Reference Translation*: Outline of “FX Clearing Scheme”
April 2021
Tokyo Financial Exchange, Inc.

Items
I.

PurposeDescription
・ The market of OTC Foreign Exchange Margin Transaction (hereinafter called “FX Margin

Remarks・

FX Cover Deal means “Cover Deal”

Transaction”) in Japan has become the largest of the world. With the growth of thedefined in Article 94.1. of the Cabinet

market, the volume of FX Cover Deal by financial instruments firm (hereinafter called “FX

Office Order on Financial Instruments

broker”) has also increased.

Business (Cabinet Office Order No.52

・ In general, FX Cover Deal means an OTC transaction executed between a FX broker andof 2007, hereinafter Business COO)a financial institution (or a liquidity provider to the FX broker) to reduce losses incurredorsimilarforeignby the FX broker which may arise from FX Margin Transaction vis-a-vis a customer. To

transactions

ensure stable liquidity for such deal, TFX provides Financial Instruments Exchange

reducing possible loss incurred by aMarket to allow execution and clearing of FX Cover Deal as Market Derivatives

FX broker arising from FX Margin

Transactions (i.e. “FX Clearing Scheme”).

Transaction conducted vis-a-vis a

for

the

exchange
purposeofcustomer.
II. Transactions, etc.
1. FX Clearing Futurestransactions

・FX Clearing Futures transactions shall be Market Derivatives Transaction, executed by・ Foreign exchange price means aa method “not involving an individual auction”, comprising the trading members’

trade price of a spot transaction (topromise to pay and receive an amount of money calculated based on the difference

be delivered on the second businessbetween the numerical value of a foreign exchange price upon which the parties agree inday).

advance and the actual numerical value of the foreign exchange price at a fixed time in
the futures.

* Disclaimer: This is an English translation of Outline of “FX Clearing Scheme”, the original of which has been prepared in the Japanese language only. The Japanese
language text hereof 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 thewords, provisions and stipulations of this Outline shall be decided in accordance with the Japanese language text. TFX assume no responsibility for accuracy, correctness,or contents of this English text. This Outline may not be reproduced nor used for any unauthorized purposes, either in whole or in part, without the consent of TFX.
1

Items(1) Types

andDescription

Remarks

・ The types and the financial indices of FX Clearing Futures transactions shall be defined in・ FX Clearing Futures transactions

financial indices

Schedule 1.

shall be Market Transaction of
Derivatives defined in Article 2(21)(ii) of Financial Instruments andExchange Act (Act No.25, 1948,
hereinafter(hereinafter

called“thecalledDerivatives Transaction”).
(2) Daily

Futures・Transactions

FX Clearing Futures contracts shall be such contracts based on the contract days thatare executed during the Market Trading Period (c.f. Ⅱ.6) of a specific trading day (c.f.
Ⅱ.5) or created by a rollover (c.f. Ⅱ.1.(3)) at the close of the Market Trading Period ofa specific trading day’s previous trading day and discharged by Collective Offsetting at
the close of the Market Trading Period of the specific trading day.

・The final settlement date for the position discharged shall, in principal, be the calendar
day on which there occurs the opening of the Market Trading Period of the third trading
day counted from the trading day on which the position has been discharged.

(3) Rollover

・ The discharge and arising of position in the following forms shall be called a “rollover”.
・With respect to a short position or long position subject to the Collective Offsetting at
the close of the Market Trading Period of each trading day, if a difference arises incomparison of the respective total sum of the short position or long position of each typeof FX Clearing Futures transactions (the total sum of the short position shall be referred

2

Act”)
“MarketItemsDescription

Remarks

to as the “Sum of Short Position” and the total sum of the long position shall be referred
to as the “Sum of Long Position” hereinafter), at the close of such Market Trading
Period, and concurrently with the discharge of the positions by the Collective
Offsetting, a position that contains the conditions set forth in each Item below shall
newly arise between TFX and the FX Clearing Futures Clearing Member who held thedischarged position for each type of the FX Clearing Futures transactions with respect
to which such difference arises.
① Price: FX Clearing Settlement Price (c.f. Ⅲ.3.(3)) on such trading day② Contract Day：Immediately following trading day③ Short or long: If, before the Collective Offsetting, the Sum of Short Position is larger
than the Sum of Long Position, short position and, if the Sum of Long Position islarger than the Sum of Short Position, long position④ Amount: Amount equivalent to the difference between the Sum of Short Position and
the Sum of Long Position(4) Swap point

・

If a new position arises under an FX Clearing Futures transaction by rollover, a positive

・ TFX shall determine swap point

or negative calculatory amount obtained in the following manner (hereinafter calledbased on reference value provided“swap point”) shall arise for the purpose of reconciliation of, among other things, theby LP Trading Members （ c.f. Ⅱ ．

difference between the applicable interest rate of the denomination currencies of the2．）.

positions newly arisen according to the type of the FX Clearing Futures transaction inquestion:① Swap point to be received, if long position is held in a currency of a higher interest
rate or a short position is held in a currency of a lower interest rate.

3

ItemsDescription

Remarks② Swap point to be paid, if short position is held in a currency of a higher interest rate
or a long position is held in a currency of a lower interest rate.
・ As for Swap point of Cross Currency Pairs transaction, the calculatory amount in Value・Currency obtained by calculation of FX Clearing variation (c.f. Ⅲ.3. (4)) of each trading

・ Yen Currency Pairs transaction means

day is converted to the Japanese Yen calculatory amount based on FX Clearing

a transaction in which a financial index

Settlement Price of the relevant Yen Currency Pairs transaction with respect to the said

calculated based on the amount of theValue Currency as of the relevant trading day.

Japanese Yen equivalent to one unit

The final settlement date of the swap point that has arisen as above shall be the finalof a foreign currency is traded.

settlement date of the FX Clearing cash settlement of the positions discharged byrollover.

・ Cross

Currency

Pairs

transactionmeans a transaction in which a financial
index calculated based on the amountof a certain

foreign currency(hereinafter called “Value Currency”)
equivalent to one unit of a foreign
currency (hereinafter called “BaseCurrency”) is traded.
2.

FX

Clearing

Futures

Trading・

Members
・

TFX shall provide new qualification required to conduct FX Clearing Futures

・ Prospective

transactions on the FX Clearing Market; “FX Broker Trading Membership” and “LP

Member

Trading Membership”.

broker.

is

FXBrokerso-called

TradingOTC

FXA person holding the FX Broker Trading Membership shall be called “FX Broker Trading

・ Prospective LP Trading Member is a

Member” and a person holding an LP Trading Membership shall be called “LP Trading

financial institution who provides

Member” and they shall be collectively called “FX Clearing Futures Trading Members”.

FX brokers with liquidity for FX

4

ItemsDescription
・

Remarks

Qualification criteria for FX Clearing Futures Trading Members shall be defined in

Cover Deal. “LP” herein means

Schedule 2.

