Business.
*2 Limited to those with respect to which an underwriting contract is executed by a Financial Instruments Business Operator in connection with their issuance.
*3 Including stocks, preferred equity securities, foreign stock depository receipt, beneficiary securities of foreign investment trusts, foreign investment securities, beneficiary securities of beneficiary securities issuing trusts and beneficiary securities of foreign beneficiary securities issuing trusts, and limited to those listed on a financial instrument exchange in Japan.
*4 Limited to those deemed appropriate by JSCC taking the issuing company’s creditworthiness and other circumstances into account (e.g. all ratings obtained from Eligible Rating Agencies are “A” or above, etc.)
*5 Limited to those listed on a financial instruments exchange in Japan.
*6 Limited to Initial Margin for customers (excluding Affiliates) of a Clearing Participant.
*7 Limited to Initial Margin for customers (excluding Affiliates) of a Clearing Participant. However, for the Initial Margin for OSE Listed Derivatives, warehouse receipts related to Precious Metals may be deposited as Clearing Participant's Proprietary Initial Margin and Affiliate's Initial Margin.
Collateral Valuation
- JSCC values collateral deposited by Clearing Participants, on a daily basis, using market prices and haircut ratios specified in the rules. JSCC maintains the right to change a valuation price at its discretion in cases such as considerable market fluctuations, as set forth in its rules.
Collateral Haircuts
- For bonds, conservative haircuts are adopted to cover, at a confidence level of at least 99%, the historical 4-day price movement over past 10 years, adjusted to represent price movement at the time of stress. In addition, for Cash (USD) and Foreign Government Bonds, JSCC takes into account foreign exchange risk.
- For equities, collateral is valued at 70% in accordance with the application of the haircut. The suitability of this haircut is verified to see if it can cover the historical 4-day price movement over past 10 years at a confidence level of at least 99%.
- JSCC is also able to change haircuts applicable to securities deposited in lieu of cash and warehouse receipts on an ad-hoc basis. Haircuts are validated at least quarterly and revisions are made if required.
Concentration Limits
- JSCC imposes limits to prevent undue concentration from certain collateral assets in order to protect against adverse price movements affecting its collateral holdings. Equity collateral for Cash Products and Listed Derivatives Clearing is capped at a following level of the issued and outstanding shares of the issuer, for each Clearing Participant, 2% for Clearing Fund, 2% for Initial Margin on the Proprietary and Affiliate accounts for Listed Derivatives Clearing and 5% of non-Affiliate customer for Listed Derivatives Clearing. For clearing fund, Initial Margin for Cash Products and the Initial Margin on the Proprietary and Affiliate accounts for Listed Derivatives, JSCC prevents no more than 20 % of total required amount of such collateral from being covered by certain substitute securities other than government bond.
