JSCC Quantitative Disclosures Summary
Q1 2024
May 31. 2024

© 2024 Japan Exchange Group, Inc., and/or its affiliates

Contents

Disclaimer
Introduction
Highlights
Topic of this Quarter
Composition of Clearing Membership Categories
Contribution by JSCC(SIG) & Exchanges/PTSs
Mutualized Loss Compensation Resources
Kccp
Stress Testing
Initial Margin
Initial Margin Back Testing
Variation Margin & Initial Margin Calls
Collateral Composition of Initial Margin
Total Cash Received
Liquidity
Operational Availability© 2024 Japan Exchange Group, Inc., and/or its affiliates

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4
6
7
9
10
12
14
15
17
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25
27
29

2

Disclaimer
Japan Securities Clearing Corporation has taken every effort to ensure the accuracy of the information contained in this document. JSCC
shall accept no responsibility or liability for any actions involving the use of this information. JSCC reserves the right to, without notice,revise or alter the contents of this document, or withdraw or halt its publication.
本文書に掲載されている情報の正確性については万全を期していますが、JSCC は、この文書の情報を用いて行われる一切の行為について、何ら責任を負うものではありません。JSCC は、予告なしにこの文書の内容の修正・変更やこの文書の削除・公表の中止をする場合があります。

This document is written in English, but some parts are written in both English and Japanese.
本文書は原則として英語表記ですが、一部日本語を併記しています。

© 2024 Japan Exchange Group, Inc., and/or its affiliates

3Introduction
JSCC is a clearing organization licensed in Japan to conduct financial instrument obligation assumption (clearing) services under the Financial
Instruments Exchange Law. JSCC is required to strictly comply with "Principles for Financial Market Infrastructures (hereinafter referred to as"PFMI")", as published by the Committee on Payments and Market Infrastructures (CPMI) and the International Organization of Securities
Commissions (IOSCO) in April 2012.
To enhance overall transparency in financial market infrastructures, CPMI and IOSCO published "Principles for financial market infrastructures:
disclosure framework and assessment methodology" in December 2012. In addition, as a supplement to the Principles, they released "Publicquantitative disclosure standards for central counterparties" to encourage Clearing Organizations to disclose quantitative information.

License granted by Regulatory Authority in Japan
JSCC was licensed as the Financial Instruments Clearing Organization under the Financial Instruments and Exchange Act in January 2003, and as
Commodity Clearing Organization under the Commodity Futures Act in July 2020 when JSCC integrated the commodity clearing services of Japan
Commodity Clearing House Co., Ltd. As a result, JSCC is regulated and supervised directly by the Financial Services Agency, the Ministry ofAgriculture, Forestry and Fisheries and the Ministry of Economy, Trade and Industry of Japan.

License from Overseas Regulatory Authorities for Clearing Business- U.S.: Exempt DCO (for Interest Rate Swap Clearing Business and Credit Default Swap Clearing Business)- EU: Third-Country CCP (for all Clearing Businesses)- Australia: Designation as Prescribed CCP (for Interest Rate Swap Clearing Business)- Hong Kong: ATS-CCP and Designated CCP (for Interest Rate Swap Clearing Business)- Switzerland: Foreign Central Counterparty (for Interest Rate Swap Clearing Business)- Canada: Exempt Clearing Agency (for Interest Rate Swap Clearing Business)** JSCC was granted interim exemption from Clearing Agency recognition under the Securities Act of Ontario, Canada.

- UK: Third-Country CCP (for all Clearing Businesses)** JSCC has obtained temporary recognition for the provision of services in the U.K. as a Third Country CCP.

© 2024 Japan Exchange Group, Inc., and/or its affiliates

4

はじめに
JSCCは、金融商品取引法に基づき金融商品債務引受業の免許を取得している清算機関であり、決済・市場インフラ委員会（CPMI）と証券監督者国際機構（IOSCO）により2012年4月に公表された「金融市場インフラのための原則（以下「FMI原則」という。）」を遵守する必要があります。
CPMI及びIOSCOは、金融市場インフラの透明性を全般的に向上させるため、2012年12月に「FMI原則：情報開示の枠組みと評価方法」を公表しましたが、更にこれを補完するため、2015年2月に、清算機関が高い頻度で開示すべき定量的な情報の開示を促す、「清算機関のための定量的な情報開示基準」（原題：Public quantitative disclosure standards for central counterparties）を公表しています。

日本の規制当局からの免許取得状況
当社は、金融商品取引清算機関として2003年1月に金融商品債務引受業の免許を取得しており、また、2020年7月に株式会社日本商品清算機構の持つ清算機能を統合して商品市場に係る清算業務を承継するにあたり、商品取引清算機関として商品取引債務引受業の許可を取得しており、日本国の金融庁、農林水産省及び経済産業省による直接の規制と監督を受けています。

海外の規制当局からの認証等の取得状況【米国】Exempt DCO（対象業務：金利スワップ清算業務、CDS清算業務）【欧州連合】第三国CCP（対象業務：全清算業務）【豪州】Prescribed CCPへの指定（対象業務：金利スワップ清算業務）【香港】ATS-CCP及びdesignated CCP（対象業務：金利スワップ清算業務）【スイス】外国CCP（対象業務：金利スワップ清算業務）【カナダ】Exempt Clearing Agency（対象業務：金利スワップ清算業務）** JSCC はカナダ・オンタリオ州法上の清算機関としての認証免除に関して、暫定的な決定を受けています 。

