Date of Disclosure: 30 Aug.16
Tokyo Finacial Exchange

Financial Market Infrastructure: Quantitative Disclosure
Principle 4 Credit Risk

(Unit : Millions of yen)Frequency

Disclosure
Ref.No.
4.1.1

Clearing Service
Interest Rate

Exchange

Exchange

Disclosure Description

Start Date

End Date

Futures

Forex Margin

Equity Index

Before2016/6/30

2016/6/30

Contracts
1,000

Contracts
1,389

Alongside

0

1,419

560

After

0

0

0

2,310

22,233

1,615

6,374

23,902

2,198

0

0

0

0

0

0

0

22,727

3,913

unlimited

unlimited

unlimited

0

0

0

1
-

0
-

0
- (4.3.3)"Secured cash deposited at--commercial banks" refers to the cash
- deposited at ordinary deposit account or

Total value Own Capital

Comments

Margin232

of default
4.1.2
4.1.3
4.1.4
4.1.5

resources(excluding
initial andretainedvariation
margin) -Participant

Required

contributions
PostedPost-Haircut

Prefunded
4.1.6

Other

4.1.7

Total value Own/parent funds

Round of participantof default

defaults

2016/6/30

2016/6/30

resources
4.1.8

4.1.9
4.1.10(excluding

Participant

Initial round of

initial andcommitments

participant default

retained

Replenish the default

variation
margin) -

fund
Other

Committed
4.2.1
4.3.1

4.3.2
4.3.3

KCCP
Value of

BCBS 282
Cash

Cash deposited at apre-funded

central bank of issuedefaultof the currency

resources

concerned(excluding

variation

2016/6/30
2016/6/30

Post-Haircut

fixed deposit account in commercial bank,
3,016

18,880which does not incur any loss at thematurity.
2,799

commercial banks

Post-Haircut

3,016

18,8802,799

Unsecured cash

Pre-Haircut

0

0

0

commercial banks

Post-Haircut

0

0

0

Sovereign

Pre-Haircut

2,231
2,196
0
0
0
0
0
0
0
0
3,090
2,162
8,337
7,374

7,859
7,774
0
0
0
0
0
0
0
0
80
56
26,81926,710

151
150
0
0
0
0
0
0
0
0
58
41
3,009
2,990

other central banks
Secured cash

retained

2016/6/30
2016/6/30

Pre-Haircut
Post-Haircut
Pre-Haircut

Cash deposited atinitial and

Pre-Haircut

deposited atmargin)4.3.4

deposited at

4.3.5
4.3.6
4.3.7
4.3.8
4.3.9
4.3.104.3.11
4.3.124.3.134.3.144.3.15

Non-cash

Government Bonds - Post-Haircut
Sovereign
Pre-Haircut
Government Bonds - Post-Haircut
Agency Bonds
Pre-Haircut
Post-Haircut
State/municipal
Pre-Haircut
Post-Haircut
bonds
Corporate bonds
Pre-Haircut
Post-Haircut
Equities
Pre-Haircut
Post-Haircut
Commodities - Gold Pre-Haircut
Post-Haircut
Commodities - Other Pre-Haircut
Post-Haircut
Commodities Pre-Haircut
Mutual Funds/UCITs Post-Haircut
Commodities - Other Pre-Haircut
Post-Haircut
In total
Pre-Haircut
Post-Haircut

1

4.4.1Credit Risk Whether the CCP is subject to a minimum "Cover1" or "Cover2"

2015/7/3

2016/6/30

43

2 (4.4.1)The number of expected defaulting

Disclosures requirement in reraqtion to total pre-funded default resources
4.4.2

members is defined as one Clearing

The number of business days within which the CCP assumes it

4.4.3

1day

1day

Member that would potentionally cause the1day largest risk to TFX and several Clearing

will close out default when calculating credit exposures that

Members with the lowest amount of net

would potentially need to be covered by the default fundassets.