Liquidity Provider.
・ If a firm wishes to hold both FXBroker Trading Membership and LP
Trading

Membership,

separatebusiness operation in respect of thetwomemberships

shall

be

established and maintained.
・

FX

Clearing

Futures

Trading

Members shall hold FX Clearing
Futures Clearing membership (c.f.
Ⅱ.1).
3. Exchange Holiday

・The Exchange Holidays

for FX Clearing Futures transactions shall be Saturdays,

Sundays and January 1.

・ TFX may designate ad hoc holiday
when it deems necessary.

4. Business day

・ A business day shall be a day other than the Exchange Holidays and ad hoc holidays.

5. Trading day

・ A trading day shall be a period commencing at the opening of Market Trading Period thatstart on a specific business day and ending at the close of the Market Trading Period.

6. Market
PeriodTrading(1) Market Trading Period for FX Clearing Futures transactions shall be set forth as below:① Monday・ TFX may temporarily change theMarket Trading Period when it deems

5

ItemsDescription

Remarks

From 7:00 a.m. of a certain calendar day to 7:00 a.m. of the subsequent calendar day(or from 7:00 a.m. of a certain calendar day to 6:00 a.m. of the subsequent calendar
day, during the time when daylight saving time is applied in the State of New York,U.S.A. (hereinafter called “U.S. Daylight Saving Time”)② Tuesday, Wednesday, Thursday and Friday
From 7:00 a.m. of a certain calendar day to 7:00 a.m. of the subsequent calendar day(or from 6:00 a.m. of a certain calendar day to 6:00 a.m. of the subsequent calendar
day, during U.S. Daylight Saving Time).
(2) Notwithstanding the foregoing (1), Market Trading Period for the FX Clearing Futurestransactions of NZD/JPY, NZD/USD, AUD/NZD or NZD/CHF shall be set forth as
below:① MondayFrom 7:00 a.m. of a certain calendar day to 7:00 a.m. of the subsequent calendar day(or from 7:00 a.m. of a certain calendar day to 6:00 a.m. of the subsequent calendar
day, during U.S. Daylight Saving Time)② Tuesday, Wednesday, Thursday or Friday:
From 4:00 a.m. of a certain calendar day (or from 3:00 a.m. of a certain calendar day,during the time when daylight saving time is applied in New Zealand.) to 7:00 a.m. of
the subsequent calendar day (or to 6:00 a.m. of the subsequent calendar day during
U.S. Daylight Saving Time).

6

necessary.

Items7.

Description

Acceptance of Bids

・

Remarks

If an FX Clearing Futures Trading Member submits a bid or an offer after the close of theand Offers for an

Market Trading Period, due to failure in the system of FX Clearing Futures Trading

Unavoidable Cause

Members, delay in the administration pertaining to price quotation or any otherunavoidable cause, TFX may accept such bid or offer for the unavoidable cause.

8. Methodfor

execution , etc.
(1) Method
executionfor・

FX Clearing Futures transactions shall be executed by a method “not involving an

・

An FX Broker Trading Member orindividual auction” when either an offer or a bid submitted by an FX Broker TradinganLP

Trading

Member or an LP Trading Member for its house account matches to a bid or an offer

specify an FX Clearing Futures

corresponding to such offer or bid submitted by an LP Trading Member or an FX Broker

contract

Trading Member designated by the FX Broker Trading Member or the LP Trading

execute to TFX by entering theMember as its counterparty for its house account.

following particulars (and others as

which

Memberit

intends

shallto

TFX deems it necessary) together
with the presentation of a bid or anoffer ： Types
Clearingof

Exchange

Futures

FX

contracts;

Whether the FX Clearing Futurescontract is a sale contract or apurchase contract; Amount in thecurrency of the principal; Date of
trading day; Identification code of7

ItemsDescription

Remarksa Designated counterparty Trading
Member.
・

TFX may reject to receive any bid or
offer

for

FX

Clearing

Futures

contracts if it is necessary to do so inorder to maintain a fair and orderly
market or to ensure the stable
operation of the Exchange System, or
TFX deems it necessary to do so forany other reason.
(2) Notifiable mattersrelated・

toWhen an FX Clearing Futures Trading Member intends to conduct FX Clearing, it shallnotify TFX of the matters set forth below in advance:transactions, etc.

① An FX Clearing Futures Trading Member whom it designates as a counterparty(hereinafter, “Designated counterparty Trading Member”)② For each Designated counterparty Trading Member, type(s) of FX Clearing Futurestransactions to be conducted with the Designated counterparty Trading Member.
・・

An FX Broker Trading Member’s
Designatedcounterparty

Member shall be an LP Trading
Member,

while

an

LP

・

Trading

When any of the matters set forth above changes, the FX Clearing Futures Trading

Member’s Designated counter party

Member shall notify TFX of the change in advance.

Trading Member shall be an FXBroker Trading Member.

9. Notice

Trading

Upon execution of an FX Clearing Futures contract, TFX shall immediately notify thedetails thereof to the FX Broker Trading Member and the LP Trading Member who have

8

ItemsDescription

Remarkssubmitted the bid or offer for such contract.
10. Market entry deposit

・・

An FX Clearing Futures Trading Member shall deposit a market entry deposit in the・

FX Clearing Futures Market Entry

following amount:

Deposit shall be deposited in addition

The amount of the market entry deposit shall be Three million Japanese Yen

to “Interest Rate Futures/FX Daily(\3,000,000) (hereinafter called the “FX Clearing Futures Market Entry Deposit”)

Futures/Equity Index Daily Futures”
MarketEntry

Depositalready

deposited by the member.
・ FX Clearing Futures Market Entry
Deposit may be deposited in the formof negotiable securities as prescribedby TFX.
III. Mattersrelatedtoclearing
1. FX Clearing Futures
Clearing Members(1) FX Clearing Futures

・An FX Clearing Futures Clearing Member means a person having the membership which

Clearing

qualifies the holder thereof to act as counterparty in the financial instruments obligation

Membershipassumption business operated by TFX in connection with the FX Clearing Futurestransactions (hereinafter “FX Clearing Futures Clearing Membership”).

(2) Qualification criteria

・ Qualification criteria for FX Clearing Futures Clearing Membership shall be defined in9ItemsDescription

Remarks

Schedule 2.
(3) Deregistration of FX
Clearing・

Futures

Clearing
Membership

・・An FX Clearing Futures Clearing Member who desires to deregister the FX Clearing

・ When an FX Clearing Futures Clearing

Futures Clearing Membership shall apply for deregistration of the membership

Member applies for deregistration of(hereinafter called a “clearing membership deregistration applicant”).

FX

The clearing membership deregistration applicant shall be deregistered at the timemembership,

designated by TFX on the 22nd Japanese banking day from the day immediately following

simultaneous

application

the day on which TFX accepts such application or the time when unsettled FX Clearing

deregistrationof

Futures contracts of such applicant are liquidated （c.f. Ⅲ.3.(2)）and all FX Clearing

membership(FX

cash settlements are completed, whichever is later.