【英国】第三国CCP（対象業務：全清算業務）** JSCC は外国 CCP として英国でサービスを提供することについて、暫定的な認証を取得しています 。

© 2024 Japan Exchange Group, Inc., and/or its affiliates

5Highlights- 71 bil. JPY of JSCC SIG and Compensation by Exchanges/PTS – 79% of JSCC shareholder equity- 3 breaches on stress testing for ETP Cash Securities and 1 breach for OTC-JGB, resolved on the following business days
through the required additional collateral.
- Coverage of margin back testing (12-month period) above the JSCC risk appetite.
* JSCC risk appetite: IRS & CDS: 99.5% / Other Clearing Businesses: 99%- 0 Liquidity Stress Testing breaches during the quarter- 0 Defaults during the quarter- 100% Operational Availability of the core system over the previous 12 months

Skin in the Game (SIG)
ETP Non-Commodity
ETP Commodity
CDS
IRS
OTC-JGB(PQD 4.1.1, 4.1.2, 4.1.6, 4.1.10)(in bil. JPY)(in mil. USD)

49.26
11.49
3.00
4.00
3.50

325
75
19
26
23

Stress Testing(PQD 4.4.4, 4.4.5, 4.4.8, 4.4.9)

4 Estimated Stress Losses Exceedance- ETP(Cash Securities): 3 days 25,883 mil. JPY at maximum.
- OTC-JGB: 1 day 12,241 mil. JPY at maximum.

Note: Compensation by Exchanges & PTSs are included for ETP.
USD/JPY: as of Mar. 31, 2024

Achieved Coverage Level of Initial Margins
ETP(Cash Securities)
ETP(JGB F&O-OSE)
ETP(INDEX F&O-OSE)
ETP Commodity
CDS
IRS
OTC-JGB

99.70%
99.98%
99.87%
99.39%
100.00%100.00%99.97%© 2024 Japan Exchange Group, Inc., and/or its affiliates(+0.01%)(+0.18%)(-0.02%)(-0.18%)(±0.00%)(+0.48%)(+0.30%)(PQD 6.5.3)

Operational Availability
ETP
CDS
IRS
OTC-JGB(PQD 17.2.1)

100.00%100.00%100.00%100.00%6Topic of this Quarter（1/2）
1. Margin Simulation Upon Stress Period Recurrence

Estimated the margin (IM) levels in case a stress event occurred in the past, reoccurs in the current market environment.
- The simulation covers Nikkei 225 Futures and 10-Year JGB Futures.
- The period of the global financial crisis (9/1/2008 – 3/2/2009) is assumed as the stress event.** This period generally corresponds to the period of highest volatility on record for the subjects of the simulation.

- Simulated IMs applying price fluctuations and other factors during the above stress period, for 120 business days after the basedate of 3/29/2024.
Nikkei 225 Futures
IM

thousand yen

yen

5,000

Short
Long

4,000

Change in Risk Factors related to Stress Period

50,00040,0003,000

30,0002,000

20,0001,000

10,00002024/12024/32024/52024/7

Futures Price02024/9

3/29

4/29

5/29

6/29

7/29

8/29

10-Year JGB Futures
thousand yen

IM

yen

3,500

Short
Long

3,000
2,500

148

144

1,500

142
140

500
0
2024/12024/3© 2024 Japan Exchange Group, Inc., and/or its affiliates

Futures Price

146

2,000

1,000

Change in Risk Factors related to Stress Period138
2024/52024/72024/9

3/29

4/29

5/29

6/29

7/29

8/29
7

Topic of this Quarter（2/2）
2. Initial Margin Transparency and Measures to Control Procyclicality
JSCC IM Outlines: https://www.jpx.co.jp/jscc/en/risk/margin.html

Margin TypeCalculation
MethodCash Equity

VaR

Historical
Simulation

ETD

Expected
Shortfall(*1)

Historical
Simulation

Links(IM Outlines)- IM for Cash Products https://www.jpx.co.jp/jscc/en/cash/cash/margin.html(IM Outlines)- IM for Futures and Options https://www.jpx.co.jp/jscc/en/cash/futures/marginsystem.html- Outlines of Margin Calculation Method (VaR Method) for Futures/Option Contracts
https://www.jpx.co.jp/jscc/en/cash/futures/marginsystem/gjnthi000000049natt/p8nu7200000006oj.pdf- Handling of Specifics Concerning VaR Method
https://www.jpx.co.jp/jscc/en/cash/futures/marginsystem/gjnthi000000049natt/Handling_of_Specifics_Concerning_VaR_Method.pdf

CDS

Expected
Shortfall

Historical
Simulation

IRS

Expected
Shortfall

Historical
Simulation

Remarks

Refer to JSCC’s
business rules andclearing procedures(Clearing Participants
only ) for moredetails(IM Outlines)- IM for CDS https://www.jpx.co.jp/jscc/en/cash/cds/margin.html(IM Outlines)- IM for IRS https://www.jpx.co.jp/jscc/en/cash/irs/margin.html

https://www.jpx.co.jp/jscc/en/rule.html(Anti Procyclicality Measures)- Method of Reflecting Correlations in Calculating Additional IM in Addition to Base IM
https://www.jpx.co.jp/jscc/en/rule/cimhll00000001ow-att/16e_ReflectingCorrelations.pdf- Stress Event Scenarios for Calculating Required Initial Marginhttps://www.jpx.co.jp/jscc/en/rule/cimhll00000001ow-att/17_en_Stress_clean.pdf
OTC-JGB