The estimated largest aggregate stress loss

Peak day amount(in excess of initial margin) that would bein previous 12

caused by the default of any single

monthsAverage overparticipant and its affiliates (including

47,744

6,425

2,120

20,781

3,085 Index Margin Contracts : 1member

The number of business days, if any, on(4.4.3～4.4.6, 4.4.7～4.4.10)The estimatedNo. of days

0day

17days1day

which the above amount (4.4.3) exceeded

388

5,502
4,099
3,191
3,181
3,171
3,037
2,582
2,574
1,563
1,502
961
698
693
446
221
174
123
19,032in previous 12
Average over2

74

The estimated largest aggregate stress loss

previous 12
Peak day amount--- years.

(in excess of initial margin) that would bein previous 12---

pre-funded default resources

The actual largest aggregate credit exposure Peak day amountto any single participant and its affiliates

4.4.7

caused by the default of any two participants months
Average overand their affiliates (including transactions

4.4.8"ELL") is calculated on the basis of the
TFX defines in 4.4.1

The amount in 4.4.3 which exceeded actual

4.4.6

largest aggregate stress loss (here in after
number of expected defaulting members

actual pre-funded default resources
4.4.5

3members / Exchange Forex Margin
Contracts : 2members / Exchange Equity

transactions cleared for indirect participants) previous 12
monthsin extreme but plausible market conditions
4.4.4

Interest Rate Futures Contracts :

3,300

275
- (4.4.1～4.4.10)The ELL calculated in this- section is based on the historical data for six- months since July 2015 in which TFX has- revised the Financial Resources Framework.
- (4.4.4～4.4.5)With regard to Exchange
Forex Margin Contracts and Exchange
Equity Index Margin Contracts, TFX has
adopted the Financial Resources- Framework, where at least 60% of the ELL- should be prepared by the actual prefunded- default resources for the first year. 4.4.4- and 4.4.5 shows the number of business- days, if any, on which the 60% of the ELL- exceed the actual prefunded default
1,457
resources and the exceeded amounts.
15

cleared for indirect participants) in extreme

previous 12

but plausible market conditions

monthsThe number of business days, if any, on

No. of days

-

-

-

The amount in 4.4.3 which exceeded actual

The top fivepre-funded default resources

amount

-

-

-

-

-

-

TFX will raise the ratio of the prefunded
default resources up to 100% within fivewhich the above amount (4.4.3) exceeded
actual pre-funded default resources
4.4.9

The actual largest aggregate credit exposure Peak day amount4.4.10to any two participants and theirits affiliates

in previous 12
monthsAverage overprevious 12
monthsPrinciple 5 Collateral
Frequency

Disclosure
Disclosure Description

Ref.No.
5.1.1

Collateral

Assets eligible, and the Initial margin

Clearing Service

Start Date

End Date--

respective haircuts
5.2.1

appliedPre-funded participant contributions to

5.3.1

Results of testing of

the default resources
Confidedce interval targeted through theInterest Rate

Exchange

Exchange

Futures

Forex Margin

Equity Index

Contracts
Contracts
Marginhttp://www.tfx.co.jp/en/rules/document/a1a09_
en.pdfhttp://www.tfx.co.jp/en/rules/document/a7a02_
en.pdf

2016/4/1

2016/6/30

100%

100%

100%

5.3.2

calculation of haircut
Assumed holding/liquidation period for

4days

4days

4days

5.3.3

the assets accepted
Look-back period used for testing the

1year

1year

1year

5.3.4

haircuts
The number of days during the look-

0day

0day

0day

haircuts

back period on which the fall in value
during the assumed holding/liquidation
period exceeded the haircut on an asset