Membership

and/or

Notwithstanding the above, if the application was made during the Cooling Off Period

Membership).

defined in VI.1or the Cooling Off Period starts after the day on which such application

・ In

Clearing

Futuresitrespectof

shall

Clearing
make

a
for

its

trading

Broker

Trading

LP

Trading

applicationfor

was made but before the deregistration of the FX Clearing Futures Clearing Membership

deregistration of FX Broker Trading

takes effect, the Clearing Member shall be deregistered at the latest time among thoseMembershipset forth in each Item below:

Membership, it shall be approved① at the time designated by TFX on the 12th bank business day from the day
immediately following the day on which TFX accepts such application;② at the time when unsettled FX Clearing Futures contracts of such Clearing Member
are liquidated and all FX Clearing cash settlements are completed;③ If an obligation to deposit Special Purpose Cash Collateral (c.f. VI.3) arises during the
Cooling Off Period, at the time designated by TFX on the day on which the Special
Purpose Cash Collateral to be deposited which is calculated for the day on which such
Cooling Off Period ends (hereinafter “Special Purpose Cash Collateral Final

10

and/orLP

Tradingsimultaneously with and subject to the
FX

Clearing

Futures

membership deregistration.

Clearing

ItemsDescription

Remarks

Requirement”) is deposited with TFX (provided, however, if the Special Purpose Cash
Collateral has been deposited with TFX in the amount exceeding the Special Purpose
Cash Collateral Final Requirement, the day on which such Colling Off Period ends);
or④

If no obligation to deposit Special Purpose Cash Collateral arises during the Cooling
Off Period, at the time designated by TFX on the day on which such Cooling Off
Period ends.

2. Assumptionof・

obligations

When FX Clearing Futures transactions is executed between two FX Clearing Futures
Clearing Members (i.e. between an FX Broker Trading Member and an LP Trading
Member), TFX shall, as a substitute for the FX Clearing Futures Clearing Member,assume the obligations of a FX Clearing Futures Clearing Member arising under the said
contract and obtain newly created rights corresponding the assumed obligation and shallclear such contract with the relevant FX Clearing Futures Clearing Member.

3. Position

andsettlement(1) Calculation
positionof・

Position for an FX Clearing Futures Clearing Member in respect of a trading day (“T・ Position shall be calculated for each FXday”) shall be the following sum calculated (on a net basis) at the close of Market

Clearing Futures Clearing Member’s

Trading Period for the respective type of FX Clearing Futures transactions: a) position

account.

of newly executed sale contract and purchase contract whose contract day is T day, andb) (short or long) positions whose contract day is T day , arising from rollover at the11・ For example, when an FX Clearing
Futures

Clearing

Memberholding

ItemsDescription

Remarks

close of the Market Trading Period of the previous trading day (T-1 day), if any.

“long 100” as of T-1 Day sell 50
transaction and buy 100 transaction on
T Day, the position calculated at theend of T Day shall be “long 150”.

(2) Settlement method

・ A short position or a long position under the FX Clearing Futures transactions shall be

・ The final settlement date for the cash

settled in the manner that, by Collective Offsetting at the close of Market Trading Period

settlement shall, in principle, be theof each trading day, the FX Clearing variation (c.f. Ⅲ.3.(4)) of all positions (whose

calendar day on which there occurs thecontract day is the trading day) existing at the close of the Market Trading Period subject

opening of the Market Trading Period

to the Collective Offsetting is transferred to the FX Clearing Exchange Margin (i.e.

of the second trading day after thehereinafter “FX Clearing cash settlement”).

trading day on which the position has

As a consequence of such Collective Offsetting, positive or negative calculatory amountbeen discharged.

・that consists of the following ① and ② (hereinafter “a fixed Mark-to-Market
Variation”) shall arise：・ When the amount of FX Clearing
Exchange Margin is deficient due to FX① initial Mark-to-Market Variation

Clearing cash settlement, time limit forWith respect to position (whose contract day is the trading day) of sale contract or

the deposit is provided separately inpurchase contract newly executed on a trading day, an amount obtained based on aIV.3.

difference between “Contract price of such position” and “FX Clearing Settlement
Price” (c.f. Ⅲ.3.(3)) on the trading day.
② ｄaily Mark-to-Market Variation
With respect to short or long position that has arisen from rollover at the close of theMarket Trading Period of the trading day immediately preceding such trading day；an amount obtained based on the difference between “FX Clearing Settlement Price

12

ItemsDescription

Remarks

on the trading day immediately preceding such trading day” and FX Clearing
Settlement Price on the trading day (on which Collective Offsetting is executed).
・Collective Offsetting means the method to decrease the positions under the same
type of FX Clearing Futures contracts held at the close of the Market Trading Periodof a certain trading day in the manner specified as follows:① Each position under the sale contract and purchase contract newly executed on the
trading day: A repurchase transaction in the same amount with the short position anda resale transaction in the same amount with the long position shall be executed
automatically at the FX Clearing Settlement Price of the trading day respectively at
the close of the Market Trading Period of the trading day, whereby all amounts ofsuch short positions and long positions shall be reduced.
② Position that has arisen by rollover at the close of the Market Trading Period of theimmediately preceding trading day: A repurchase transaction in the same amountwith the short position and a resale transaction in the same amount with the longposition shall be executed automatically at the FX Clearing Settlement Price of the
trading day respectively at the close of the Market Trading Period of the trading day,whereby all amounts of such short positions and long positions shall be reduced.
・The FX Clearing variation arising in respect of each trading day shall be transferred to FX
Clearing Exchange Margin of each FX Clearing Futures Clearing Member by 14:00 of thesettlement date relevant to the trading day on which the calculation is made.
(3) FX

Clearing

Settlement Price・

With respect to an FX Clearing Futures contract, TFX shall set the price as anindicative price of fixed Mark-to-Market Variation (hereinafter “FX Clearing Settlement

13

ItemsDescription

Remarks

Price”) for each type of FX Clearing Futures contracts after the close of the Market
Trading Period of each trading day and notify the same to FX Clearing Futures Clearing
Members.
・・ The time period set by TFX shall be a

An FX Clearing Settlement Price specified above shall be obtained by reference to thespecific time period close to 7:00 am

market prices of the foreign exchange market or the exchange financial instruments(or 6:00 am, when U.S. Daylight Saving

market for the FX Daily Futures contracts during such specific period of time before theTimeclose of the Market Trading Period for the relevant trading day as may be determined bydetermined by TFX from time to time

TFX; provided, however, that if TFX judges any FX Clearing Settlement Price so

as necessary.

isapplicable),

which

is

calculated is inappropriate, TFX may adopt a price deemed appropriate by it as the FX
Clearing Settlement Price.

(4) FX
variation

Clearing

・ The FX Clearing variation subject to FX Clearing cash settlement means the total sum of・With respect to the amounts ① andthe following calculatory amount set forth below that have arisen to the positions under

②

of

Cross

FX Clearing Futures contracts:

transactions, those calculated in the① Amount of fixed Mark-to-Market Variation, andTerm② Amount of swap point.