POMA

Delta Method (IM Outlines)- IM for OTC JGB https://www.jpx.co.jp/jscc/en/cash/jgbcc/margin.html(Anti Procyclicality Measures)- Increases in Required Initial Margin Amount related to JGB OTC Transaction
https://www.jpx.co.jp/jscc/en/rule/cimhll00000001nvatt/12Increases_in_Required_Initial_Margin_Amount_related_to_JGB_OTC_Transaction_2023121
8_E.pdf(*1) VaR for Nikkei 225 Dividend Index Futures of Listed Financial Derivatives and Listed Commodity Derivatives (excluding Platts Dubai Crude Oil Futures, CME Group Petroleum Index Futures, Electricity Futures and LNG Futures)© 2024 Japan Exchange Group, Inc., and/or its affiliates

8Composition of Clearing Membership Categories
JSCC provides clearing services to clearing members of 14 different categories, each of which has a default fund to address any losses resulting from thedefault of a clearing participant in the relevant category. Some of the resources, such as liquidity resources, may be shared across the categories.
当社は、以下の14の清算資格に区分して清算業務を行っており、清算資格毎に清算参加者が破綻した場合を想定した損失をカバーするための清算基金制度を設けています。なお、
流動性供給枠等は複数の清算資格で共有しています。

* Underlined abbreviations in each segment are those used in the quantitative disclosure of JSCC.

© 2024 Japan Exchange Group, Inc., and/or its affiliates

9Contribution by JSCC(SIG) & Exchanges/PTSs (1/2)
PQD References: 4.1.1, 4.1.2, 4.1.6, 4.1.10

Contribution by JSCC(SIG) & Exchanges/PTSs (end of Quarter)(bil. JPY)

JSCC SIG

Compensation by Exchanges & PTSs(ETP Cash Securities)

Compensation by Exchanges(ETP exc. Cash Securities)

ETP Non-Commodity

ETP Commodity

ETP Non-Commodity

IRS

2024Q12023Q42023Q32023Q22023Q12024Q12023Q42023Q32023Q22023Q12024Q12023Q4CDS

JSCC SIG (end of Quarter)
2023Q1
20.00

2023Q32023Q22023Q12024Q12023Q42023Q32023Q22023Q12024Q12023Q42023Q32023Q22023Q1

60
50
40
30
20
10
0

OTC-JGB

Compensation by Exchanges & PTSs (end of Quarter)
2023Q2
20.00

2023Q320.00

2023Q420.00(bil. JPY)
2024Q1
20.00

2023Q1
11.81

ETP(Cash Securities)
ETP Non-Commodity
ETP Commodity
2.37
2.37
2.37
2.37
2.37
17.45
Derivatives
CDS
3.00
3.00
3.00
3.00
3.00
ETP Commodity
2.12
IRS
4.00
4.00
4.00
4.00
4.00
CDS
OTC-JGB
3.50
3.50
3.50
3.50
3.50
IRS
OTC-JGB
Note: About 90% of the Compensation by Exchanges & PTSs are arranged to be contributed by exchanges affiliated with JSCC.

2023Q2
11.81

2023Q3
11.81

2023Q411.81(bil. JPY)
2024Q1
11.81

17.45

17.45

17.45

17.45

9.12
-

9.12
-

9.12
-

9.12
-

注: 取引所及びPTSによる損失補償の約90%は、日本取引所グループ内の取引所により拠出されています。

© 2024 Japan Exchange Group, Inc., and/or its affiliates

10Contribution by JSCC(SIG) & Exchanges/PTSs (2/2)
PQD References: 4.1.1, 4.1.2

JSCC Capital, JSCC SIG (left axis) and Ratio of JSCC SIG to Capital (JSCC SIG/Capital, right axis) (end of Quarter)
JSCC SIG before Default Fund(bil. JPY)

Capital

JSCC SIG before and alongside Default Fund

JSCC SIG(bil. JPY)

JSCC SIG/Capital

70

100%

60

80%

Capital

JSCC SIG

JSCC SIG/Capital

70

100%

60

80%

50

50
40

60%

40

60%

30

40%

30

40%

20

20
20%

10

0

0%
ETP

CDS

IRS

OTC-JGB

20%

10

0

0%
ETP

CDS

IRS

OTC-JGB

Note: JSCC has adopted class share structure to maintain its own funds for each of clearing businesses - Class A shares for Exchange Traded Products(Cash and Derivatives(Commodity
and Non-Commodity), Class B shares for CDS, Class C shares for IRS, and Class D shares for OTC JGB.
Capital amounts per share by class shares as of Mar. 31, 2023 and number of shares are found at the following links:
注：JSCCは4つの種類株式（A種類株式：現物取引及び上場デリバティブ取引(商品と商品以外）の清算業務、B種類株式：CDS清算業務、C種類株式：金利スワップ取引清算業務、D種類株式：国債店頭取引清算業務）を発行しています。各種類株式の1株当たり純資産額（Mar. 31, 2023）及び発行済み株式の総数は以下をご覧ください。

https://www.jpx.co.jp/jscc/kaisya/koukoku.html
https://www.jpx.co.jp/jscc/en/company/profile.html© 2024 Japan Exchange Group, Inc., and/or its affiliates

11Mutualized Loss Compensation Resources (1/2)
PQD References: 4.1.4

Default Fund (end of Quarter)(bil. JPY)

(bil. JPY)ETP Non-Commodity

ETP Commodity

ETP(Cash Securities)

ETP(JGB F&O-OSE)