2

Comments

Principle 6 Margin(Unit : Millions of yen)Frequency

Disclosure
Disclosure Description

Ref.No.
6.1.1

Total initial Total initial margin required

House Net

marginClient Gross
Client Net
Total
Pre Haircut
Post Haircut
Pre Haircut
Post Haircut
Pre Haircut
Post Haircut
Pre Haircut
Post Haircut
Pre Haircut
Post Haircut
Pre Haircut
Post Haircut
Pre Haircut
Post Haircut
Pre Haircut
Post Haircut
Pre Haircut
Post Haircut
Pre Haircut
Post Haircut
Pre Haircut
Post Haircut
Pre Haircut
Post Haircut
Pre Haircut
Post Haircut
Pre Haircut
Post Haircut
Pre Haircut
Post Haircut
Pre Haircut
Post Haircut
Pre Haircut
Post Haircut
Pre Haircut
Post Haircut
Pre Haircut
Post Haircut
Pre Haircut
Post Haircut
Pre Haircut
Post Haircut
Pre Haircut
Post Haircut
Pre Haircut
Post Haircut
Pre Haircut
Post Haircut
Pre Haircut
Post Haircut
Pre Haircut
Post Haircut
Pre Haircut
Post Haircut
Pre Haircut
Post Haircut
Pre Haircut
Post Haircut
Pre Haircut
Post Haircut
Pre Haircut
Post Haircut
Pre Haircut
Post Haircut
Pre Haircut
Post Haircut
Pre Haircut
Post Haircut
Pre Haircut
Post Haircut
Pre Haircut
Post Haircut
Pre Haircut
Post Haircut
Pre Haircut
Post Haircut
Pre Haircut
Post Haircut
Pre Haircut
Post Haircut
Pre Haircut
Post Haircut
Pre Haircut
Post Haircut
Pre Haircut
Post Haircut
Pre Haircut
Post Haircut
Pre Haircut
Post Haircut

required
6.2.1

Total initial Cash deposited at a

House
House
held - Cash the currency concerned Client
Client
Total
Total
Cash deposited at
House
House
other central banks
ClientClientTotal
Total
Secured cash
House
House
deposited at
Clientcommercial bank
Client
Total
Total
Unsecured cash
House
House
deposited at
Clientcommercial banks
Client
Total
Total
Total initial Sovereign government HouseHouse
marginbonds - domestic
Clientheld - NonClient
cash
Total
Total
Sovereign government HouseHouse
bonds - other
ClientClient
Total
Total
Agency bonds
House
House
ClientClient
Total
Total
State/municipal bonds HouseHouse
ClientClientTotal
Total
Corporate bonds
House
House
ClientClient
Total
Total
Equities
House
House
ClientClientTotal
Total
Commodities - Gold
House
House
ClientClientTotal
Total
Commodities - Other
House
House
ClientClient
Total
Total
Mutual funds / UCITｓ HouseHouse
ClientClient
Total
Total
Other
House
House
ClientClient
Total
Total
Total initial Total
House
House
marginClientheld
ClientTotal
Total
margin

6.2.2

6.2.3

6.2.4

6.2.5

6.2.6

6.2.7

6.2.8

6.2.9

6.2.106.2.11

6.2.126.2.136.2.146.2.15

central bank issue ofClearing Service

Start Date

End Date

2016/6/30

2016/6/30

3Interest Rate

Exchange

Exchange

Futures

Forex Margin

Equity Index

Contracts

Contracts

MarginComments

1,094

14,0642,009 (6.1.1)"Total initial margin required" of

2,913
4,006
3,013
3,013
4,980
4,980
7,993
7,993

52,273
66,337201,130
201,130
248,221248,221449,351449,351

2,685 TFX_FX and TFX_CFD includes the amount- of variation margin.
4,694(6.1.1～6.2.15)Initial margin deposit for
TFX_FX and TFX_CFD is deposited only by
JPY cash.
- (6.2.3)"Secured cash deposited at- commercial bank" refers to the cash
- deposited at ordinary deposit account or- fixed deposit account in commercial bank,- and it does not incur any loss at thematurity.
19,642
19,64237,02737,02756,66956,66911,874
11,693
2,004
1,962
13,87813,655
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
16,317
11,415367
256
16,684
11,671
31,204
26,121
7,350
7,199
38,55433,319201,130
201,130
248,221248,221449,351449,351

