Outline for Margin Regulations (Interest Rate Futures contracts)
TFX Mar 20, 2014
TFX Revised Mar 20, 2023
Item
1.

Description

Remarks

Margin relating tocustomers’ trade(1) Margin Placed or  When a Customer intends to give an order for Three-month TONA futures or
DepositedbyThree-month Euroyen futures (hereinafter collectively called “Future contracts”) andCustomerThree-month TONA futures option contracts (hereinafter called “Option contracts”),
which are listed on the TFX, the Customer shall establish a transaction account forInterest Rate Futures transactions (hereinafter called “Interest Rate Futures
Transactions Account”) and place or deposit margin with the Trading Member as set
forth in the following items.
① Margin
Requirement

 A “margin requirement” to a customer shall be the SPAN Margin Requirement (※)
adjusted by the option value (if the option value is greater than zero, such option
value shall be subtracted from the SPAN Margin Requirement and (ii) if the option
values is less than zero, the absolute value of such option value shall be added to the
SPAN Margin Requirement. The same shall apply hereafter in calculating margin
requirement).
※ In this case, “SPAN Margin Requirement” means the Yen amount calculated by
SPAN® with respect to the Customer account position at the close of day sessionof each trading day.
 An “option value” means the sum of a＋b.
a. The sum of the value of each long position, as calculated by reference to thefollowing formula with respect to each series:
2,500 Yen x Daily Settlement Price of the relevant trading day / 0.01 x trading
volumeb. The sum of the value of each short position, as calculated by reference to the1 SPAN®（stands for Standard Portfolio Analysis ofrisk）is a method for calculation of margin amounts
developed by CME (Chicago Mercantile ExchangeInc.) .
 In the method of SPAN®, margin amount iscalculated based on each market participant's
position, i.e., the risk inherent in the overall
portfolio of that market participant.
 SPAN® used herein is a registered trademark of
CME and used herein under license. CME assumes
no liability in connection with the use of SPAN® by
any person or entity.
 Daily settlement prices for Three-month TONA
futures option contracts shall be theoretical prices
designated by the Exchange.

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following formula with respect to each series:▲2,500 Yen x Daily Settlement Price of the relevant trading day / 0.01 x
trading volume② Adjusted margin  An “adjusted margin requirement” means the margin requirement adjusted by therequirement
unrealized profit and loss, wherein (1) if there is an unrealized profit, that amountequivalent to the unrealized profit shall be subtracted from the margin requirementand (2) if there is an unrealized loss, that amount equivalent to the unrealized loss
shall be added to the margin requirement.
 An “unrealized profit and loss” means the following an “unrealized loss” and an“unrealized profit” collectively.
a. An “unrealized loss” means the loss arising from fluctuations of the market
price for the Future contracts.
b. An “unrealized profit” means the profit arising from fluctuations of themarket price for the Future contracts.

 A “deposited margin” means the sum of the amount of cash (including the amount of  In calculating deposited margin, eligible securities,
cash a customer transferred to margins when an unrealized profit has accrued on an
etc. are valued based on its market price as of theunsettled Interest Rate Futures contract based on the Customer’s order) and the value
business day immediately preceding the businessof the negotiable securities placed or deposited by Customer with the Exchange as
day on which deposited margin is calculated.
Margin for Future contracts or Option contracts.
or  If a Customer’s deposited margin falls short of the adjusted margin requirement on
any trading day, the concerned Trading Member shall notify the Customer of theamount according to the classifications specified below. In this case, the Customer
shall place or deposit a sum not less than the notified amount with the Trading
Member as margin.
a. If the cash deficiency is less than the difference between the adjusted margin A “cash deficiency” in Margin means the absolute
requirement and the deposited margin, the amount of the cash deficiency shallvalue of the difference between the amount of③ Deposited margin④ Placing
Depositing
Margin An “unrealized profit and loss” shall be calculated
by adding (or subtracting) all profit or loss arisingfrom all positions of the Future contracts (including
those traded on that trading day).

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be placed or deposited.
b. If the cash deficiency is greater than the difference between the adjusted
margin requirement and the deposited margin, the amount of the cash
deficiency shall be placed or deposited.

