<iframe src="//www.googletagmanager.com/ns.html?id=GTM-MS2WRF" height="0" width="0" style="display:none;visibility:hidden"></iframe>

Collateral / Settlement / Custody / InvestmentCollateral

Collateral

(As of February 13, 2018)

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

Bonds guaranteed by the
Japanese Government (*1)

(Yen denominated bonds
which are the bonds stipulated
in Article 2-11 of the
Enforcement Ordinance of the
Financial Instruments and
Exchange Act)

– 

– 

– 

Foreign Government Bonds (U.S. Treasury
Bonds/Notes/Bills)

Foreign Government Bonds (UK, Germany, France)

 –

 –

 –

Stocks (*2)

Municipal Bonds (*1)

Special Bonds (excluding
bonds guaranteed by the
Japanese Government) (*1, 3)

Corporate Bonds (excluding
bonds with stock acquisition
rights and Exchangeable
Corporate Bonds) (*1, 3)

Yen-denominated bonds issued
by foreign juridical persons
(SAMURAI bonds) (excluding
Yen-denominated bonds with
are the bonds stipulated in
Article 2-11 of the
Enforcement Ordinance of the
FIEA, Convertible Bonds, and
Exchangeable Corporate
Bonds) (*1, 3)

Beneficiary securities of public
and corporate bond
investment trusts

✓ (*5)

Convertible Bonds (*4)

✓ (*5)

Exchangeable Corporate Bonds
(*4)

✓ (*5)

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

✓ (*5)

Investment securities

*1 Limited to those with respect to which an underwriting contract is executed by a Financial Instruments Business Operator in connection with their issuance.

*2 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.

*3 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.)

*4 Limited to those listed on a financial instruments exchange in Japan.

*5 Limited to Initial Margin for customers (excluding Affiliates) of a Clearing Participant.

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 US Treasuries, 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 apply ad hoc haircuts to collateral other than Cash (JPY). 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 Bond collateral other than government bond.