Q&A for Public Quantitative Disclosure Webinar
This document is a compilation of Q&A regarding the Quantitative Disclosures summary presentation held by JSCC.

Index
Q&A regarding of the Quantitative Disclosures summary presentation as of 2023 Q4 ................................................................................................................. 2

Q&A regarding of the Quantitative Disclosures summary presentation as of 2023 Q3 ................................................................................................................. 3

Q&A regarding of the Quantitative Disclosures summary presentation as of 2023 Q2 ................................................................................................................. 4

Q&A regarding of the Quantitative Disclosures summary presentation as of 2023 Q1 ................................................................................................................. 5

Q&A regarding of the Quantitative Disclosures summary presentation as of 2022 Q4 ................................................................................................................. 8

Q&A regarding of the Quantitative Disclosures summary presentation as of 2022 Q3 ............................................................................................................... 10

Q&A regarding of the Quantitative Disclosures summary presentation as of 2022 Q2 ............................................................................................................... 12

Q&A regarding of the Quantitative Disclosures summary presentation as of 2022 Q1 ............................................................................................................... 14

DISCLAIMER: This document is prepared for the referential purpose only. Japan Securities Clearing Corporation (JSCC) shall accept no responsibility or liability for damage or loss caused by any error, inaccuracy,or misunderstanding with regard to this translation. This document may not be reproduced or redistributed in whole or in part without the permission of JSCC. JSCC reserves the right to, without notice, revise
or alter the contents of this document, or withdraw or halt its publication. Answers from JSCC on each question in this document are based on the rulebook and/or risk management of JSCC at the time of therelevant quarter on the webinar, and so may not be relevant in the future as a result of changes of JSCC rulebook, its risk management and any regulatory or legal changes affecting JSCC.

P. 1

2023 Q4 – Webinar Date: March 18, 2024
Summary ： https://www.jpx.co.jp/jscc/en/company/cimhll0000000ouc-att/summary_e_2023Q4.pdf
Webinar： https://youtu.be/OWh4cFlG7TU#

Subject

1

Contribution

Relatedpages
10by JSCC(SIG)
2

Topic of this 7
Quarter “VaR
Method”

3

Initial Margin

17-19

Questions

Answers

Will you be revisiting the static amounts of CCP skin in the JSCC reviews the adequacy of Skin in the game annually, and we
game?
plan to increase the loss compensation funding for OTC-JGB by
May this year. Other products will continue to be reviewed.
The move to Var is good news. How do you determine HS VaR is used for calculating margin for financial derivatives, suchmargin calls, is it the higher of HS VaR or AS VaR?
as Nikkei 225 futures and JGB futures.
AS VaR is only used for calculating margin for commodity
derivatives, such as gold futures and oil futures, excluding
electricity futures.
So HS Var and AS VaR are not used to calculate margin for thesame products. The reason for this approach is due to requests
from clearing members and/or the character of each product.
However the total risk amount of the products covered by AS VaR
is minimal, so we are comfortable using this alternative approachfor these products.
What is the expected impact of a potential removal of We have estimated the impact of the removal of negative interest
negative interest rates on JSCC? Will it lead to an increase in rate policy. If the market fluctuations that occurred in December
margins?
2022 were to re-occur this week, the level of margin would
increase, but the impact of the volatility could be different fromthat in 2022, so it is not possible to predict in advance how muchmargin may increase.

DISCLAIMER: This document is prepared for the referential purpose only. Japan Securities Clearing Corporation (JSCC) shall accept no responsibility or liability for damage or loss caused by any error, inaccuracy,or misunderstanding with regard to this translation. This document may not be reproduced or redistributed in whole or in part without the permission of JSCC. JSCC reserves the right to, without notice, revise
or alter the contents of this document, or withdraw or halt its publication. Answers from JSCC on each question in this document are based on the rulebook and/or risk management of JSCC at the time of therelevant quarter on the webinar, and so may not be relevant in the future as a result of changes of JSCC rulebook, its risk management and any regulatory or legal changes affecting JSCC.

P. 2

2023 Q3 – Webinar Date: December 14, 2023
Summary ： https://www.jpx.co.jp/jscc/en/company/cimhll0000000ouc-att/summary_e_2023Q3.pdf
Webinar： https://youtu.be/SnStRexBg_g#
1

Relatedpages
Topic of this 7
Subject

Quarter“GlobalFire

Drill”

Questions

Answers

Will the Global Fire Drill be conducted on an annual basis The frequency of the next and subsequent editions of the Global
from next year onwards?
Fire Drill is currently under discussion with CCP Global and otherrelevant parties and has not yet been finalized. JSCC has been
conducting Fire Drills individually, on an annual basis, and willcontinue to do so in the future.