19,642
19,64237,02737,02756,66956,669

6.3.1

Initial

Initial margin rates on individual contracts

marginwhere the CCP sets such rates

-

-

rates

http://www.tfx. http://www.clic(Only availableco.jp/cgi- k365.jp/en/ti00

in Japanese)

bin/param_e.cg

6.shtml http://www.clici http://www.clic k365.jp/cfd/ser
k365.jp/en/ti00 vice/margin.sht
6_02.shtml
6.4.1

InitialType of IM model

2016/6/30

2016/6/30

SPAN® method

marginml

Fixed leverage

Historical (6.4.1)For Transactions by Individual

ratio method

volatility Customers of Exchange FX Marginmodel

method contracts, TFX determines the Margin
Reference Amount based on the maximum
leverage ratio of 25 times as prescribed in

6.4.2

Type of IM model change effective date

1996/4/8

2011/8/1

2013/8/5

6.4.3

IM model name

SPAN®

-

-

6.4.4

IM model name change effective date

-

-

-

6.4.5

Single-tailed confidence level targeted

99%(Note)

99%

6.4.6

Single-tailed confidence level change(Note)(Note)(Note)

6.4.7

Sample/data look-back period for calibrating

6months

Individual

24weeks

the model

Customers：
1week

the relevant laws and regulations.
For Transactions by Trading Members or
non-individual customers,TFX determines
the Margin Reference Amount under the
TFX rules based on maximum leverage ratioof 150 times or 25 times depending on
currency pairs.
(Note)(6.4.5)For Transactions by Individual

Non-individual

Customers of Exchange FX Margin

Customers：

contracts, TFX determines the Margin

4weeksReference Amount based on the maximum

6.4.8
6.4.9

Look back period change effective date
Adjustments or scalars or weighting, if any,

(Note)-(Note)-

6.4.10applied to histrical data
Adjustments change effective dateleverage ratio of 25 times as prescribed in(Note)- the relevant laws and regulations. TFX has
confirmed that the ratio fully covers(Note)(Note)(Note) confidence level of 99% or more in price6.4.11

Close-out/holding periods

1day

1day

1day movement data used in stress test with

6.4.12

Close-out/holding periods effective date

(Note)(Note)(Note) respect to at least three major currency

6.4.13

http://www.tfx.co.jp http://www.clic http://www.click365 pairs (USD/JPY, EUR/JPY, AUD/JPY).
/cgi.jp/cfd/service/mar
k365.jp/en/ti00 gin.shtml
bin/param_e.cgi

IM rates link

6.shtml(Note)(6.4.6, 6.4.8, 6.4.10, 6.4.12, 6.4.15)

http://www.clic

Since TFX adopted the Financial Resources

k365.jp/en/ti00

Framework in July 2015, those parameters

6_02.shtml

are reviewed once a year as part of thevalidation of overall risk management

6.4.14Frequency of parameter reviews

monthly

Individual

weekly framework.

Customers：
weeklyNon-individual
Customers：
monthly
6.4.15Frequency of parameter reviews change(Note)(Note)

2

16(Note)

effective date
6.5.1.1

Results of

Number of times over the past 12 months

back-that margin coverage held against any

2015/7/1

2016/6/30

10 (Note)(6.5.4)Peak that margin coverage
held against a clearing member fell below

testing ofaccount fell below the actual marked-to-

the actual marked-to-market exposure of

initialmarket exposure of that member account -that member account - based on daily

marginbased on daily back-testing results

back-testing results.