Margin already placed or deposited in cash and theamount of the unrealized loss; provided, however,
that, if the placed of deposited amount of Margin isgreater than the amount of the unrealized loss, thenthe cash deficiency shall be zero.

⑤ Period for placing  The Customer shall place or deposit the above mentioned amount with the Exchangeordepositing
not later than the time and date designated by the Trading member, which date shallMarginfall before the second business day following the business day on which there occurs
the day session of the trading day on which such cash deficiency occurred.
⑥ Eligible securities  A Customer can place or deposit securities as substitute for cash margin.
etc.
forcash  The kinds of securities, etc. eligible for placement or deposit by Customer as
marginmargins shall be designated by the Exchange.

 The value of the placed or deposited eligible
securities shall be calculated based on the market
price on the date immediately preceding the date on
which such securities placed or deposited.

by  When a Customer is intermediate broker (toritsugisya), it is required to indicate thesaid effect and whether the margin the intermediate broker shall place are placed byofferor (moshikomisya) or, as substitute for it, placed by cash or eligible securities
the intermediate broker holds after obtaining offeror’s approval.

 Offeror (moshikomisya) is a person offering for theintermediation of ordering of transactions to a
Trading Member.
 Intermediate broker (toritsugisya) is a person
accepting offer for intermediation of ordering ofMarket Transactions from an Offeror to a Trading
Member.

⑧ Limit of drawing  A Trading Member shall not allow a Customer to draw cash or eligible securities,
marginetc. placed or deposited by it as margin based on the Customer’s order, except when
the amount of the placed or deposited margin is greater than the adjusted margin
requirement.

 The permissible amount of drawing in cash shall belimited to the amount of the margin already placedor deposited in cash as margin less the amount of
the unrealized loss.

⑦ Indicationintermediate
broker3

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Remarks⑨ Paymentof  Where an unrealized profit has accrued on an unsettled Interest Rate Futures contract  A Trading Member shall manage an unrealized
Unrealized Profit
based on a Customer’s order by a fluctuation in the future market, if the amount of
profit not paid out to a customer separately fromor Transfer ofmargin deposited by the Customer becomes greater than the adjusted margin
other assets in the same manner as other assets on
Unrealized Profit
requirement, the Trading Member can pay out in cash or transfer to the margin an
deposit.
to Marginamount up to the difference between the deposited margin and the adjusted margin
requirement or the amount of the unrealized profit, whichever is smaller to thecustomer according to the Customer’s request without delay.
(2) Exchange Margin
Trading Member
shall deposit① Depositof  If a Trading Member receives an Exchange Margin from a Customer, the Trading
Exchange Margin
Member shall be required to deposit the same with the Exchange (such manner ofindirectdepositing being hereinafter called “direct deposit”) as agent for the Customer.
depositing
 However, if a Customer who is obliged to deposit an Exchange Margin fails todeposit all or part of such margin with a Trading Member, the Trading Member may
deposit Exchange margin from its own property on behalf of the Customer, in an
amount not less than the amount of Exchange Margin, at any time but in no caselater than 3 business days after the date of its receipt of the same Exchange Margin
from such Customer.
② Depositof  If a Trading Member receives a Customer margin from its Customer with such
Exchange Margin
Customer’s prior consent to the depositing by way of replacement deposit (asinreplacement
defined below) having been obtained, the Trading Member shall deposit andeposit
Exchange margin with the Exchange from its own property as agent for that
Customer, in an amount not less than the amount of the said Customer Margindeposited with it (such manner of depositing being hereinafter called “replacement
deposit”)

4 The Trading Member shall be required to deposit or
draw an Exchange Margin from a Customer with
the Exchange as agent for the Customer.

 When a Trading member deposits cash or securities,
etc. held by the Trading member with the Exchange
as Exchange Margin in regard to an Interest Rate
Futures contracts as replacement for the cash or
securities deposited by the customer, margindeposited with the Trading Member by thecustomer shall be treated as Customer Margin.

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 The Trading Member who received depositing of
the Customer Margin shall manage the sameseparately from its own property.

