Equities and BondsMargin
Initial Margin for Cash Products
- In order to cover exposures for cash products, JSCC calculates the daily initial margin based on the following:
- Mark-to-market value of each unsettled contract evaluated using the latest price
- Expected loss based on the unsettled market capitalization and price fluctuation of each issue (1-day holding period, 250 day reference period, 99% confidence level)
- The additional Initial Margin will be charged when an expected loss upon a default of the relevant Securities Clearing Participant under stressed conditions cannot be covered by pre-funded financial resources.
（※）The total required Initial Margin for Cash Products amount contributed by all Clearing Participants was JPY45.7B (as of 30, December, 2016)