2

Stress Testing16

Did you see any impact on the cover ratio of ETD after JSCC VaR was only implemented in November, and we hope to be able
introduced VaR as the margin calculation methodology in to report back at the next briefing for the Q4 2023 quantitative
November?
disclosures, which will be for end of December 2023 data. Thisdata will be published in March 2024. Having said this, we are
expecting to see an improvement in the cover ratio.

3

Stress Testing

15

Regarding the graph on top right-hand corner on slide 15, JSCC has not changed stress testing scenarios over this year. This
could JSCC please comment on the decrease in peak stress was due to the largest historical SLOIM values gradually falling out
exposures at JGB OTC from 357 (Q4 2023) to 165 (Q3 2023)? of the 12-month scope.
Has there been any change to stress testing scenarios over
the year?

DISCLAIMER: This document is prepared for the referential purpose only. Japan Securities Clearing Corporation (JSCC) shall accept no responsibility or liability for damage or loss caused by any error, inaccuracy,or misunderstanding with regard to this translation. This document may not be reproduced or redistributed in whole or in part without the permission of JSCC. JSCC reserves the right to, without notice, revise
or alter the contents of this document, or withdraw or halt its publication. Answers from JSCC on each question in this document are based on the rulebook and/or risk management of JSCC at the time of therelevant quarter on the webinar, and so may not be relevant in the future as a result of changes of JSCC rulebook, its risk management and any regulatory or legal changes affecting JSCC.

P. 3

2023 Q2 – Webinar Date: September 25, 2023
Summary ：https://www.jpx.co.jp/jscc/en/company/cimhll0000000ouc-att/summary_e_2023Q2.pdf
Webinar： https://youtu.be/pp_ZM0ugIRc?si=D-voalNV91aexFXs#
1

Relatedpages
Topic of this 7
Subject

Quarter“Margin
Simulation for

Questions

Answers

This question is related to the special topic we presented thisquarter. You conducted this simulation twice this year
already. Do you have any plan to conduct similar simulations,either periodically or ahead of expected events going
forward?

We don't have any specific plan to do this, but we may conduct
similar forward-looking simulations around once per year, and/or
before anticipated market events that could cause large marginincreases.

Rate products
based on the
BOJ
Meeting

PolicyDec

2022”

DISCLAIMER: This document is prepared for the referential purpose only. Japan Securities Clearing Corporation (JSCC) shall accept no responsibility or liability for damage or loss caused by any error, inaccuracy,or misunderstanding with regard to this translation. This document may not be reproduced or redistributed in whole or in part without the permission of JSCC. JSCC reserves the right to, without notice, revise
or alter the contents of this document, or withdraw or halt its publication. Answers from JSCC on each question in this document are based on the rulebook and/or risk management of JSCC at the time of therelevant quarter on the webinar, and so may not be relevant in the future as a result of changes of JSCC rulebook, its risk management and any regulatory or legal changes affecting JSCC.

P. 4

2023 Q1 – Webinar Date: June 14, 2023
Summary ：https://www.jpx.co.jp/jscc/en/company/cimhll0000000ouc-att/summary_e_2023Q1.pdf
Webinar： https://www.youtube.com/watch?v=VmbaAIca8j0#
1

Relatedpages
Topic of this 7
Subject

Quarter“Margin

Questions

Answers

Regarding of the Margin Simulation, is this something thatclearing members can run via available JSCC tool? If not, canclearing member ask JSCC to run such simulation for theirportfolios?

It may depend on the environment of each clearing member, but
we do not provide margin simulator with hypothetical market
fluctuation such as global financial crisis reoccurrence to clearing
members, and we only run the margin simulation of unit position
instead of portfolios at this time.

Could you please advise if the remaining commodities
products will be subject to Cover 2 requirements?

There are currently no concrete plans to switch the Cover 1 and 5
financially weakest firms for Commodities products to Cover 2, but
JSCC continues to analyze the associated risks.

Could you please elaborate on the IRS Margin Breaches andpotential Margin Model reviews that such breaches could
lead to?