6.5.1.2

Frequency of daily back-testing result

daily

daily

6.5.1.3

measurements
Time of daily back-testing result if measured

17:00:00

6:00:00

6.5.2
6.5.3
6.5.4

once a day
Number of observations
Achieved coverage level
Where breaches of initial margin coverage

6:00:00 held against a clearing member fell below
the actual marked-to-market exposure of

245days99.2%
379

261days
93.9%
14,656261days that member account - based on daily
96.2% back-testing results.
1,351

78

1,120

158

127

12,281

845

547

104,579

5,366

149

10,072

48

Peak

daily

have occurred, report on size of uncovered
exposure; Peak size
6.5.5

Where breaches of initial margin coverage

Averagehave occurred, report on size of uncovered
exposure; Average Size
6.6.1
6.7.1
6.8.1

Total

Average Total Variation Margin Paid to the

Average

Variation

CCP by participants each businessMaximum total variation margin paid to the

PeakMargin2016/4/1

2016/6/30

CCP on any given business day over the
Maximum aggregate initial margin call on
any given business day over the period

4(Note)(6.5.5)Average that margin coveragePrinciple 7 Liquidity Risk

(Unit : Millions of yen)Frequency

Disclosure
Disclosure Description

Ref.No.

Clearing Service

Start Date

End Date

2016/6/30

2016/6/30

Interest Rate

Exchange

Exchange

Futures

Forex Margin

Equity Index

Contracts

MarginContracts
7.1.1

Liquidity

Liquidity Risk that are

Number of expected

Risk

covered by liquid

defaulting members

resources
Size and composition

Cash deposited at aof qualifying liquid

central bank of issue

Members with the lowest amount of net

resources for eachof the currency

assets.

clearing service

concerned

Interest Rate Futures Contracts :

7.1.2

4

3

Comments

2 (7.1.1)The number of expected defaulting
members is defined as one Clearing

00

Member that would potentially cause the0 largest risk to TFX and several Clearing

3members / Exchange Forex Margin

7.1.3

Cash deposited at

0

0

7.1.4

other central banks
Secured cash

0192,271

34,847 Index Margin Contracts : 1 member.

00(7.1.4)"Secured cash deposited at
0 commercial bank" refers to the cash

0Contracts : 2members / Exchange Equity

deposited atcommercial banks
7.1.5

Unsecured cash
deposited at

deposited at ordinary deposit account orcommercial banks

fixed deposit account in commercial bank,Secured committed

7.1.6

0

0

0

lines of credit
including committedwith several commercial banks designatedswaps andcommitted repos
Unsecured

7.1.8

committed lines ofHighly marketablematurity.
(7.1.7)The liquidity supply facilities are set

foreign exchange

7.1.7

which does not incur any loss at the

29,0000

as the Settlement Banks and TFX can utilize
0 the funds within the same day upon taking

0

0

0

0

0

0

collateral held inprocedural steps provided in the applicableagreements.

custody andinvestments that arereadily available andconvertible into cashwith prearranged
and highly reliable
fundingarrangements evenin extreme but
plausible market
conditions
other

7.1.9
7.1.10State whether the CCP

None.

has routine access tocentral bank liquidity
or facilities
7.1.11

Details regarding the

Any applicable rule,

schedule of payments

policy, procedure,

http://www.tfx.co.jp/en/rules/document/a1a08_en.pdf(7.1.10)
TFX has an account at the Bank of Japan foror priority for allocating and governancepayments

settlement purpose.

arrangement aroundsuch decision
making

7.2.1

Supplemen Size and composition
taryof any supplementaryliquidityliquidity risk resources

-

-

risk
resources

5

6,284

7.3.1Liquidity

Estimated largest

SameDayPayment

SameDayPayment

Risksame-day and, where

IntraDayPayment_Totalrelevant, intraday andMultiDayPayment

multiday payment

IntraDayPayment_

obligation ("ELPO") in

Total

total that would be

MultiDayPayment_

caused by the default

Totalof any single

SameDayPayment
IntraDayPayment
MultiDayPayment

participant and its
affiliates in extreme

7.3.2

but plausible market
conditions

2015/7/3

2016/6/30

Number of business

3,631

56,785

10,622

-

-

-

-

-

-

3,631
0

56,7850

10,622
0

0

0

0

565

14,928

4,825

-

-

-

-

-

-

565
-

14,928---days, if any, on
which the above
amount exceeded its
qualifying liquid
resources
Number of business