Other

ETP(Energy-TOCOM)ETP(INDEX F&O-OSE)(JSCC&EXCs/PTSs)/DF

ETP(Precious Metals-OSE)(JSCC&EXCs/PTSs)/DF

800

15%

30

125%
100%

600

10%

20

5%

10

75%

400
200

50%
25%

0

0%

0

2023Q1 2023Q2 2023Q3 2023Q4 2024Q1(bil. JPY)

CDS

2023Q1 2023Q2 2023Q3 2023Q4 2024Q1(bil. JPY)

JSCC SIG/DF

50

15%

40
10%

30

0%

IRS

(bil. JPY)

JSCC SIG/DF

80

15%

60

10%

40

20

5%

10

0

0%
2023Q1 2023Q2 2023Q3 2023Q4 2024Q1© 2024 Japan Exchange Group, Inc., and/or its affiliates

5%

20

0

0%
2023Q1 2023Q2 2023Q3 2023Q4 2024Q1

OTC-JGB

JSCC SIG/DF

195
190
185
180

5%
4%

3%
2%

175
170
165

1%
0%
2023Q1 2023Q2 2023Q3 2023Q4 2024Q1

12

Mutualized Loss Compensation Resources (2/2)
PQD References: 4.1.4, 4.1.8

Default Fund (end of Quarter)
ETP(Cash Securities)
ETP(JGB F&O-OSE)
ETP(INDEX F&OOSE)
ETP(Precious
Metals-OSE)
ETP(Rubber-OSE)
ETP(AgriculturalOSE)
ETP(Petroleum-OSE)
ETP(Energy-TOCOM)
ETP(AgriculturalODEX)ETP(Sugar-ODEX)ETP(Precious
Metals-ODEX)CDSIRSOTC-JGB

Assessment (end of Quarter)

2023Q11920

2023Q21920

2023Q324
39

2023Q425
41(bil. JPY)
2024Q126
48

2023Q1n/a
60

2023Q2n/a
622023Q3n/a
1182023Q4n/a
124(bil. JPY)
2024Q1
n/a
144

1,171

1,188

1,250

1,402

1,662

23

12

24

26

15

1

1

1

1

0

0

0

0

0

0

0

SIG
ETP(Cash Securities)
ETP(JGB F&O-OSE)
ETP(INDEX F&OOSE)
ETP(Precious
Metals-OSE)
ETP(Rubber-OSE)
ETP(AgriculturalOSE)
ETP(Petroleum-OSE)

390

396

416

467

554

7

4

8

8

5

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

5

6

11

7

5

ETP(Energy-TOCOM)

17

18

33

22

16

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

39
30
188

29
61
190

30
48
188

26
46
176

25
62
175

39
30
188

29
61
190

30
48
188

26
46
176

25
62
175

ETP(AgriculturalODEX)ETP(Sugar-ODEX)ETP(Precious
Metals-ODEX)CDSIRSOTC-JGB

Note: For ETP derivatives, the required amount of the assessment is capped at 3 times the Clearing Fund Requirement of each non-defaulting Clearing Participant.
For OTC products, the required amount of the assessment is capped at the Clearing Fund Requirement of each non-defaulting Clearing Participant.
注：上場デリバティブに係る特別清算料（VMヘアカットを除く）は、生存参加者の清算基金所要額の3倍の額を上限としています。
OTC取引に係る特別清算料（VMヘアカットを除く）は、生存参加者の清算基金所要額を上限としています。

© 2024 Japan Exchange Group, Inc., and/or its affiliates

13

Kccp
PQD References: 4.2.1

Kccp (end of Quarter)(mil. JPY)

(mil. JPY)

FIEA-regulated ETP

20,000

CFA-regulated ETP

60
50
40
30
20
10
0

15,00010,0005,000
02023Q1 2023Q2 2023Q3 2023Q4 2024Q1(mil. JPY)

2023Q1(mil. JPY)CDS

42023Q22023Q32023Q42024Q1

IRS

3,000
2,500
2,000
1,500
1,000
500
0

3
2
1
0
2023Q12023Q22023Q32023Q4© 2024 Japan Exchange Group, Inc., and/or its affiliates

2024Q1(mil. JPY)

OTC-JGB

15,00010,0005,000
02023Q1 2023Q2 2023Q3 2023Q4 2024Q1

2023Q1 2023Q2 2023Q3 2023Q4 2024Q1

14

Stress Testing (1/2)
PQD References: 4.4.3, 4.4.7

Estimated Largest Aggregate Stress Loss in Excess of Initial Margin (previous 12 months)(bil. JPY)

Result for "Cover 2" silo

Peak

Mean

ETP(Cash Securities)

ETP(JGB F&O-OSE)

ETP(INDEX F&O-OSE)(bil. JPY)ETP(Petroleum-OSE)

CDS

IRS

2024Q12023Q42023Q32023Q22023Q12024Q12023Q42023Q32023Q22023Q12024Q12023Q42023Q32023Q22023Q12024Q12023Q42023Q32023Q22023Q12024Q12023Q42023Q32023Q22023Q12024Q12023Q42023Q32023Q22023Q12024Q12023Q42023Q32023Q22023Q1

600
500
400
300
200
100
0

OTC-JGB

Result for "Cover 1" silo

Peak

Mean

ETP(Precious MetalsOSE)

ETP(Rubber-OSE)

ETP(Agricultural-OSE)

ETP(Energy-TOCOM)

ETP(Agricultural-ODEX)ETP(Sugar-ODEX)

2024Q12023Q42023Q32023Q22023Q12024Q12023Q42023Q32023Q22023Q12024Q12023Q42023Q32023Q22023Q12024Q12023Q42023Q32023Q22023Q12024Q12023Q42023Q32023Q22023Q12024Q12023Q42023Q32023Q22023Q12024Q12023Q42023Q32023Q22023Q1