As explained in this webinar, the cover ratio for IRS fell below
99.5% mainly due to breaches this March.
JSCC uses data from historical periods of significant interest rate
volatility as stress scenarios in addition to the data from the fiveyear lookback period.
In response to the breaches for IRS, JSCC held a meeting with

Simulation
Upon

StressPeriodRecurrence”
2

Stress Testing

14

PQD
References:
4.4.3, 4.4.7
3

Initial Margin 19
Back Testing
PQD
6.5.3

6.5.1.1,

clearing members on June 13th and has proposed workaroundmeasures, as well as full-scale measures.

DISCLAIMER: This document is prepared for the referential purpose only. Japan Securities Clearing Corporation (JSCC) shall accept no responsibility or liability for damage or loss caused by any error, inaccuracy,or misunderstanding with regard to this translation. This document may not be reproduced or redistributed in whole or in part without the permission of JSCC. JSCC reserves the right to, without notice, revise
or alter the contents of this document, or withdraw or halt its publication. Answers from JSCC on each question in this document are based on the rulebook and/or risk management of JSCC at the time of therelevant quarter on the webinar, and so may not be relevant in the future as a result of changes of JSCC rulebook, its risk management and any regulatory or legal changes affecting JSCC.

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Subject

Relatedpages

Questions

Answers
The workaround measures include a change of the blending
number of stress scenarios from two to four. We circulated thenotice of this proposed change on our web portal both inJapanese and in English. This change is expected to raise the totalrequired base IM by about 3% and will go live from July 10th.
On the other hand, the proposed full-scale measures will be moreanti-procyclical and will require enhancements to our IM
calculation system. Therefore, we are planning to go live withthese in the first half of next year, following further discussions
with our clearing members.

4

Initial Margin 19
Back Testing

Could you share measures again to address breaches at JGB
F&O segment?

In response to the breaches for JGB F&O, JSCC revised the SPAN
parameter setting method for JGB futures, following discussions
with clearing members. On June 6th, JSCC held a meeting with

PQD
6.5.3

6.5.1.1,

clearing members, and circulated the notice on our web portal
both in Japanese and in English. We also published the same
information on our website.
https://www.jpx.co.jp/jscc/en/information/news/2023060601.html
We changed the start of the relevant stress scenario observation
period, from 2007 to "the initial listing date of the respective
futures contract". In the case of the 10-year JGB group, this stressscenario observation period now starts in 1985. As this older data
includes periods of higher volatility, the PSR was raised by about

DISCLAIMER: This document is prepared for the referential purpose only. Japan Securities Clearing Corporation (JSCC) shall accept no responsibility or liability for damage or loss caused by any error, inaccuracy,or misunderstanding with regard to this translation. This document may not be reproduced or redistributed in whole or in part without the permission of JSCC. JSCC reserves the right to, without notice, revise
or alter the contents of this document, or withdraw or halt its publication. Answers from JSCC on each question in this document are based on the rulebook and/or risk management of JSCC at the time of therelevant quarter on the webinar, and so may not be relevant in the future as a result of changes of JSCC rulebook, its risk management and any regulatory or legal changes affecting JSCC.

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Subject

Relatedpages

Questions

Answers
10%. The span margin level per notional was 1.68% last week andis 1.8% this week.

5

Initial Margin 19
Back Testing

Would these breaches and event on IRS will be also
reviewed as part of the new VaR Model?

The new VaR model, which is schedule to go live from thisNovember, only covers listed futures and options. Therefore,
breaches in the IRS Clearing Service are not relevant to the new

PQD

6.5.1.1,

Listed Derivatives VaR model. However, please note that the IRS

6.5.3

Clearing Service already utilizes a VaR-based margin model, which
JSCC is currently reviewing for possible revisions.

6

Initial Margin 19
Back Testing

Are there any measures planned for OTC JGB segment
considering almost doubled breaches quarter on quarter.

As the OTC-JGB Clearing Service currently meets the target backtesting confidence level, JSCC is not considering any changes tothe margin model at this time.

PQD

6.5.1.1,

6.5.3

DISCLAIMER: This document is prepared for the referential purpose only. Japan Securities Clearing Corporation (JSCC) shall accept no responsibility or liability for damage or loss caused by any error, inaccuracy,or misunderstanding with regard to this translation. This document may not be reproduced or redistributed in whole or in part without the permission of JSCC. JSCC reserves the right to, without notice, revise
or alter the contents of this document, or withdraw or halt its publication. Answers from JSCC on each question in this document are based on the rulebook and/or risk management of JSCC at the time of therelevant quarter on the webinar, and so may not be relevant in the future as a result of changes of JSCC rulebook, its risk management and any regulatory or legal changes affecting JSCC.