7.3.3

days, if any, on
which the above
amount exceeded its
qualifying liquid
resources
7.3.4

Actual largest intraday and multiday

SameDayPayment

payment obligation of a single participant_Totaland its affiliates

IntraDayPayment_(Peak day amount)

Total(Note)

MultiDayPayment_
Total
SameDayPayment
IntraDayPayment
MultiDayPayment

7.3.5

Estimated largest

SameDayPayment

same-day and, where

IntraDayPayment

relevant, intraday andMultiDayPayment

multiday payment

7.3.6

obligation in eachrelevant currency thatwould be caused by
the default of any
single participant andits affiliates

7.3.7

Number of business(Note)(7.3.4)The ELPO is calculated as the
maximum for six months since July 2015 inwhich TFX has revised the Financial
4,825
Resources Framework.
-- (7.3.5～7.3.7)TFX does not make a foreigndays, if any, on

exchange settlement.

which the above
amounts exceeded
its qualifying liquid
resources(Peak day amount inReport the number

previous 3 months)of business days, if

-

-

-

any, on which theabove amounts
exceeded its
qualifying liquid
resources
Principle 13 Default rules and Procedures
Disclosure
Disclosure Description

Ref.No.

Frequency

Clearing Service

Start Date

End Date

2016/4/1

2016/6/30

Interest Rate

Exchange

Exchange

Futures

Forex Margin

Equity Index

Contracts
13.1.1

Quantitativ Quantitative information related to defaults;

Margin

-

-

-

-

-

-

e
13.1.2

Amount of loss versus amount of initial
information Quantitative information related to defaults;

Contracts

Comments

related to

Amount of other financial resources used todefaults

cover losses

13.1.3.1

Quantitative information related to defaults;

-

-

-

13.1.3.2

Proportion of client positions closed-out
Quantitative information related to defaults;

-

-

-

13.1.4

Proportion of client positions ported
Quantitative information related to defaults;

-

-

-

Appropriate references to other publishedmaterial related to the defaults

6

Principle 14 Segregation and Portability
Disclosure
Disclosure Description

Ref.No.
14.1.1

Total Client Total Client Positions held in individually
Positions14.1.2Frequency

Clearing Service
Interest Rate

Exchange

Exchange

Forex Margin

Equity Index

Comments

Start Date

End Date

Futures

2016/6/30

2016/6/30

Contracts
0%

Contracts
100%

Margin
100%

100%

0%

0%

0%

0%

0%

0%

0%

0%

segregated accounts
Total Client Positions held in omnibus clientonly accounts, other than LSOC accounts

14.1.3

Total Client Positions held in legallysegregated but operationally comingled(LSOC) accounts
Total Client Positions held in comingled

14.1.4house and client accounts
Principle15 General Business Risk

(Unit : Millions of yen）
Disclosure
Disclosure Description

Ref.No.
15.1.1

Financial

Value of liquid net assets funded by equity

Frequency

Clearing Service

Start Date

End Date

2015/4/1

2016/3/31

Interest Rate

Exchange

Exchange

Futures

Forex Margin

Equity Index

Contracts

Contracts

MarginComments

16,966 (15.1.2) Six months of current operating

items

expenses after subtracting the following

15.1.2Six months of current operating expenses

15.2.115.2.215.2.315.2.415.2.515.2.6

Total Revenue (Operating revenue)
Total Expenditure (Operating expenditure)
Profits
Total Assets
Total Liabilities
Explain if collateral posted by clearing

1,684 items.
1. The amount of depreciation expence.
2015/4/1

2016/3/31

participants is held on or off the CCP's

9,316 2. The amount of incentive program fees
9,158 (4,158 million yen). Trading service fees
158 received from Market Maker include the559,647 incentive program fees (4,158 million yen)
538,379 to be passed through trading members.
(Note) Both Total revenue and Total expenditureon the Financial Statements include thebalance sheet
15.2.7

Additional items as necessary

15.3.1

Percentage of total income that comes fromincentive program fees.
2015/4/1

2016/3/31

87.89%

fees related to provision of clearing services(Note)（15.2.6）Cash collateral is held on
the balance sheet. Non-Cash collateral isheld off the balance sheet.
（15.3.1）Trading service fees include
clearing service fees.

