What's Margin
- Margin refers to collateral that is deposited with a clearing institution for covering the losses which may arise from Futures and Options Transactions. JSCC conducts clearing operations for Futures and Options listed at the Tokyo Stock Exchange and undertakes overall procedures for these transactions from the Margin calculation to the management of the deposit as Margin.
- The minimum Margin requirement shall be the amount of SPAN Risk, which is calculated by JSCC via SPAN®, subtracting/adding the total net option value.
- Since JSCC clears Futures and Options transactions that are executed at the Tokyo Stock Exchange and it is stipulated that Margin shall be deposited with the entity that provides the clearing function, Margin for TSE’s Futures and Options transactions such as TOPIX Futures and JGB Futures are managed by JSCC.
※ With regards to Futures and Options traded at other Exchanges such as Osaka Securities Exchange, Margin is deposited with respective Exchange.
＜Please see here for Customer Margin＞
＜Please see here for Clearing Margin ＞
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Outline of Margin & Settlement Regulations |  |
＜Please see here for Intra-Day Margin Call＞
＜Please see here for position recognition period for margin calculation＞
Customer Margin
- A customer trading Futures and Options is required to open an account for Futures and Options Transactions with a securities company and deposit Margin by the next day after the trading is executed. The Margin deposited with the securities company is then deposited with JSCC as Clearing Margin via a Clearing Participant such as securities company, etc.
※ Please note that securities companies may require clients to deposit a certain amount of Margin in advance of trade execution and most of securities companies do so.
- Clearing Participants are permitted to replace the Margin deposited by their customer with their own money or securities upon depositing Clearing Margin with JSCC (Substitution of deposit). In such a case, the Margin originally deposited by customer is treated as Customer Margin.
※ The required amount of Margin for customers is individually set by each securities company at a level exceeding the Margin requirement calculated by JSCC via SPAN®. Please note that operational procedures for depositing Margin are also individually set by each securities company.
Clearing Margin Requirement
- The required amount of Clearing Margin for proprietary position shall be calculated by subtracting/adding the total net option value of its position from/on the amount of the portfolio risk of proprietary position on Futures and Options, which is calculated via SPAN®.
＜Clearing Margin for proprietary position＞
- Clearing Margin Requirement
The required amount of Clearing Margin for proprietary position shall be calculated by subtracting/adding the total net option value of its position from/on the amount of the portfolio risk of proprietary position on Futures and Options, which is calculated via SPAN®. - Securities in lieu of cash for Clearing Margin (Collateral Securities)
Securities may be deposited as Clearing Margin for proprietary position.
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Table of Types and Prices of Collateral Securities | |
In the case where the amount of Clearing Margin for proprietary position deposited with JSCC falls short of the required amount, additional Clearing Margin that is greater than the shortfall shall be deposited with JSCC by midday on the day after such shortfall occurred.
- Intra-Day Margin Call
＜Please see here for Intra-Day Margin Call＞
＜Clearing Margin for customer accounts＞
- The required amount of Clearing Margin for customers’position shall be the aggregate amount of each customer’s required amount of Clearing Margin for Futures and Options.
- Securities in lieu of cash for Clearing Margin (Collateral Securities)
Securities may be deposited as Clearing Margin for customers' position. The scope of Collateral Securities is the same as that of Clearing Margin for proprietary position. - Additional deposit of Clearing Margin
In the case where the amount of Clearing Margin for customers’ position deposited with JSCC falls short of the required amount, additional Clearing Margin that is greater than the shortfall shall be deposited with JSCC by midday on the day after such shortfall occurred. - ＜Please see here for the position recognition period for Margin calculation＞
Intra-Day Margin Call
＜Trigger to Intra-Day Margin Call＞
- When the market moves beyond predetermined range during the Morning Session, or when JSCC deems it necessary, required amount of Clearing Margin is re-calculated and if the deposited amount falls short of the re-calculated amount, additional deposit shall be deposited by 4 pm on the day.
※ 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 Intra-Day Margin Call＞
- When Intra-Day Margin is called, notification is posted on JSCC’s website and Target-JSCC site (exclusive site for Clearing Participants) immediately after the end of Morning Session.
＜Intra-Day Margin Requirement＞
- The required amount of Intra-Day Margin shall be calculated as follows:
Required amount of Intra-Day Margin
= The amount of the portfolio risk of Clearing Participant’s proprietary position on Futures and Options at the end of the Morning Session calculated via SPAN®
± The total net option value of its long position at the end of the Morning Session
± The amount equivalent to Mark-To-Market Margin of Futures position of proprietary, customer and non-clearing participants and the premium of Options trades. ※ The Intra-Day Margin call is imposed only on a Clearing participant. A customer and a non-clearing participant are not required to deposit Intra-Day Margin.
＜Depositing Collateral Securities＞
- Securities may be deposited as Intra-Day Margin. The scope of Collateral Securities is the same as that of the ordinary Clearing Margin.
Position recognition period for Margin calculation
- On the calculation of Margin Requirement via SPAN®, the position recognition period during which Margin shall be deposited is individually set for each instrument. Clearing Participants should note that it is necessary to cover the following position recognition period when calculating the Clearing Margin for customers’ positions.
| Instrument | Position recognition period | Remarks |
|---|---|---|
| 1. Index Futures and Index Options | Until the day before the SQ calculation day | ※ Intra-Day Margin can be called on or before SQ calculation day. |
| 2. Individual Options | Until the day before The Last Trading Day | ※ Intra-Day Margin can be called on or before The Last Trading Day. |
| 3. JGB Futures(excluding mini-JGB Futures) | Until the day before the Day of the Settlement by Physical Delivery and Payment | ※ Intra-Day Margin can be called before the Day of the Settlement by Physical Delivery and Payment. |
| 4. mini-JGB Futures | Until the day before the day the Final settlement price calculation day | ※ Intra-Day Margin can be called on or before the Final Settlement price calculation day. |
| 5. Options on JGB Futures | Until the day before The Last Trading Day | ※ Intra-Day Margin can be called on or before The Last Trading Day. |