Currency Pairs transaction shall be

Currency

converted

into

Currency
of
the

such

Pairs
Cross

currencyofJapanese Yen for each trading day by
the FX Clearing Settlement Price of
Yen Currency Pairs transaction ofsuch Term Currency on such trading
day.

14

Items
4. Clearing deposit

Description

Remarks

・ An FX Clearing Futures Clearing Member shall deposit a clearing deposit with TFX.
(hereinafter called the “FX Clearing Futures Clearing Deposit”.)

・FX Clearing Futures Clearing Deposit
shall be deposited in addition to“Interest Rate Futures/FX Daily
Futures/Equity Index Daily Futures”
Clearing Deposit.

・ FX Clearing Futures Clearing Deposit amount shall be calculated according to the・・ The method to calculate Daily Futures

method set by TFX as specified in the Schedule 3.

Clearing Deposit shall be adopted to

The minimum amount of FX Clearing Futures Clearing Deposit shall be Five Million

compute FX Clearing Futures Clearing(5,000,000) yen.

Deposit.
・ A Clearing Deposit may be deposited in
the form of negotiable securities asprescribed by TFX.

IV. Exchange margin, etc.
1. Definition

・“FX Clearing Exchange Margin” means the money deposited by an FX Clearing Futures
Trading Member with TFX with respect to FX Clearing Futures transactions and bids
and offers submitted related thereto for the purpose of ensuring the performance of the
FX Clearing Futures Trading Member’s obligations relevant to its FX Clearing Futurescontracts.

・A “deposited FX Clearing Exchange Margin Amount” means the amount of FX Clearing
Exchange Margin (including the amount of FX Clearing variation transferred and, withrespect to an FX Broker Trading Member, including a deposited LG Margin amount)

15

ItemsDescription

Remarks

already deposited with TFX.
・

A “deposited cash margin amount” means the amount of FX Clearing Exchange Margin
already deposited with TFX in the currency of Japanese Yen (including the amount of FX
Clearing variation transferred)・“Letter of Guarantee (LG)” means TFX’s right to receive payment of monies under theguarantee obligations owed to TFX by a qualified LG issuing bank who is a financial
institution designated by TFX as a counterparty of an LG Agreement (c.f. IV.5. (1)) withrespect to the obligations to be performed by an FX Broker Trading Member under FX
Clearing Futures contracts.

・“Letter of Guarantee Agreement (LG Agreement)” means an agreement on the LG
between TFX and a qualified LG issuing bank that satisfies the requirements (c.f. IV.5.
(1)).

・

A “deposited LG Margin amount” means the amount of FX Clearing Exchange Margin
already deposited under the LG at TFX.

・

A “margin reference rate” means a percentage figure determined by TFX as a basis forcalculation of the amount of FX Clearing Exchange Margin to be deposited with TFX by
an FX Clearing Futures Trading Member with respect to FX Clearing Futures contracts
executed by the FX Clearing Futures Trading Member for its house account (c.f. IV.2).

・“Initial Margin equivalent” means the amount of absolute value of the difference between
the principal amount of short positions and that of long positions held multiplied by amargin reference rate calculated for each type of FX Clearing Futures contracts,
converted into the currency of Japanese Yen at the FX Clearing Settlement Price of Yen
Currency Pairs transaction for the currency of the principal amount on each trading day.

16

ItemsDescription
・

Remarks“FX Clearing Margin requirement” means the Initial Margin equivalent adjusted by theamount of FX Clearing variation (if the FX Clearing variation is positive, by deducting
such positive amount and, if it is negative, by adding the absolute value of such negative
amount).

・“FX Clearing Cash Settlement Requirement for the day” means, if the FX Clearing
variation whose final settlement date is a calendar day on which there occurs the openingof the Market Trading Period of the trading day immediately following a trading day
which serves as the basis (hereinafter called the “Base Trading Day”) is a negative
amount, the absolute value of such negative amount.

・“FX Clearing Cash Settlement Requirement for the following day” means, the absolutevalue of a negative FX Clearing variation whose final settlement date is a calendar day
on which there occurs the opening of the Market Trading Period of the second trading
day after the Base Trading Day (hereinafter “Following Day”) adjusted by the amount of
FX Clearing variation whose final settlement date is the Following Day (if the FX
Clearing variation is positive, by deducting such positive amount and, if it is negative, byadding the absolute value of such negative amount) (if such adjusted amount becomes anegative amount, it shall be zero).

2. Margin reference rate

・ The method to calculate the FX Margin reference amount for Non-individual Customer

・ Under HV method, following the(“HV method”) shall apply mutatis mutandis to the method to calculate the Margin

calculation of single-tailed confidence

reference rate.

level of at least 99% based on HV of “8weeks” and “104 weeks”, the larger
value obtained shall be applicable as17

ItemsDescription

Remarks
Margin reference rate.

・With respect to FX Clearing Futures transactions of the following Emerging-market

・ A minimum limit shall be applied tocurrencies”, Margin reference rate shall be the larger of “a percentage figure calculated

Marginunder HV method” and “4%”:Emerging-market currencies due to South African Rand

anticipated Turkish Lira

movement than those in advanced

 Mexican Peso

economies’ currencies.

 Offshore Chinese Yuan

referencehigher

rate
risk

of

for
price

・ TFX shall designate Emerging-market

・ When TFX determines that it is inappropriate to determine the Margin reference ratecurrencies transactions (to which the

pursuant to the above, it may determine the Margin reference rate deemed appropriatedminimum limit is applicable) referring toby TFX from time to time.

country classification of emerging (anddeveloping) economies provided by
IMF.

3. Deposit
Clearingof

FX・ An FX Broker Trading Member and an LP Trading Member shall deposit FX Clearing

Exchange

Exchange Margin with TFX as follows:・ In respect of each type of membership,different time limit for deposit shall be

Marginset in view of applicable method of
margindeposit(up-frontorsubsequent) and Effective Margin Ratio
management.
(1) FX Broker Trading ① Up-front deposit of FX Clearing Exchange Margin
Member・

An FX Broker Trading Member shall, before it submits a bid or offer for an FX Clearing

・ An FX Broker Trading Member shall

Futures contract, deposit the FX Clearing Exchange Margin in order to submit such bid

deposit up-front Initial Margin by18

ItemsDescription

Remarks

or offer (hereinafter the “Up-front Exchange Margin”) with TFX.
・ The above requirement shall not be applicable if the difference between the short positionreference to Margin reference rate (c.f.
Effective Margin Ratio (IV.6.).

and the long position to be held will be reduced upon execution of the FX Clearing
Futures contract.
②

If any shortfall set forth in a. or b. below arises as a result of calculation of FX Clearing
variation on each trading day, an FX Broker Trading Member shall deposit the amountequivalent to such shortfall in the currency of Japanese Yen with TFX by the date andtime as prescribed in a. or b. below:a.