P. 7

2022 Q4 – Webinar Date: March 15, 2023
Summary：https://www.jpx.co.jp/jscc/en/company/cimhll0000000ouc-att/summary_e_2022Q4.pdf
Webinar： https://www.youtube.com/watch?v=KFM8LVEhyrk#
1

RelatedQuestionspages
Does JSCC include stress scenarios, such as the removal of20
the BOJ's Yield Curve Control policy, in its margin models?

Subject

JSCC does not use purely hypothetical scenarios in its marginmodels, that are not relevant to any historical stress event. It canbe challenging to develop purely hypothetical scenarios that
For the OTC JGB clearing service, considering high VM calls would be agreeable to all clearing members and clients. However,following the BOJ action last December, and anticipation if you have any thoughts on this, we would appreciate yourthat Yield Curve Control might be removed/widened, would feedback.
JSCC consider this scenario for margining?

Variation
Margin Calls
PQD
References:
6.7.1

2

Variation

20

Margin Calls(Additional Q&A after the call)
During the call, it was noted about intra-day emergency

Intra-day emergency margin call was triggered and parameter

margin call and parameter changes. Could you pleasechanges on March 14th OTC-JGB. This was due to significant

PQD

confirm if this related to OTC-JGB and give us more color on

References:parameter changes?

fluctuations in the JGB futures market.
The new parameters, which are normally updated on a weekly
basis, have been in effect since March 15th.

This question is related to the special topic we presented
this quarter. Do you have any plan to conduct similar
simulations, either periodically or ahead of expected
events?

These new parameters were posted on JSCC's dedicated "JSCCTarget" website, which can be accessed by Clearing Participants.
For example, in the Interest-bearing JGB D category (Remaining
maturity 7-10 years), 1.0% has increased to 1.16%.
We don't have any specific plan to do this, but we may conduct
similar forward-looking simulations around once per year, and/or
before anticipated market events that could cause large marginincreases.

6.7.1

4

AnswersTopicofthis 28-29

Quarter“Simulations ofpotential future

DISCLAIMER: This document is prepared for the referential purpose only. Japan Securities Clearing Corporation (JSCC) shall accept no responsibility or liability for damage or loss caused by any error, inaccuracy,or misunderstanding with regard to this translation. This document may not be reproduced or redistributed in whole or in part without the permission of JSCC. JSCC reserves the right to, without notice, revise
or alter the contents of this document, or withdraw or halt its publication. Answers from JSCC on each question in this document are based on the rulebook and/or risk management of JSCC at the time of therelevant quarter on the webinar, and so may not be relevant in the future as a result of changes of JSCC rulebook, its risk management and any regulatory or legal changes affecting JSCC.

P. 8

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Relatedpages

Subject
margin

Questions

Answersandparameterchanges”

DISCLAIMER: This document is prepared for the referential purpose only. Japan Securities Clearing Corporation (JSCC) shall accept no responsibility or liability for damage or loss caused by any error, inaccuracy,or misunderstanding with regard to this translation. This document may not be reproduced or redistributed in whole or in part without the permission of JSCC. JSCC reserves the right to, without notice, revise
or alter the contents of this document, or withdraw or halt its publication. Answers from JSCC on each question in this document are based on the rulebook and/or risk management of JSCC at the time of therelevant quarter on the webinar, and so may not be relevant in the future as a result of changes of JSCC rulebook, its risk management and any regulatory or legal changes affecting JSCC.

P. 9

2022 Q3 – Webinar Date: December 14, 2022
Webinar：https://www.youtube.com/watch?v=SADChKd4IQ8#

Subject

1

Stress Testing

Related
pages
13

PQD
References:
4.4.8 - 4.4.9

2

Stress Testing

13

PQD
References:
4.4.8 - 4.4.9

3

Initial Margin
PQD
References:

14-16

Questions

Answers

We noticed that there was a breach of stress testing for cash
securities, which was resolved on the following business day
by the requirement for additional collateral. Could you
explain this additional margin framework? Is this additional
margin called from all participants, or only the top two
riskiest participants?