③ Trading Member’s  If a Trading Member who is required to deposit an additional amount of Exchange
Advanced
Margin has yet to receive the corresponding Exchange Margin or Customer Margin
Depositingoffrom the Customer, the Trading Member shall deposit the Exchange Margin in an
Exchange Margin
amount not less than the requisite amount thereof or an amount by which the
Exchange Margin required to be deposited with respect to such Customer then falls
short of, from its own property on behalf of such Customer.
2. The Exchange Margin
for its house account(1) Margin Margin requirement for house account position shall be the SPAN Margin
requirement
Requirement with respect to financial futures and option trading for house accountadjusted by the option value.
(2) Eligible securities  The Exchange margin for house account may be deposited in the form of eligible
for the exchange
securities.
margin TFX shall determines the kinds of the eligible securities.
(3) Depositing
Additional Margin3.

 A Trading member shall report to the customer
the state of replacement deposit according to arequest by the customer.

 TFX shall inform each Trading Member of the
Margin requirement for house account position via
clearing terminal device after the close of theevening session.
 A way of evaluating eligible securities is same as
one of evaluating Exchange margin placed ordeposited by a Customer.

 Each Trading Member shall deposit with the Exchange an Exchange Margin in theamount not less than the margin requirement applicable to the house account.

Exchange Margin for  Trading Member with respect to whom a provisional account position arises shall
Provisional Accountdeposit with the Exchange an amount not less than the margin requirement
Position
applicable to such provisional account position as Exchange Margin, together with
the Exchange Margin for its house account positions.

5 “Provisional account position” means a position
taken for the account of a financial futures contract
executed on a certain trading day, with respect towhich any of the matters specified in Items below
failed to be notified to the Exchange by 5:00 p.m. of

Item

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the business day on which the trading day’s day
session falls.
(1) account type (house/Customer)(2) Notification made by the Carrying Member
with respect to a financial futures contract or
option contract subject to give-up(3) Any items to be designated by the Exchange
out of the items that a Trading Member isallowed to designate at its discretion in the
Clearing System.

4.

A way of depositing
the Exchange Margin(1) TheExchange  When a Clearing Member has executed a futures contract or option contract in its
Margin Deposited
own name, the Clearing Member shall deposit the stated amount of Exchange
byaClearing
Margin or the amount at which the Exchange Margin already deposited by it withMemberthe Exchange becomes thereby insufficient, if any, as the Exchange Margin, by
11:00 a.m. of the business day immediately following the business day on which the
day session for such Interest Rate Futures contract takes place or such deficiency
arises, as the case may be.

(2) TheExchange  A Non-Clearing Member shall place or deposit the stated amount of Exchange
Margin Deposited
Margin, Non-Clearing Member Margin and Customer Margin with its Designatedby a Non-Clearing
Clearing Member.
Member In case where a Non-Clearing Member is required to deposit an Exchange Margin, it
shall cause its Designated Clearing Member to deposit such Exchange Margin with6

 If a Non-Clearing Member fails to deposit all orpart of the Exchange Margin, the Designated
Clearing Member may deposit from its own
property an amount not less than the amountrequired to be deposited as the said Exchange Marinon behalf of such Non-Clearing Member, until thebusiness day immediately following the day on
which such Non-Clearing Member deposited the
Exchange Margin with such Designated Clearing
Member.

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the Exchange as its agent.
(3) Separate
 A Clearing member shall deposit an Exchange margin with the Exchange in
Depositing by aaccordance with the classifications specified as follows.
Clearing Member① Those deposited for Clearing Member’s house account② Those deposited for the accounts of Clearing Member’s Customer by way of
direct deposit③ Those deposited for the accounts of Clearing Member’s Customer by way of
replacement deposit (except those set forth in item ④)④ Those deposited for the accounts of Clearing Member’s Customer by way of
replacement deposit by the intermediate brokers⑤ Those deposited by way of direct deposit for house accounts of Clearing
Member’s affiliated companies⑥ Those deposited for house accounts of Clearing Member’s authorized
affiliates by way of replacement deposit⑦ Those deposited for Non-Clearing Member’s house account by way of direct
deposit⑧ Those deposited for Non-Clearing Member’s house account by way of
replacement deposit (deposited by a Clearing Member on behalf of such
Non-Clearing Member)⑨ Those deposited for the accounts of Non-Clearing Member’s Customer
accounts by way of direct deposit⑩ Those deposited for the accounts of Non-Clearing Member’s Customer by
way of replacement deposit (except those set forth in Item ⑪)⑪ Those deposited for the accounts of Non-Clearing Member’s Customer by
way of replacement deposit by the intermediate brokers⑫ Those deposited by way of direct deposit for house account of Non-Clearing
Member’s authorized affiliates