The amount of shortfall in the case that the deposited FX Clearing Exchange

Margin Amount falls below the FX Clearing Margin requirement shall be deposited:by 11:00 a.m. on a calendar day on which there occurs the opening of the Market

・ If “a calendar day” prescribed in a. or

Trading Period of the second trading day after the trading day on which theb. on the left, (the second or third

obligation to deposit arises.

trading day counted from the trading
day

on

which

the

obligationofb. The amount of shortfall in the case that the deposited cash margin amount falls

depositing arises) falls on a Japanese

below the FX Clearing Cash Settlement Requirement for the day shall be deposited:bankby 11:00 a.m. on a calendar day on which there occurs the opening of the Market

subsequent day shall be the calendar

Trading Period of the trading day immediately following the trading day on which theday.

holiday,theimmediately

obligation to deposit arises.
(2) LP Trading Member

・ Requirement for up-front deposit of FX Clearing Exchange Margin shall not be applied toan LP Trading Member.

・ An LP Trading Member may makesubsequent deposit of FX Clearing

19

ItemsDescription
・

Remarks

If any shortfall set forth in each Item below arises in the FX Clearing Exchange Margin

Exchange Margin.

upon execution of an FX Clearing Futures contract or as a result of calculation of FX
Clearing variation on each trading day, an LP Trading Member shall deposit the amountequivalent to such shortfall (if both shortfalls set forth in a. and b. arise, whichever is・ If “a calendar day” prescribed in a) orlarger) in the currency of Japanese Yen with TFX as the FX Clearing Exchange Marginb) on the left, (the second or thirdby 4:00 p.m. on a calendar day on which there occurs the opening of the Market Trading

trading day counted from the trading

Period of the trading day immediately following the trading day on which the obligation today

deposit arises:

depositing arises) falls on a Japanesea.

Shortfall in the case that the deposited FX Clearing Exchange Margin Amountamountmaximum
of

・

cash

Membertheobligationof

immediately

b.

day.

Shortfall in the case that the deposited cash margin amount falls below the FXAn FX Broker Trading Member and an LP Trading Member may draw the FX Clearing
Exchange Margin as below:

・holiday,thesubsequent day shall be the calendar

margin drawable(1) FX Broker Trading

which

falls below the FX Clearing Margin requirement
Clearing Cash Settlement Requirement for the following day
4. Thebankon

If both amounts set forth in the following ① and ② exist, an FX Broker Trading
Member may draw the FX Clearing Exchange Margin from the deposited cash margin
amount in the amount up to the lesser of the amounts set forth below:① If the deposited FX Clearing Exchange Margin Amount on the Base Trading Day
exceeds the FX Clearing Margin requirement, the amount of such excess,② If the deposited cash margin amount on the Base Trading Day adjusted by theamount of FX Clearing variation whose final settlement date is the said Base Trading20

ItemsDescription

Remarks

Day (if the FX Clearing variation is positive, by adding such positive amount and, if it
is negative, by deducting the absolute value of such negative amount) exceeds theInitial Margin equivalent, the amount of such excess.
(2) LP Trading Member

・ If both amounts set forth in the following ① and ② exist, an LP Trading Member may
draw the FX Clearing Exchange Margin from the deposited cash margin amount in theamount up to the lesser of the amounts set forth below:① If the deposited FX Clearing Exchange Margin Amount on the Base Trading Day
exceeds the FX Clearing Margin requirement, the amount of such excess② If the deposited cash margin amount on the Base Trading Day (adjusted by theamount of FX Clearing variation whose final settlement date is the Following Day 【ifthe FX Clearing variation is positive, by adding such positive amount and, if it isnegative, by deducting the absolute value of such negative amount】 and, if the FX
Clearing variation whose final settlement date is the Day is negative, also adjusted bydeducting the absolute value of such negative amount) exceeds the Initial Margin
amount, the amount of such excess.

5. Acceptance of LG(1) Requirements

・・

An FX Broker Trading Member may apply the LG to the deposit of Up-front Exchange

・

Based

on

FX

Broker

Trading

Margin (hereinafter the “Deposit by LG”) subject to the placement of the LG Agreement

Members’ FX Cover Deal businessby a qualified LG issuing bank.

practice,whereinLG

has

LG Agreement shall satisfy all the requirements set forth below:

generally

acceptedascollateral,① It provides that the qualified LG issuing bank shall bear the guarantee obligation to

Deposit by LG is accepted.

21

been

ItemsDescription

Remarks

TFX for the obligations to be performed by the FX Broker Trading Member to TFX・under FX Clearing Futures contracts.

TFX shall designate an applicant from
among

those

who

satisfythe② It provides that, if TFX demands the qualified LG issuing Bank perform therequirements set forth in each Item

obligations, the qualified LG issuing bank shall perform the obligations within 24

below to TFX as a qualified LG

hours in principle.

issuing bank:③ It provides that, during the effective term of the LG Agreement, the qualified LG・(1) a financial institution designatedissuing bank may not amend the contents of the LG Agreement without agreementby the Commissioner of FSA inwith TFX.

accordance with each Item of Article④ It provides that, if the qualified LG issuing bank intends to terminate the LG

68, paragraph (1), item (iii) of theAgreement, it shall notify TFX in writing at least 5 bank business days prior to the

Cabinet Office Order on Financial

scheduled termination date thereof.

Instruments⑤ In addition to the above, it satisfies the requirements set forth in Article 68,

Exchanges(Cabinet

Office Order No. 54 of 2007),

paragraph (1), item (iii) of Exchange COO.

hereinafter “Exchange COO”).
・(2) a bank which is a subsidiary of abank holding company designated by
the Commissioner of FSA as set forthin each Item of Article 1 of the
Financial

Services

AgencyNotification No.80 of 2015. Upon
revocation of designation by the
FSA Commissioner in respect of theabove Order, TFX shall revoke thedesignation of the relevant qualified

22

ItemsDescription

Remarks
LG issuing bank.

(2) Treatment

of

LG

・

Agreement expiry

If an FX Broker Trading Member who makes Deposit by LG intends to continue to make
Deposit by LG under a new LG Agreement with the same maximum guarantee amountunder the current LG Agreement (hereinafter called the “Current LG Agreement”) after
the date of expiration (including an expiration by cancellation; the same interpretation
shall apply hereinbelow) of the Current LG Agreement, the FX Broker Trading Member
shall place the new LG Agreement with TFX at least 5 bank business days prior to the
expiration date of the Current LG Agreement.

・

If the status of the LG Agreement placed with TFX falls under any of the following Items,
TFX may deem the amount set forth in each Item as the deposited LG Margin amount on
a trading day after the due date of placement thereof:

・(1) If a new LG Agreement is not placed by the due date of placement thereof: zero・(2) If the maximum guarantee amount under the new LG Agreement placed by the due
date of placement thereof falls below the maximum guarantee amount under the Current
LG Agreement: the maximum guarantee amount under the new LG Agreement multipliedby the valuation haircut.

(3) Ceiling
deposited

on

the

・

LG

Margin amount, etc.
・

TFX shall set a ceiling on the deposited LG Margin amount of an FX Broker Trading

・ TFX shall set the standardized ceiling

Member for the purpose of Up-front Exchange Margin and notify the FX Broker Tradingon the deposited LG Margin amount ofMember of the ceiling amount.