15.3.2

Percentage of total income that comes from4.80%

the reinvestment (or rehypothecation) ofassets provided by clearing participants

7

Principle 16 Custody and Investment Risks(Unit : Millions of yen）
Frequency

Disclosure
Disclosure Description

Ref.No.

Clearing Service
Interest Rate

Exchange

Exchange

Futures

Forex Margin

Equity Index

Contracts

Contracts

MarginComments

Start Date

End Date

2016/6/30

2016/6/30

7,993

449,351

56,6692016/6/30

2,016
100%

16,072100%

2,007
100% （16.2.4）"Secured : as cash deposits at

16.1.1

Total cash

Initial margin

16.1.216.2.1

received
How theDefault fund, received from participants
Percentage of this total participant cash held

total cash

as cash deposits
Percentage held : as cash deposits at central

0%0%commercial banks" refers to the cash
0% deposited at ordinary deposit account orbanks of issue of the currency deposited
Percentage held : as cash deposits at other

0%

0%

0%

100%

100%

100%

0%

0%

0% participants is deposited at ordinary deposit
account in commercial banks.

16.2.216.2.3

receivedfromparticipants

2016/6/30

fixed deposit account in commercial bank,which does not incur any loss at thecentral banks
Percentage held : as cash deposits at

Secured (includingcommercial banks

through reverse

16.2.5Percentage held : as cash deposits at

repo)
Unsecured

16.2.6commercial banks
Percentage held : as cash deposits in money

0%

0%

0%

16.2.7

market funds
Percentage held : as cash deposits in other0%0%(16.2.10～16.2.20) All cash received from
0% participants is deposited at commercial

16.2.8forms
Percentage split by currency of these cash

100%

100%

100%

100%
(Note)

100%
0.47years

100%
0.47years

Domestic

-

-

-

Other

-

-

-

16.2.4is held /deposited /investeddeposits
Percentage held as cash deposits
Weighted average maturity of these cash

16.2.9deposits and money market funds
Percentage of this total participant cash

16.2.10maturity.
(Note）(16.2.9) All cash received from

Local currency,

banks, and it's not invested in securities.

JPY

invested in securities
16.2.11Percentage invested in : sovereign
government bonds

16.2.1216.2.1316.2.1416.2.15
16.2.16

Percentage invested in : agency bonds
Percentage invested in : state/municipal
Percentage invested in : other instruments
Percentage split by currency of theseWeighted average maturity of these

-

-

-

16.2.17
16.2.18

securities
Estimate of the risk on the investment
Investment policy sets a limit on the

-

-

-

proportion of the investment portfolio that
may be allocated to a single counterparty,
and the size of that limit
16.2.19

Number of times over the previous quarter in

-

-

-

16.2.20

which this limit has been exceeded
Percentage of total participant cash held as

0%

0%

0%

-

-

-

16.3.1securities
Rehypothec Total value of participant non-cashation of16.3.2
16.3.316.3.4

participant
assets

Initial margin

2016/6/30

2016/6/30

rehypothecatedTotal value of participant non-cash

Default fund

-

-

-

rehypothecatedMaturities
Maturities

Initial margin
Default fund

-

-

-

(16.3) Participant assets are notrehypothecated by TFX.