7 “Authorized affiliates” means Clearing Member’s
affiliated companies which shall be separately
designated by the Exchange.

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Remarks⑬ Those deposited by way of replacement deposit for house account of
Non-Clearing Member’s authorized affiliates(4) Separate Placing or  A Non-Clearing Member shall place or deposit the stated amount of Exchange
Depositing by a
Margin, Non-Clearing Member Margin and Customer Margin with its Designated
Non-Clearing
Clearing Member in accordance with the classifications set forth in Items ⑦
Memberthrough ⑬ above.
5.

Intradayadditional
margin(1) Deposit of Intraday  In case where the sum of the amount of an Exchange Margin for its house accountadditional Margin
positions deposited by a Trading Member falls short of the amount notified by the
Exchange as the required amount of Exchange Margin as of 12:00 a.m. of thebusiness day on which the Trading Member receives an intraday additional margin
call notice, the Trading Member shall deposit with the Exchange an amount not lessthan such shortfall as intraday additional margin.

(2) Therequired  The required amount of Intraday additional Margin shall be the sum obtained by: (1)amount of Intraday
firstly, calculating the Yen amount by SPANⓇ with respect to the Trading member’s
additional Margin
house account positions as of 12:00 a.m. of the business day on which the intraday
additional margin call notice is given to the Trading Member，(2) secondly, adjusting
the SPANⓇ Margin Requirement thus obtained with the option value relevant to thesaid house account positions and (3) finally, adding the absolute value of the sum of
the amounts obtained in accordance with Items (a) and (b) below, to the extent thatsuch sum is less than zero (in such case, the absolute value of the amount obtained inaccordance with Item below shall be added only when such amount is less than8

 If an event falling under the criteria set by TFX
occurs on any trading day, the Exchange shallpromptly notify all the Trading Members of an
intraday additional margin call between 11:25 a.m.
to 12:00 a.m. of the business day on which thetrading day’s day session falls.
 Intraday additional margins shall be deposited with
the Exchange as Exchange Margins.

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Remarkszero) :
 With respect to the financial futures contract executed with respect to the Trading
Member’s house account position after the commencement of the evening session
for the trading day on which the intraday additional margin call notice is given up
until 12:00 a.m. of the same trading day, (a) difference between the contract priceand Intraday Settlement Price, and (b) total amount of the option premiums
receivable by the Trading Member minus the total amount of the option premiums
payable by the Trading Member.
 In regard to positions with respect to which any of the information set forth inremarks of “3. Exchange Margin for Provisional Account Position” hereof remains
not advised to the Exchange as of 12:00 a.m. of the business day on which the
Trading Member receives an intraday additional margin call notice, the amountcalculated in a manner similar to the above shall be added to the required amount ofIntraday additional margin.
 Intraday additional margin may be deposited in the form of the eligible securities.
(3) Shortfall
as  Trading Member shall deposit with the Exchange an amount not less than such
intraday additional
shortfall as intraday additional margin in the manner prescribed by 3:30 p.m.
margin The originals of this outline of rules have been prepared in the Japanese language only and the Japanese language texts shall govern for all purposes and in all respects.
Accordingly, all questions that may arise within or without courts of law in regard to the meaning of the words, provisions and stipulations of the rules, regulations andagreements shall be decided in accordance with the Japanese language texts. Whilst reasonable care has been taken to ensure that these translations are accurate and freefrom errors, no liability is accepted by TFX in any circumstances.

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