FX

In the case of the Deposit by LG, TFX deems the maximum guarantee amount specified

consideringin the LG Agreement relating to the LG multiplied by the haircut prescribed by TFX

the starts of the scheme and conduct

23

Broker

Trading

Members

circumstances

followingItemsDescription

Remarks(hereinafter called the “valuation haircut”) as the deposited LG Margin amount.
・

If a qualified LG issuing bank no longer satisfies the requirements (c.f. IV.5. (1)), TFX
shall promptly cease to accept a new LG Agreement from the bank and revoke the・annual review.
・ TFX shall set the valuation haircut
ratio at 99/100.

designation of the qualified LG issuing bank, and deposited LG Margin amount of the FX・ TFX shall designate matters necessary

Broker Trading Member under LG Agreement already placed by such qualified LG

for the calculation of a deposited LG

issuing bank shall be deemed “zero”.

Margin amount.

Even if a qualified LG issuing bank does not fall under the above, if the credit rating
granted to the qualified LG issuing bank is lowered, TFX may take measures deemed
appropriate by TFX including the decrease of the valuation haircut.

6.

Monitoring
Sufficiency
Effective・of

TFX shall confirm the sufficiency of the deposit of FX Clearing Exchange Margin by FX
Broker Trading Members in light of the Effective Margin Ratio during the Market

Margin・ LP Trading Members are not includedin the scope.

Trading Period.

Ratio(1) Effective
Ratio

Margin・

TFX shall continuously calculate the Effective Margin Ratio above for each FX Broker
Trading Member during Market Trading Period by applying the following formula:
Effective Margin Ratio(%)＝Effective Margin ÷ intraday requirement of margin × 100
Effective Margin ＝ the deposited FX Clearing Exchange Margin Amount ± FX
Clearing variation subject to transfer to or from the deposited FX
Clearing Exchange Margin Amount ( if the variation is positive, by adding・ The amount of P&L on the left shall besuch positive amount and, if it is negative, by deducting the absolutethe amount converted, with regard to24

ItemsDescription

Remarks

value of such negative amount) ± P&L that arises if the FX Clearing

the respective type of FX Clearing

Futures contracts are settled at that time (by adding the amount of profit

Futures transactions, based on price ofor by subtracting the amount of loss).

Yen

principal amounts of short positions and long positions then held × theto foreign currency for the notional

margin reference rate calculated for each type of FX Clearing Futures

principal amount.

of principal amount. (Calculated sum with regard to the respective typeof FX Clearing Futures transactions shall be aggregated.)

Effective・MarginAn FX Broker Trading Member shall endeavor to have Effective Margin Ratio
constantly exceed 200 %.

Ratio(3) Measures to be
taken

when

・

deemedappropriate by TFX, which is relevant

by TFX as the price for Yen Currency Pairs transactions for the currency

of

Pairs

The intraday requirement of margin = the absolute value of the difference between thecontracts ×price of the currency of Japanese Yen deemed appropriate(2) Maintenance

Currency

When TFX recognizes that an FX Broker Trading Member falls under any of thefollowing cases, TFX may take the measures set forth below on the FX Broker Trading

Effective Margin

Member:Ratio declines① When the Effective Margin Ratio falls below 160 %, TFX may send a reminder noticeconcerning decline of Effective Margin Ratio② When the Effective Margin Ratio falls below 140 % and it is deemed that an executionof a new FX Clearing Futures contract and the assumption of obligations therefrom

25

ItemsDescription

Remarks

are extremely difficult, TFX may order suspension from or restriction on FX Clearing
Futures contracts and suspension from or restriction on the assumption of
obligations therefrom (hereinafter called the “Measures including Suspension fromTransaction”).

from TFX, the relevant FX Broker③ When the Effective Margin Ratio falls below 100 % and prompt recovery of theTrading Member shall report TFX of

Effective Margin Ratio is deemed difficult, TFX may execute the forced offsetting

the conditions and prospects of thetransaction of unsettled positions of FX Clearing Futures contracts for the accountrecovery, etc.

of the FX Clearing Futures Trading Member (hereinafter called the “forced
allocation measures”).
・If an FX Broker Trading Member frequently causes its Effective Margin Ratio to fall
below the levels of the Effective Margin Ratio set forth in each above Item and TFXdetermines that the sound operation of TFX may be hindered, TFX may raise the level ofthe margin reference rate or the levels as thresholds for the measures to be taken in thecase of decline of Effective Margin Ratio pursuant to the above applicable to the FXBroker Trading Member.

(4) Measures including
Suspension

・

from

If TFX determines to take the Measures including Suspension from Transaction, TFX
shall promptly notify the FX Broker Trading Member subject to the measures and the LP

Transaction

Trading Member who is the Designated counterparty Trading Member.
・・ Prior to falls below 110%, upon request

Upon receipt of the above notice, the FX Broker Trading Member shall immediately
suspend the presentation of bids and offers for FX Clearing Futures contracts.

・ If the FX Broker Trading Member subject to the Measures including Suspension fromTransaction deposits the FX Clearing Exchange Margin and causes its Effective Margin26

ItemsDescription

Remarks

Ratio to reach 200 % or above and TFX deems it appropriate, TFX shall lift the Measures
including Suspension from Transaction on the FX Broker Trading Member.
(5) Forced
Measures

Allocation

・If TFX determines to take forced allocation measures on an FX Broker Trading Member,・The method on the left shall apply

TFX shall take the following measures promptly:

mutatis mutandis to the method for① For each type of Unsettled FX Clearing Futures Contract, TFX shall designate antheLiquidation
FX

Transaction
Clearingof

LP Trading Member (limited to those who have filed the notification for such type of

Unsettled

Futures

FX Clearing Futures contracts (c.f. Ⅱ.8. (2)) designating one or more FX Broker

contracts of FX Clearing Futures

Trading Member as a counterparty of the forced allocation transaction) (hereinafter

Trading Members and FX Clearing“Designated LP Trading Member”).

Futures Clearing Members subject to② TFX shall notify the Designated LP Trading Members of the volume of each type ofsuspension

fromexecutionofUnsettled FX Clearing Futures Contracts divided by the number of Designated LP

transactionsorassumptionofTrading Members (hereinafter “forced allocation volume”).

obligations, etc.

③ Upon receipt of such notice, the Designated LP Trading Member shall promptly
quote a price appropriate for the forced allocation transaction (hereinafter the“forced allocation price” to TFX in light of the then current foreign exchange rates.

・ TFX may adopt another method to

In such case, the Designated LP Trading Member shall submit the evidence materials

determine the forced allocation volume

to validate the appropriateness of the forced allocation price to TFX in accordance

when it deems necessary to do so to, aswith the Close-out Amount method specified in 2002 ISDA Master Agreement

allocation

published by International Swaps and Derivatives Association, Inc. in 2003.

smoothly due to the small number, etc.