16
14
12
10
8
6
4
2
0

ETP(Precious MetalsODEX)

Note: The default assumptions for prefunded financial resources are Cover 2(two Clearing Participants including affiliates with the largest expected loss) for ETP(Cash Securities,
Derivatives for Non-Commodity and Petroleum), CDS, IRS, & OTC JGB, and Cover 1 + 5 financially weakest Clearing Participants for Commodity ex. Petroleum.
注：現物株式、上場金融デリバティブ及び原油については上位2先、原油を除く上場商品デリバティブについては上位1先及び純財産額が下位の5先の破綻を想定しています。

© 2024 Japan Exchange Group, Inc., and/or its affiliates

15

Stress Testing (2/2)
PQD References: 4.4.4, 4.4.5, 4.4.8, 4.4.9

Number of Days exceeded Actual pre-funded Default Resources (during Quarter)- Result for "Cover 2" silo
2023Q12023Q22023Q32023Q42024Q1

ETP(Cash Securities)

3

2

2

3

3

ETP(JGB F&O-OSE)
ETP(INDEX F&OOSE)

0

0

2

0

0

0

0

0

0

0

ETP(Petroleum-OSE)

0

0

0

0

0

CDS

0

0

0

0

0

IRS

0

0

0

0

0

OTC-JGB

0

0

0

0

1

- Result for "Cover 1" silo
2023Q1
ETP(Precious
2
Metals-OSE)
ETP(Rubber-OSE)
0
ETP(Agricultural0
OSE)
ETP(Energy-TOCOM)
ETP(AgriculturalODEX)ETP(Sugar-ODEX)ETP(Precious
Metals-ODEX)

2023Q22023Q32023Q42024Q1

5

1

0

0

0

1

0

0

0

0

0

0

4

1

8

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

Maximum Amount exceeding Actual pre-funded Default Resources (during Quarter)- Result for "Cover 2" silo
2023Q12023Q22023Q3(mil. JPY)
2024Q12023Q4

ETP(Cash Securities)

8,629

9,212

5,882

27,16525,883

ETP(JGB F&O-OSE)
ETP(INDEX F&OOSE)

0

0

4,439

0

0

0

0

0

0

0

ETP(Petroleum-OSE)

0

0

0

0

0

CDS

0

0

0

0

0

IRS

0

0

0

0

0

OTC-JGB

0

0

0

0

12,241- Result for "Cover 1" silo
2023Q1
ETP(Precious
149
Metals-OSE)
ETP(Rubber-OSE)
0
ETP(Agricultural0
OSE)
ETP(Energy-TOCOM)
ETP(AgriculturalODEX)ETP(Sugar-ODEX)ETP(Precious
Metals-ODEX)

2023Q22023Q3(mil. JPY)
2024Q12023Q4

1,271

98

0

0

0

34

0

0

0

0

0

0

712

1,399

469

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

Note: Possibility of breaches continuing for consecutive days is minimized by applying additional initial margin in ETP(Cash Securities) and the daily revision of default fund in otherclearing services.
注：現物清算資格は当初証拠金追加所要額の適用、その他の清算資格は清算基金の日次更新により、当日発生したブリーチは翌営業日には解消することを想定しています。
© 2024 Japan Exchange Group, Inc., and/or its affiliates

16

Initial Margin (1/3)
PQD References: 6.1.1, 6.2.15(bil. JPY)

Initial Margin Required(House)

Initial Margin Required(Client)

Excess Margin Held(House)

Excess Margin Held(Client)

6,000

5,000

4,000

3,000

2,000

1,000

ETP(Cash Securities)

OSE-listed ETP

CFA-regulated ETP

CDS

IRS

2024Q12023Q42023Q32023Q22023Q12024Q12023Q42023Q32023Q22023Q12024Q12023Q42023Q32023Q22023Q12024Q12023Q42023Q32023Q22023Q12024Q12023Q42023Q32023Q22023Q12024Q12023Q42023Q32023Q2-1,0002023Q10

OTC-JGB

Note: Excess margin held is calculated by subtracting initial margin required from initial margin held (post haircut).
注：証拠金余剰額は、ヘアカット後の証拠金預託額から証拠金所要額を減じて計算しています。

© 2024 Japan Exchange Group, Inc., and/or its affiliates

17Initial Margin (2/3)
PQD References: 6.1.1, 6.2.15

Initial Margin Required (end of Quarter)

Initial Margin Held (Post Haircut) (end of Quarter)

ETP(Cash Securities)
Total

2023Q1
114

2023Q236

2023Q3190

2023Q438(bil. JPY)
2024Q1
151

ETP(Cash Securities)
House(Total)