JSCC has an additional margin methodology, where JSCC call
additional margin from any clearing participant with a stress riskthat is large relative to the size of the default fund. However, inpractice this type of additional margin is only called from the specificclearing participant that has very large exposures.

(Follow-up Q&As for #1 after the call)
1. It is my understanding that JSCC calls additional marginwhen a clearing participant’s uncollateralized stress
exposure is over 50% of the Clearing Fund size, is thiscorrect?
2. The additional margin collected under this approach isconsidered a part of IM and is not used to reduce the Default
Fund, is this correct?
3. By when does the participant have to pay the additional
margin (within 1h or the next day)?
4. When is the additional collateral returned to theparticipant?

Yes, your understanding is correct for Q1 and Q2. The trigger level ofthe additional margin of cash equities is the half of the Clearing
Fund size.

How did the collateral requirement, or collateral amountpledged, change in 2022? How much does it reflect thetrading volume or higher volatility (more % required forvariation margin)?

JSCC calculates the additional margin twice a day, and the deadlines
for these calls is either 16:00 on the same day, or 14:00 on the next
business day, as illustrated on the following webpage:https://www.jpx.co.jp/jscc/en/risk/margin.html
The withdrawal process of “additional” margin is the same as fornormal initial margin beyond the required amount. So, a clearing
participant can instruct JSCC for the withdrawal of the relevant
collateral, which would be returned back by JSCC to the relevant
clearing participant on the next business day.
As we explained during this session, the IRS IM has been increasing
since the beginning of this year. This was due to a change in themarket interest rates, resulting from a gap between the financial
policies of increasing interest rates in other jurisdictions, such as US
and UK, and the BOJ policy which is maintaining low interest rates.

DISCLAIMER: This document is prepared for the referential purpose only. Japan Securities Clearing Corporation (JSCC) shall accept no responsibility or liability for damage or loss caused by any error, inaccuracy,or misunderstanding with regard to this translation. This document may not be reproduced or redistributed in whole or in part without the permission of JSCC. JSCC reserves the right to, without notice, revise
or alter the contents of this document, or withdraw or halt its publication. Answers from JSCC on each question in this document are based on the rulebook and/or risk management of JSCC at the time of therelevant quarter on the webinar, and so may not be relevant in the future as a result of changes of JSCC rulebook, its risk management and any regulatory or legal changes affecting JSCC.

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Subject

Relatedpages

6.1.1, 6.2.15

4

VaR Method

27-29

5

VaR Method

27-29

Questions

Answers

The weak Japanese yen has changed market participants’ interest rate
expectations significantly. In addition, high volatility throughout thisyear has also been a driver to these IM increases. As for the OTC JGB
IM, the main drivers of this were similar to those for IRS, but we also
saw position increases.
Which kind of Value at Risk approach will be introduced in the JSCC will introduce a Filtered Historical Simulation VaR methodology,
Listed Derivatives segment, when it changes from SPAN to VaR with a lookback period of 1,250 days, or 5 years. In addition, JSCC willin November 2023?
blend in some stress scenarios to mitigate any procyclical effect. JSCC
is now calibrating details of key parameters, such as the number ofstress scenarios to be blended and volatility scaling factors for thefiltering methodology1.
(Follow-up Q&As for #4 after the call)
As JSCC is a Third Country CCP under EU regulations, it is not required
Is there any EMIR anti-procyclicality option used in JSCC’s
to introduce the EMIR APC options as they are. However, as we
new margin methodology?
explained, JSCC will blend multiple stress scenarios on top of thenormal historical scenarios, in order to mitigate any procyclicaleffects. As part of our testing for the new model, we have beenreviewing a range of APC statistics, such as the peak-trough value, andthe results of this review are satisfactory.

1

For further information, please refer to the following webpage:https://www.jpx.co.jp/jscc/en/cash/futures/marginsystem/VaR.html
DISCLAIMER: This document is prepared for the referential purpose only. Japan Securities Clearing Corporation (JSCC) shall accept no responsibility or liability for damage or loss caused by any error, inaccuracy,or misunderstanding with regard to this translation. This document may not be reproduced or redistributed in whole or in part without the permission of JSCC. JSCC reserves the right to, without notice, revise
or alter the contents of this document, or withdraw or halt its publication. Answers from JSCC on each question in this document are based on the rulebook and/or risk management of JSCC at the time of therelevant quarter on the webinar, and so may not be relevant in the future as a result of changes of JSCC rulebook, its risk management and any regulatory or legal changes affecting JSCC.