④ TFX shall cause the forced allocation transaction to be executed in the relevant
forced allocation volume at the forced allocation price with respect to the Unsettled
FX Clearing Futures Contracts of the FX Broker Trading Member subject to forced

27

may

not

be

processed

ItemsDescription

Remarks

allocation measures with each Designated LP Trading Member as a counterparty.
V. Charges, etc.
1. Registration fee(1) Trading registration

・ The amount of the trading registration fee for FX Broker Trading Membership and LP

fee

・ When a person who has alreadyTrading Membership shall be JPY 5,000,000 respectively.

obtained an FX (or LP) trading
membership desires to obtain an
additional

LP

(or

FX)

trading

membership, no trading registration fee
shall be required for such additional
category of trading membership.
(2) Clearing registration

・ The amount of the clearing registration fee for FX Clearing Futures Clearing Membershipfee
2. Monthly

shall be JPY 0.
exchange

・ The amount of monthly exchange fee for FX Broker Trading Members and LP Tradingfee
3. Fixed-rate exchange

Members shall be 50,000 yen per month.
・

fees(1) FX Clearing Futures
Contract Fees

The per-contract exchange fee with respect to FX Clearing Futures contracts shall be
the aggregate amount of Contract Fees and Position Fees.

・

Contract Fees for FX Broker Trading Member shall be calculated for each type ofcontracts as below:

・

If the calculated contract amount for acertain currency pair includes a28

ItemsDescription

Remarksa) with respect to contracts in the amount not less than USD100,000 per contract,

fraction less than USD100,000, suchfor the monthly total contract amount of such contracts, 20 yen per USD100,000.

fraction shall be rounded up to theb) with respect to contracts in the amount less than USD100,000 per contract, for thenearest USD100,000.

monthly total number of such contracts, 20 yen per contract. (The amount of “less than
USD 100,000” shall be excluded from the calculation a) above.)
・

FX Clearing Futures contracts amount whose principal is denominated in any currency
other than USD shall be converted into USD by using the price deemed appropriate by
TFX and notified to FX Broker Trading Members in advance.

・(2) FX Clearing Position

・

Fees

・

Contract Fees payable by LP Trading Members shall be “0” .
Position Fees for FX Broker Trading Member for each type of contracts shall be based on・

If the calculated position amount for a

the monthly total sum of the amount of positions newly created from rollover at thecertain type of contracts includes aclosing of the Market Trading Period converted into USD for each type of contracts andfraction less than USD100,000, suchfor each trading day, multiplied by the number of days between the final settlement dates;

fraction shall be rounded up to the

20 yen per USD100,000

nearest USD100,000.

Outstanding positions amount shall be an amount converted on the price in the currencyof Notional principal amount. In case of a Currency Pair, of which Notional principal
amount is non-USD currency, the outstanding position amount shall be converted into
USD based on price which has been deemed appropriate and notified to FX Broker
Trading Members in advance.

・ FX Clearing position fees payable by LP Trading Members shall be “0” in JPY.

29

Items
VI. Loss

Description

Remarks

compensation

scheme1. Cooling off Period

・

If TFX incurs any loss on the FX Clearing Futures contracts at TFX Market due todefault by an FX Clearing Futures Clearing Member, TFX shall notify the FX Clearing
Futures Clearing Members of the trading day on which the obligations relating to suchloss arises (hereinafter the “Initial Loss-incurred Date”) and the period during whichsuch loss is to be disposed of (hereinafter the “Cooling Off Period”).

・The Cooling Off Period shall be the period up to the trading day whose opening time of
the Market Trading Period falls on a calendar day which is the 22nd bank business day(meaning the Japanese banking day) from the Initial Loss-incurred Date; provided,
however, in the case where TFX incurs any loss due to default by an FX Clearing
Futures Clearing Member other than the FX Clearing Futures Clearing Member who has
defaulted its obligations (hereinafter the “Defaulting Clearing Member”), the Cooling Off
Period shall be extended to the period up to the trading day whose opening time of theMarket Trading Period falls on a calendar day which is the 22nd bank business day fromthe trading day on which the obligations relating to such loss arises, (and thereafter, if
TFX incurs any loss due to default of other FX Clearing Futures Clearing Member
during such extended period, the period shall be further extended in the same manner.

・

TFX shall identify the trading day on which the obligations relating to such loss arises(hereinafter the “Loss-incurred Date”) and shall aggregate the amount of losses for each
Loss-incurred Date.

2. Priority infinancial

・ TFX shall be compensated for losses incurred by it during a Cooling off Period from the30

Itemsresources

Description
used

for

Remarks

following deposits in the following order:

loss compensation【1st Priority】

The Exchange Margin, the market entry deposit, the clearing

・ 【 1stPriority 】 If

theDefaulting

deposit and other deposit or collateral deposited with TFX by the

Clearing Member holds a trading

Defaulting Clearing Member.

membership or clearing membership ofother Market Derivatives Transactions【2nd
Priority】

The default compensation reserve for FX Clearing Futures

on TFX, deposit by the Defaulting

contracts appropriated by TFX (to cover the loss).

Clearing Member with respect to suchother membership shall be included in【3rd Priority】

The FX Clearing Futures Clearing Deposits deposited by the FX

the financial resources of the 1st

Clearing Futures Clearing Members other than the Defaulting

Priority.

Clearing Member (hereinafter “Surviving Clearing Members“)【4th Priority】

First Additional Clearing Contribution for FX Clearing Futures tobe contributed by Surviving Clearing Members.

【5th Priority】

Second Additional Clearing Contribution for FX Clearing Futures tobe contributed by “Surviving Clearing Member making Second
Additional Clearing Contribution for FX Clearing Futures (c.f. IV.2.
(3))”.

(1) Losscompensation

・TFX shall cause the Surviving Clearing Members to bear the remaining losses during a

31

・ The

requirementof

FX

Clearing

ItemsDescription

Remarksin the 3rd priority

Cooling Off Period, in proportion to the then requisite amounts of the FX Clearing

Futuresusing

FX

Futures Clearing Deposits to be deposited by the respective Surviving Clearing

deposited by FX Clearing Futures

Futures

Members on the business day immediately preceding the period (hereinafter the “Initial

Clearing Members during a Cooling off

Clearing Deposit ofRequirement of Clearing Deposit”). In such case, the amount of the losses that may be

Period shall be equal to the amount ofSurvivingborne by the Surviving Clearing Members shall not exceed the Initial Requirement of

Initial Requirement of Clearing Deposit

Clearing Deposit.

during the same period.

theClearing

Clearing

Members

Clearing

Deposittobe・ If part or all of the Surviving Clearing
・ If losses are compensated by using the FX Clearing Futures Clearing Deposit, Surviving

Members’

FX

Clearing

Futures

Clearing Members shall replenish it at the end of the Cooling off Period to meet the thenClearing Deposit is used to compensate

requirement of the FX Clearing Futures Clearing Deposit.

losses and their FX Clearing Futures
Clearing Deposit falls short of theInitialRequirementofClearing

Deposit, they are not obliged toreplenish the shortfall during the
Cooling off Period.
(2) Loss・

If the losses incurred by TFX are not fully covered by the financial resources of 1st, 2ndcompensation inand 3rd priorities, TFX shall cover the uncompensated portion of such losses by

the 4th priority

appropriating the money to be contributed by the Surviving Clearing Members

by(hereinafter the “First Additional Clearing Contribution for FX Clearing Futures”).