2023Q1152

2023Q21102023Q3142

2023Q4109(bil. JPY)
2024Q1171

OSE-listed ETPHouse
ClientTotal

2023Q1
287
1,618
1,906

2023Q2
226
1,795
2,021

2023Q3
311
1,982
2,294

2023Q4
225
1,738
1,964

2024Q1
358
2,091
2,450

OSE-listed ETPHouse
ClientTotal

2023Q1
436
3,801
4,238

2023Q2
332
4,029
4,361

2023Q3
554
4,454
5,008

2023Q4
406
4,252
4,658

2024Q1
506
4,981
5,487

CFA-regulated ETPHouse
ClientTotal

2023Q11013
232023Q2815242023Q31015262023Q41010212024Q1
11
13
25

CFA-regulated ETPHouse
ClientTotal

2023Q11157
682023Q21062732023Q31366
792023Q41364782024Q1
14
67
82

CDS
House
ClientTotal

2023Q19791062023Q2777852023Q376
7832023Q466
6722024Q1
65
5
71

CDS
House
ClientTotal

2023Q19940
1402023Q280381182023Q37934
114

2023Q46932
1012024Q1
68
27
95

IRS
House
ClientTotal

2023Q1
1,153
786
1,940

2023Q2
886
589
1,476

2023Q3
846
671
1,517

2023Q4
852
732
1,585

2024Q1
739
686
1,426

IRS
House
ClientTotal

2023Q1
1,657
1,818
3,476

2023Q2
1,383
1,649
3,033

2023Q3
1,359
1,903
3,262

2023Q4
1,362
2,048
3,410

2024Q1
1,279
2,025
3,305

OTC-JGBHouse
ClientTotal

2023Q1
2,573
0
2,573

2023Q2
2,651
0
2,651

2023Q3
2,629
0
2,629

2023Q4
2,908
0
2,908

2024Q1
2,605
0
2,605

OTC-JGBHouse
ClientTotal

2023Q1
2,970
1
2,971

2023Q2
3,101
1
3,102

2023Q3
3,041
1
3,042

2023Q4
3,250
1
3,251

2024Q1
2,860
1
2,861

© 2024 Japan Exchange Group, Inc., and/or its affiliates

18

Initial Margin (3/3)
Excess Margin Held (end of Quarter)
ETP(Cash Securities)
Total

2023Q138

2023Q2
742023Q3-47

2023Q471(bil. JPY)
2024Q120

OSE-listed ETPHouse
ClientTotal

2023Q1
149
2,182
2,331

2023Q2
105
2,234
2,340

2023Q3
242
2,471
2,714

2023Q4
180
2,513
2,694

2024Q1
147
2,890
3,037

CFA-regulated ETPHouse
ClientTotal

2023Q12023Q22023Q32023Q42024Q1

CDS
House
ClientTotal

2023Q1
2
31
33

2
30
33

3
27
30

2
25
28

2
21
24

IRS
House
ClientTotal

2023Q1
503
1,031
1,535

2023Q2
497
1,059
1,556

2023Q3
513
1,231
1,745

2023Q4
509
1,315
1,825

2024Q1
539
1,339
1,878

OTC-JGBHouse
ClientTotal

2023Q1397
0398

2023Q245004512023Q3411
0412

2023Q4341
0342

2024Q1
254
0
255

1
43
44

1
47
49
2023Q2© 2024 Japan Exchange Group, Inc., and/or its affiliates

250
532023Q335457
2023Q42
53
56
2024Q119

Initial Margin Back Testing (1/2)
PQD References: 6.5.1.1, 6.5.3

Number of Margin Breaches (previous 12 months)
2023Q12023Q22023Q32023Q42024Q1

250
200
150

100
50
0
ETP(Cash Securities) ETP(JGB F&O-OSE)

ETP(INDEX F&OOSE)ETP Commodity

CDS

IRS

OTC-JGB

Achieved Coverage Level (previous 12 months)
ETP(Cash Securities)
ETP(JGB F&O-OSE)
ETP(INDEX F&OOSE)ETP Commodity
CDS
IRS
OTC-JGB

2023Q199.86%
98.70%

2023Q299.77%
99.36%

2023Q399.69%
99.39%

2023Q499.69%
99.80%

2024Q199.70%
99.98%

99.96%

99.95%

99.95%

99.89%

99.87%

99.88%
100.00%99.35%
99.42%

99.87%
100.00%99.49%
99.60%

99.84%
100.00%99.50%
99.60%

99.57%
100.00%99.52%
99.67%

99.39%
100.00%100.00%99.97%

Number of Margin Breaches➢ The decrease in the number of margin breaches in ETP(JGB F&O-OSE),
IRS and OTC-JGB was due to the breach in Mar. 2023 (due toheightened financial instability in the U.S) no longer being in the
period covered.
➢ The number of breaches in ETP Commodity futures was due to market
fluctuations of precious metals and rubbers.

© 2024 Japan Exchange Group, Inc., and/or its affiliates

20Initial Margin Back Testing (2/2)
PQD References: 6.5.4

Peak Size of Uncovered Exposure (previous 12 months)(bil. JPY)

2023Q12023Q22023Q32023Q42024Q1

70
60
50
40
30
20
10
0
Cash
Securities

JGB F&O-OSE INDEX F&OOSE

Precious
Metals-OSE

Rubber-OSE AgriculturalOSE

PetroleumOSE

EnergyTOCOM

Agricultural- Sugar-ODEX
Precious
ODEX
Metals-ODEX

ETP

CDS

IRS

OTC-JGBCDS

IRS

OTC-JGB

Peak Size of Uncovered Exposure (previous 3 months)(bil. JPY)

2023Q12023Q22023Q32023Q42024Q1

70
60
50
40
30
20
10
0
Cash
Securities

JGB F&O-OSE INDEX F&OOSE

Precious
Metals-OSE

Rubber-OSE AgriculturalOSE
ETP© 2024 Japan Exchange Group, Inc., and/or its affiliates

PetroleumOSE

EnergyTOCOM

Agricultural- Sugar-ODEX
Precious
ODEX
Metals-ODEX

21

Variation Margin & Initial Margin Calls
PQD References: 6.7.1, 6.8.1

Maximum Total Variation Margin Paid to JSCC (during Quarter)(bil. JPY)

2023Q12023Q22023Q32023Q42024Q1

800
600
400

(VMs are included to
IMs for Cash
Securities.)

