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Publication of back testing results

In the DVP settlement system for NETDs, JDCC requires Assurance Assets of each DVP participant to exceed its net debit as one of the conditions for the obligation assumption (Assurance Assets Condition), and if the DVP participant defaults in payment, JDCC will cover and pay out all obligations which JDCC assumed on behalf of the defaulting participant by cashing out the defaulting participant's Assurance Assets.
Assurance Assets consist of Participants Fund, Pledged Securities and Securities-to-be-Received. Securities-to-be-Received and Pledged Securities are assessed as Assurance Assets by multiplying the closing price on the previous business day by the appraisal rate in order to cover the risk of decline over the interval between last valuation and the time which they are converted into cash.
JDCC examines the safety of assessment on Securities-to-be-Received and Pledged Securities (appraisal rate) by back testing, and uploads the results to this website every quarter.

Back testing procedure

For securities with different appraisal rates, JDCC checks whether or not selling price of each DVP participant position (Securities-to-be-Received*1 and Pledged Securities*2) is not less than assessed amount on each business day.

  • Selling Price: Total amount from multiplying the number of Pledged Securities and Securities-to-be-Received by the closing price of such securities on the next business day (*3).
  • Assessed Amount: Total amount from multiplying the number of Pledged Securities and Securities-to-be-Received by the closing price of such securities on the previous business day and by the appraisal rate.
  • Securities Types and Appraisal Rates
Securities Types Appraisal Rates
Stocks,Investment Units,Preferred securities, ETF, Beneficial rights of trust issuing certificates of beneficial rights, Foreign Stocks, etc.(hereinafter, "Stocks, etc.") 70%
Convertible bonds (CB) 80%
Government bonds Before 28th January, 2011 : 88%～99%
After 31st January, 2011 : 93%～99%
(Depends on securities type and remaining term)
  1. *1.
    All Securities-to-be-Received cleared on the day of back test.
  2. *2.
    Pledged Securities deposited at the end of the day of back test.
  3. *3.
    In cases where a DVP participant defaults, JDCC converts the Assurance Assets of the defaulting participant into cash, generally on the next business day.



Back testing results

Examination Period Securities Types Back testing results
April-June, 2011 Stocks, etc None of the cases showed selling prices were less than assessed amounts.
Convertible bonds (CB) None of the cases showed selling prices were less than assessed amounts.
Government bonds None of the cases showed selling prices were less than assessed amounts.
July-September, 2011 Stocks, etc None of the cases showed selling prices were less than assessed amounts.
Convertible bonds (CB) None of the cases showed selling prices were less than assessed amounts.
Government bonds None of the cases showed selling prices were less than assessed amounts.
October-December, 2011 Stocks, etc None of the cases showed selling prices were less than assessed amounts.
Convertible bonds (CB) None of the cases showed selling prices were less than assessed amounts.
Government bonds None of the cases showed selling prices were less than assessed amounts.

Please click here for the past results.

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