P. 11

2022 Q2 – Webinar Date: September 20, 2022
Webinar：https://www.youtube.com/watch?v=LYKk9jkKKi0#
1

Subject
StressRelatedpages
12

Questions
Why did the SLOIM for Energy increase so much?

Testing

Answers
The main reason for this was a sudden expansion of exposure at somerisk-taking firms.

PQD
References:
4.4.3, 4.4.7
2

Stress13

Testing
PQD
References:
4.4.8 - 4.4.9
3

Holiday-

Trading

42C-Factor-

In relation to the stress test breaches on cash equities, why
did JSCC allow for massive accumulation in the positions ofspecific participants? Should JSCC have a mechanism torestrict such aggressive risk taking?

JSCC has a variety of controls in place to prevent excessive position
taking, such as requiring additional IM from clearing participants withpoor financial conditions, or with stress loss over initial margin(SLOIM) beyond a certain threshold. These breaches are reported to
JSCC’s management daily. If an issue with risk management wereidentified, then JSCC would initiate a review of the current operations.
On these specific cases, breaches were temporary in nature, and thus
risk management issues were not identified.
I heard about a start of Holiday Trading. Shouldn’t settlement The Japanese settlement systems, such as those provided by the central
be performed even on holidays?
bank, are not operated during holidays, so the settlement is notavailable. However, for clearing during holidays, JSCC has introduced acomparable level of risk management, such as by increasing margin
prior to a holiday for those participants that will be trading during theholiday2.
Is there a particular reason for the high C-Factor for your
There were no specific factors driving the C-factor for OTC JGB, which
OTC JGB segment, as it has been in a range between 4.9%
is calculated based on the Total Exposure from clearing participants

For further information, please refer to the outline of risk management on holiday trading available at:https://www.jpx.co.jp/jscc/en/cimhll00000001ri-att/i1h00a000000bq8f.pdf

DISCLAIMER: This document is prepared for the referential purpose only. Japan Securities Clearing Corporation (JSCC) shall accept no responsibility or liability for damage or loss caused by any error, inaccuracy,or misunderstanding with regard to this translation. This document may not be reproduced or redistributed in whole or in part without the permission of JSCC. JSCC reserves the right to, without notice, revise
or alter the contents of this document, or withdraw or halt its publication. Answers from JSCC on each question in this document are based on the rulebook and/or risk management of JSCC at the time of therelevant quarter on the webinar, and so may not be relevant in the future as a result of changes of JSCC rulebook, its risk management and any regulatory or legal changes affecting JSCC.

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Subject

Relatedpages

Questionsand 5% over the last four quarters?
(Follow-up Q&As after the call)
1. What is the driving factor for C-Factor for OTC JGB overlast few quarters?
2. Could you give some insights for the higher C-Factor for
OTC JGB, vis-à-vis other segments?

Answers
and the prefunded resources provided by the CCP and clearing
participants.
Accordingly, JSCC does not view the range over the last few quarters
as being significantly high, when compared to the range over recent
years.
However, JSCC’s derivative segments, such as IRS, show relatively low
C-factors based on the SA-CCR methodology in 2022.

DISCLAIMER: This document is prepared for the referential purpose only. Japan Securities Clearing Corporation (JSCC) shall accept no responsibility or liability for damage or loss caused by any error, inaccuracy,or misunderstanding with regard to this translation. This document may not be reproduced or redistributed in whole or in part without the permission of JSCC. JSCC reserves the right to, without notice, revise
or alter the contents of this document, or withdraw or halt its publication. Answers from JSCC on each question in this document are based on the rulebook and/or risk management of JSCC at the time of therelevant quarter on the webinar, and so may not be relevant in the future as a result of changes of JSCC rulebook, its risk management and any regulatory or legal changes affecting JSCC.

P. 13

2022 Q1 – Webinar Date: July 28, 2022
Webinar：https://www.youtube.com/watch?v=tReHvoCEICA#

Subject

1

Mutualized

Related
pages
11

Loss

Questions from Participants of Webinar

JSCC Answers

Could you please confirm the maximum liability forparticipants in the Cash Equities segment?

For losses resulting from a clearing participant default, JSCC does nothave a capped liability system for the Cash Equities segment. For nondefault losses, JSCC does not have rules that allow JSCC to allocate
losses to clearing participants in the Cash Equities Segment.

