Collateral/Settlement/Custody/InvestmentCollateral

Collateral

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 Initial Margin and Clearing Fund deposits.

Eligible Collatera

Cash Products

Listed Derivatives

CDS

IRS

OTC JGB

Cash (JPY)

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)

U.S. Treasury Bonds/Notes/Bills

Only for Margin

Stocks etc. (*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

Convertible Bonds (*2)

Exchangeable Corporate Bonds (*2)

 Beneficiary securities of investment trusts (excluding beneficiary securities of public and corporate bond investment trusts)

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 Stocks etc. means ‘Preferred equity capital contribution securities’, ‘Depositary receipts for foreign stocks’, ‘Beneficiary securities of foreign investment trusts’, ‘Foreign investment securities’, ‘Beneficiary securities of beneficiary securities issuing trust’ and ‘Beneficiary securities of foreign beneficiary securities issuing trust’, and is limited to those listed on a Japanese financial instruments exchange.

*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.)

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 by ensuring that the haircuts cover the largest historical 4-day price movement over the previous year. 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 based a certain ratio of the largest historical 4-day price movements over both the previous year and previous 6 months.
  • JSCC is also able to apply ad hoc haircuts to collateral other than JPY. Haircuts are validated at least quarterly and revisions are made if required.