200
0
ETP(Cash Securities)

OSE-Listed ETP

CFA-regulated ETP

CDS

IRS

OTC-JGBIRS

OTC-JGB

Maximum Aggregate Initial Margin Call (during Quarter)(bil. JPY)

2023Q12023Q22023Q32023Q42024Q1

600
500
400
300
200
100
0
ETP(Cash Securities)

OSE-Listed ETP© 2024 Japan Exchange Group, Inc., and/or its affiliates

CFA-regulated ETP

CDS

22

Collateral Composition of Initial Margin (1/2)
PQD References: 6.2.1-6.2.14

Collateral Composition of Initial Margin-ETP (end of Quarter)
ETP(Cash Securities)

OSE-listed ETP

CFA-regulated ETP

100%

100%

100%

80%

80%

80%

60%

60%

60%

40%

40%

40%

20%

20%

20%

0%

0%
2023Q1 2023Q2 2023Q3 2023Q4 2024Q1

0%
2023Q1 2023Q2 2023Q3 2023Q4 2024Q1

2023Q1 2023Q2 2023Q3 2023Q4 2024Q1

Cash deposited at a central bank of issue of the currency concerned：関連する通貨の発行主体である中央銀行の現金預金
Secured cash deposited at commercial banks (including reverse repo)：商業銀行における保全された現金預金
Non-Cash Sovereign Government Bonds - Domestic：現金以外のソブリン債（自国債）
Non-Cash Equities：現金以外の株式
Other：その他
Note: “Secured cash deposited at commercial banks (including reverse repo)” is held in settlement accounts of commercial banks, which are entirely protected by the Japanese
Deposit Insurance Corporation.
“Non-Cash Sovereign Government Bonds – Domestic” is JGBs.
“Non-Cash Equities” means domestic listed securities (including convertible bonds for ETP Derivatives). Details of the eligible collateral can be found at the following link:
注：「商業銀行における保全された現金預金」は全額が預金保険制度の対象となる決済性預金です。
「現金以外のソブリン債（自国債）」は日本国債です。
「現金以外の株式」は内国上場株式です（上場デリバティブはＣＢも含む）。適格担保については以下をご覧ください。

https://www.jpx.co.jp/jscc/en/risk/collateral/collateral.html© 2024 Japan Exchange Group, Inc., and/or its affiliates

23Collateral Composition of Initial Margin (2/2)
PQD References: 6.2.1-6.2.14

Collateral Composition of Initial Margin-OTC (end of Quarter)
CDS

IRS

OTC-JGB

100%

100%

100%

80%

80%

80%

60%

60%

60%

40%

40%

40%

20%

20%

20%

0%

0%
2023Q1 2023Q2 2023Q3 2023Q4 2024Q1

0%
2023Q1 2023Q2 2023Q3 2023Q4 2024Q1

2023Q1 2023Q2 2023Q3 2023Q4 2024Q1

Cash deposited at a central bank of issue of the currency concerned：関連する通貨の発行主体である中央銀行の現金預金
Secured cash deposited at commercial banks (including reverse repo)：商業銀行における保全された現金預金
Non-Cash Sovereign Government Bonds - Domestic：現金以外のソブリン債（自国債）
Other：その他

Note: “Secured cash deposited at commercial banks (including reverse repo)” is held in a trust account, which is bankruptcy remote from JSCC and clearing participants. For OTC
derivatives, clearing participants and clients may choose between custodying their collateral in a trust or in the central bank.
“Non-Cash Sovereign Government Bonds – Domestic” is JGBs.
注：「商業銀行における保全された現金預金」は信託銀行に信託されており、JSCC及び清算参加者の破綻リスクから保護されています。
OTCデリバティブの担保の預託先は、清算参加者・清算委託者の選択に従います。
「現金以外のソブリン債（自国債）」は日本国債です。

© 2024 Japan Exchange Group, Inc., and/or its affiliates

24

Total Cash Received (breakdown by IM/DF)PQD References: 16.1.1, 16.1.2

Total Cash Received from Participants (end of Quarter)as Initial Margin

as Default Fund Contribution(bil. JPY)ETP(Cash Securities)

OSE-Listed ETP

CFA-regulated ETP

CDS

IRS

2024Q12023Q42023Q32023Q22023Q12024Q12023Q42023Q32023Q22023Q12024Q12023Q42023Q32023Q22023Q12024Q12023Q42023Q32023Q22023Q12024Q12023Q42023Q32023Q22023Q12024Q12023Q42023Q32023Q22023Q1

4,500
4,000
3,500
3,000
2,500
2,000
1,500
1,000
500
0

OTC-JGB

Note: For ETP, each Clearing Participant must deposit yen cash with a value that is at least 50% of their default fund requirement, minus JPY1 billion.
注：JSCCは上場商品において、清算基金所要額から10億円を控除した額の半額以上について円貨での預託を求める清算基金の現金預託制度を設けています。

© 2024 Japan Exchange Group, Inc., and/or its affiliates

25

Total Cash Received (breakdown by the custody)
PQD References: 16.2.2-16.2.7

Percentage of Total Participant Cash Held as Cash Deposits (end of Quarter)
CFA-regulated ETP