How are Stress Losses determined in the PQD i.e. how areclient positions taken into account (including portability)?
What margins are included? Is excess margin included?
etc....

In the PQD, we take account of initial margin deposited, including addons and excess margin beyond the required initial margin, because
those resources would be available to JSCC upon a clearing
participant’s default. However, in the stress testing, JSCC does notassume that all clients of the defaulting clearing participant would be
ported to non-defaulting clearing participants, because no client
positions are guaranteed to be ported (e.g., a client may not be able tofind a non-defaulting clearing participant to accept their positions).

Compensation
Resources
PQD
References:
4.1.4, 4.1.8
2

Stress Testing

12-13

PQD
References:
4.4.3 - 4.4.9

3

Initial Margin 17-18
Back Testing

Please advise in detail any impact on price fluctuations
due to the Russian invasion of Ukraine and actions to deal
with this.

Please also note when we calculate the default fund amount, JSCC
considers only the required initial margin as available financial
resources to JSCC, not the total deposited collateral that includes
excess collateral beyond the requirements.
More breaches were reported during this quarter compared toprevious terms, due to the price fluctuations caused by the Russian
invasion of Ukraine, as well as interest rate fluctuations caused byspeculation on US financial policy. However, the coverage was

DISCLAIMER: This document is prepared for the referential purpose only. Japan Securities Clearing Corporation (JSCC) shall accept no responsibility or liability for damage or loss caused by any error, inaccuracy,or misunderstanding with regard to this translation. This document may not be reproduced or redistributed in whole or in part without the permission of JSCC. JSCC reserves the right to, without notice, revise
or alter the contents of this document, or withdraw or halt its publication. Answers from JSCC on each question in this document are based on the rulebook and/or risk management of JSCC at the time of therelevant quarter on the webinar, and so may not be relevant in the future as a result of changes of JSCC rulebook, its risk management and any regulatory or legal changes affecting JSCC.

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Subject

Related
pages

PQD
References:
6.5.1,6.5.3,
6.5.4

4

Initial Margin 17-18
Back Testing

Questions from Participants of Webinar

JSCC Answers

sufficient to satisfy JSCC’s 99% or 99.5% target confidence levels,
without requiring any ad-hoc changes to the existing margin structure.
For example, JSCC advised clearing participants on the possibility ofincreased margin, and for ETD, JSCC revised the level of the SPAN Price
Scan Range four times during the market turmoil. All of these actions
were taken in accordance with JSCC’s rulebook under the specified
thresholds.
Can you please explain item 6.5.2. What does the number The number of observations in 6.5.2, shows the number of accountsof observations indicate?
subject to IM back-testing, multiplied by the number of days oftesting. (PQD 6.5.2 data in JSCC disclosure on website).

PQD
References:
6.5.1,6.5.3,
6.5.4
5

Non
Losses3
4

Default -I would like to ask for details of JSCC’s actions on Non JSCC’s rules do not allow JSCC to pass on Non Default Losses to
Default Losses.
clearing participants, except where a loss results from investments intrust accounts deposited by clearing participants and customers for
the IRS and CDS clearing services3. Please note, in these services bothprofits and losses from investments are attributed to each beneficiaryof the invested collateral, and the actual investments are limited tovery safe arrangements, such as secured money market deposits4.
End of Document

For further information, please refer to the Article 88 in the CDS Clearing Business Rules and the Article 87 in the Interest Rate Swap Clearing Business Rules.
For further information, please refer to investment policy of JSCC available at:https://www.jpx.co.jp/jscc/en/company/rkra7f00000001ml-att/Policies-for-Management-of-Posted-Collateral.pdf

DISCLAIMER: This document is prepared for the referential purpose only. Japan Securities Clearing Corporation (JSCC) shall accept no responsibility or liability for damage or loss caused by any error, inaccuracy,or misunderstanding with regard to this translation. This document may not be reproduced or redistributed in whole or in part without the permission of JSCC. JSCC reserves the right to, without notice, revise
or alter the contents of this document, or withdraw or halt its publication. Answers from JSCC on each question in this document are based on the rulebook and/or risk management of JSCC at the time of therelevant quarter on the webinar, and so may not be relevant in the future as a result of changes of JSCC rulebook, its risk management and any regulatory or legal changes affecting JSCC.

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