Principle 17 Operational Risk
Frequency

Disclosure
Disclosure Description

Ref.No.
17.1.117.2.1
17.3.1
17.4.1

Operational Operational availability target for the coreavailability

systems involved in clearing over specified

target forperiod for the system
Actual availability of the core systems
Total number of failures
Recovery time objectives

the coresystems

Clearing Service
Interest Rate

Exchange

Exchange

Futures

Forex Margin

Equity Index

Contracts

Contracts

MarginStart Date

End Date

-

-

100%

100%

100%

2015/7/1

2016/6/30

-

-

100%
0
2hours100%02hours100%02hours8

Comments

Principle 18 Access and Participation Requirements
Frequency

Disclosure
Disclosure Description

Ref.No.
18.1.1.1

Number of

General clearing members

18.1.1.2
18.1.1.3
18.1.2.1
18.1.2.2
18.1.2.3
18.1.2.4
18.1.3.1
18.1.3.2
18.2.1clearing

Direct clearing members
Others category
Central bank participants
CCP participants
Bank participants
Other participants
Domestic participantsForeign participants
Fewer than 25
Largest five18.2.218.2.318.3.1
18.3.218.3.318.4.1

membersOpen
position

members
concentrati 25 or more members

members
Largest fiveonmembers
Largest ten

Initialmarginmembers
concentrati 25 or more members

members
Largest fiveonmembers
Largest ten

18.4.3

members
Largest five

Segregated Fewer than 25
default

18.4.2

members
Largest five

Fewer than 25

fund

members
25 or more members

concentrati
on

Peak
AveragePeak
AveragePeak
AveragePeak
AveragePeak
AveragePeak
Average

Clearing Service
Exchange

Exchange

Start Date

End Date

Futures

Forex Margin

Equity Index
Margin2016/6/30

Contracts
30

Contracts

2016/6/30

2016/4/1

2016/6/30

2016/4/1

2016/6/30

2016/6/30

2016/6/30

Interest Rate

Comments

0

0

0
0
0
0
13
17
29
1
61%
56%
90%
86%
63%
62%
84%
82%

22
0
0
0
4
18
20
2
80%
79%
84%
83%
-

13
0
0
0
0
13
13
0
83%
81%
77%
75%
-

-

86%

80%

members
Largest five

30%

-

-

members
Largest ten

51%

-

-

members

Principle 19 Tiered Participation Arrangements
Frequency

Disclosure
Disclosure Description

Ref.No.

Clearing Service

Start Date

End Date

2016/4/1

2016/6/30

Interest Rate

Exchange

Exchange

Futures

Forex Margin

Equity Index-

Contracts
739,101

Margin54,886

30

17

12

98%
86%
100%
100%

87%
79%
-

89%
83%
-

Contracts
19.1.1

Measures

Number of clients (accounts)

19.1.2ofNumber of direct menbers that clear for19.1.3.1
19.1.3.2
19.1.4.1
19.1.4.2

concentrati clientson of client Percent of client
clearing

transactions

Attributable to the
top five clearing
Attributable to the
top ten clearing

Peak
AveragePeak
Average

Principle 23 Disclosure of Rules, Key Procedures, and Market Data

(Unit : Millions of yen）
Frequency

Disclosure
Disclosure Description

Ref.No.

Clearing Service
Interest Rate

Exchange

Exchange

Start Date

End Date

Futures

Forex Margin

Equity Index

23.1.1MarketAverage daily volumes

2016/4/1

2016/6/30

Contracts
8,254lots

Contracts
167,324lots

Margin23,164lots

23.1.223.2.1data

Average notional value of trades cleared
Gross notional outstanding/total settlement

2016/6/30

2016/6/30

825,502
18,817,090

169,982
1,198,781

36,839277,928

Interest Rate
Futures/

FX
Forex

Equity Index
CFD

value of novated but not-yet settled
23.2.223.2.3securities transactions
Asset class
Product type23.2.4

Product code

23.3.1

Average daily volumes submitted by

23.3.2

Execution facility or matching/confirmation
Notional contract values submitted byComments

Bloomberg
Reuters
2016/4/1

2016/6/30

OptionYEA
0#JEY
8,254lots
825,502

Execution facility or matching/confirmation

9

0#TFXFX TFX/CFD/INDEX
167,324lots
23,164lots
169,982

36,839Comments