FIEA-regulated ETP
100%

100%

50%

50%

0%

0%

2023Q1 2023Q2 2023Q3 2023Q4 2024Q1

2023Q1 2023Q2 2023Q3 2023Q4 2024Q1

CDS

IRS

OTC-JGB

100%

100%

100%

50%

50%

50%

0%

0%
2023Q1 2023Q2 2023Q3 2023Q4 2024Q1

0%
2023Q1 2023Q2 2023Q3 2023Q4 2024Q1

2023Q1 2023Q2 2023Q3 2023Q4 2024Q1

cash deposits at central banks of issue of the currency deposited：関連する通貨の発行主体である中央銀行の現預金
cash deposits at other central banks：その他の中央銀行の現預金
cash deposits at commercial banks (Secured, including through reverse repo)*：商業銀行のマネー（担保保全されているもの（リバースレポを含む））
cash deposits at commercial banks (Unsecured)：商業銀行のマネー（担保保全されていないもの）
in money market funds：MMF（マネーマーケットファンド）
in other forms：その他の方法
Note: "Cash deposits at commercial banks" are bankruptcy remote from JSCC and clearing participants (for the trust scheme used for CDS and IRS). They are deposited in settlement
accounts for other clearing membership categories.
Deposits for CFA-related ETP are not deposited at the central bank.
Only non-JPY currencies are deposited at unsecured commercial banks.
注：「商業銀行の現預金」は、CDS及びIRSにおいてはJSCC及び清算参加者から倒産隔離された信託口座に保管されており、その他においては預金保険によって保護された決済性預金です。
商先法に基づく商品の担保は中央銀行口座を利用していません。
外貨のみを未保全の商業銀行口座に預託しています。

© 2024 Japan Exchange Group, Inc., and/or its affiliates

26Liquidity (1/2)
PQD References: 7.1.2-7.1.8, 7.3.1, 7.3.2, 7.3.4

Qualifying Liquid Resources (end of Quarter)and Cover 1 Result of Estimated(during Quarter)/Actual(previous 12 months) Largest Payment Obligations(bil. JPY)

Total Resources

Estimated Payment(Excluding OTC-JGB)

Actual Payment(Excluding OTC-JGB)

2,000
1,500
1,000

500
0
2023Q12023Q22023Q32023Q42024Q1

Number of Liquidity Stress Test Breaches (during Quarter)
2023Q1
Excluding OTC-JGB

2023Q202023Q302023Q402024Q100Note: For OTC- JGB, JSCC has established a liquidity framework via JGB repo transactions with Clearing Participants and other financial institutions.
注：国債店頭取引においては、清算参加者又はそれ以外の金融機関との国債証券のレポ取引により、資金流動性を調達する制度を設けています。

© 2024 Japan Exchange Group, Inc., and/or its affiliates

27Liquidity (2/2)
PQD References: 7.1.2-7.1.8

Size and Composition of Qualifying Liquid Resources (end of Quarter)
Cash deposited at a central bank of issue of the currency concerned*
Cash deposited at other central banks
Secured cash deposited at commercial banks (including reverse repo)*
Unsecured cash deposited at commercial banks
Secured committed lines of credit including committed foreign exchange swaps and committed repos
Unsecured committed lines of credit
Highly marketable collateral and convertible into cash with prearranged and highly reliable funding arrangements
Other
Total

(bil. JPY)
2023Q1
188.5
0.0
0.6
41.2
0.0
1,525.2
0.0
0.0
1,756

2023Q2
190.4
0.0
0.7
41.2
0.0
1,525.2
0.0
0.0
1,758

2023Q3
212.1
0.0
2.9
41.2
0.0
1,525.2
0.0
0.0
1,782

2023Q4
220.0
0.0
19.9
41.2
0.0
1,525.2
0.0
0.0
1,806

2024Q1
220.0
0.0
65.4
41.2
0.0
1,525.2
0.0
0.0
1,852

Note: Cash is deposited at a central bank and secured cash deposited at commercial banks, depending on JSCC's rules. For ETP, each Clearing Participant must deposit yen cash with avalue that is at least 50% of their default fund requirement, minus JPY1 billion. Therefore, the level of cash varies depending on the default fund requirement.
"Unsecured committed lines of credit" mean secured yen-denominated and foreign currency denominated liquidity supplies from its parent company and multiple commercial banks
that have been designated as Fund Settlement Banks (Liquidity Supply Facilities).
注：中央銀行及び商業銀行の現金預金は、清算基金所要額から10億円を控除した額の半額以上について円貨での預託を求める上場商品に係る清算基金の現金預託制度によるものであり、その額は清算基金所要額に連動します。
「コミットされた無担保信用供与枠：Unsecured committed lines of credit」とは、親会社及び資金決済銀行として指定された複数の商業銀行から確保している流動性供給枠（資金流動性供給ファシリティ）を指します。

© 2024 Japan Exchange Group, Inc., and/or its affiliates

28

Operational Availability
PQD References: 17.1.1, 17.2.1

Actual/Target Availability of the Core Systems (previous 12 months)

ETP
CDS
IRS
OTC-JGB

2023Q1100.00%100.00%100.00%100.00%2023Q2100.00%100.00%100.00%100.00%© 2024 Japan Exchange Group, Inc., and/or its affiliates

Actual
2023Q3100.00%100.00%100.00%100.00%Target2023Q4100.00%100.00%100.00%100.00%2024Q1100.00%100.00%100.00%100.00%99.99%
99.90%
99.90%
99.99%

29

Contact Us

Questions

For inquiries related to the JSCC CPMI-IOSCO Quantitative Disclosures,
please contact Japan Securities Clearing Corporation, Clearing Planning Department:

Contact Us© 2024 Japan Exchange Group, Inc., and/or its affiliates30