Surviving

Clearing

・The amount of the First Additional Clearing Contribution for FX Clearing Futures to be

Members making

borne by the Surviving Clearing Members shall not exceed the Initial Requirement ofFirst

Clearing Deposit.

Additional

Clearing

・In order to cover the remaining losses by the First Additional Clearing Contribution for32

ItemsDescription

Remarks

Contribution for

FX Clearing Futures, TFX shall cause the Surviving Clearing Members to bear theFXremaining losses in proportion to the Initial Requirement of Clearing Deposit during theClearing

Futures.
(3) Loss

Cooling Off Period.

compensation

・

If the losses incurred by TFX in a certain Cooling Off Period are not fully covered by thein the 5th priority byfinancial resources of 1st, 2nd, 3rd and 4th priorities, TFX shall cover theSurviving

Clearing

uncompensated portion of such losses by appropriating the money to be contributed by

Members

makingSurviving Clearing Members (hereinafter the “Second Additional Clearing Contribution

SecondAdditional

Clearing

・Contribution
FX

for FX Clearing Futures”).
The obligation to pay the Second Additional Clearing Contribution for FX Clearingfor

Futures shall be borne by the Surviving Clearing Members for which a positive FX

Clearing

Clearing variation arises on each Loss-incurred Date (hereinafter referred to as the

Futures.

“Relevant Loss-incurred Date”) after the trading day on which the accumulated amountof the losses to be compensated for exceeds the amount to be appropriated forcompensation of the losses (hereinafter referred to as the “Surviving Clearing Members
・・ If there are two or more Relevant

making Second Additional Clearing Contribution for FX Clearing Futures”).

Loss-incurred Dates, the aggregate

TFX shall cause the Surviving Clearing Members making Second Additional Clearing

sum of the FX Clearing variation on

Contribution for FX Clearing Futures to bear the remaining losses in proportion to theeach Relevant Loss-incurred Date shallamount of FX Clearing variation of the respective Surviving Clearing Members making

be prorated.

Second Additional Clearing Contribution for FX Clearing Futures on Relevant
Loss-incurred Date.
3. Deposit

during・

Surviving Clearing Members shall deposit with TFX during a certain Cooling Off Period

33

・ Special Purpose Cash Collateral means

ItemsDescription

Cooling off Period

Remarks

the aggregate sum of the following in Japanese Yen as the Special Purpose Cashclearing deposit defined in article 156.

Collateral: the amount to be calculated by TFX based on the variation of FX Clearing

11 of the Act.

Futures Clearing Deposit to be deposited as calculated daily on each trading day during
the Cooling Off Period (hereinafter, “Amount of Variation Equivalent”); andthe amount equivalent to the First Additional Clearing Contribution for FX Clearing
Futures or the Second Additional Clearing Contribution for FX Clearing Futures which
may be borne by Surviving Clearing Members (hereinafter, “Amount of Additional
Contribution Equivalent”).
・

If loss amount arising from Defaulting Clearing Members during a Cooling off Period(hereinafter “the amount of losses incurred by TFX”) exceeds the sum of financial
resources of 1st, 2nd and 3rd priorities and TFX causes an Surviving Clearing Member
to bear contribution of 4th or 5th priority in a certain Cooling Off Period, TFX may
appropriate the Special Purpose Cash Collateral deposited by such Surviving Clearing
Member for fulfillment of the obligations relating to the foregoing Contributions owed bysuch Surviving Clearing Member to TFX.

(1) Requirement
Specialof
Purpose・

The required amount of Special Purpose Cash Collateral shall be the sum of the following① and ② calculated on each trading day during a Cooling Off Period:

Cash Collateral① Amount of Variation Equivalent calculated daily on each business day during the
Cooling Off Period shall be as follows:・ The

requirementof

Variation

・By regarding each such business day as a Calculation Date, an amount equivalent

Equivalent shall be zero at the close of

to the calculatory amount of FX Clearing Futures Clearing Deposit to bea Cooling off Period.

34

ItemsDescription

Remarks

deposited (hereinafter the “Calculatory CD Equivalent”) shall be calculated.
・An amount as the basis for calculation of Variation Equivalent (hereinafterreferred to as the “Calculation Base Amount”) shall be obtained in accordancewith the category of dates set forth in a） and b) respectively:a) Start date of Cooling Off Period,
The larger of Initial Requirement of Clearing Deposit applicable to such
Cooling Off Period and the Calculatory CD Equivalent on the start date of
the Cooling Off Period shall be the Calculation Base Amount.
b) Each trading day excluding the start date of Cooling Off Period,
The larger of the Calculation Base Amount on the immediately precedingbusiness day and the Calculatory CD Equivalent on each such business day
shall be the Calculation Base Amount.
・ The Calculation Base Amount of the day deducted by the Initial Requirement ofClearing Deposit shall be the Amount of Variation Equivalent on each business
day during the Cooling Off Period.
② Amount of Additional Contribution Equivalent calculated as the aggregate sum of
the following a) and b):a) For First Additional Clearing Contribution for FX Clearing Futures;・ The

requirementofAdditional

If the amount of losses incurred by TFX exceeds the financial resources ofContribution Equivalent shall be zero

1st and 2nd priorities, an amount equivalent to such excess shall be prorated

as of the later of the followings: a day

among other FX Clearing Futures Clearing Members in proportion to theon which a Cooling off Period ends or a35

ItemsDescription

Remarks

respective Initial Requirement of Clearing Deposit of such other FX Clearing

day on which the amount of losses

Futures Clearing Members; provided, however, the amount shall not exceed

incurred by TFX is fully compensated.

the Initial Requirement of Clearing Deposit of each FX Clearing Futures
Clearing Member.
b) For Second Additional Clearing Contribution for FX Clearing Futures;・Concurrently with the calculation of

If the amount of losses incurred by TFX exceeds the financial resources of

FX Clearing variation on a Relevant

1st, 2nd, 3rd and 4th priorities, an amount equivalent to a negative FX

Loss-incurred

Clearing variation of the Defaulting Clearing Member on Relevanttransfer the positive FX Clearing

Loss-incurred Date (on and after the trading day on which such excess

variations

arises) shall be prorated among Surviving Clearing Members making Second

Contribution Equivalent for Second

Additional Clearing Contribution for FX Clearing Futures for whom positive

Additional Clearing Contribution) of

FX Clearing variations arise on such Loss-incurred Date in proportion tothethe respective positive FX Clearing variations of such other FX Clearing

making Second Additional Clearing

Futures Clearing Members.

Contribution for FX Clearing Futures
to(Amount

SurvivingtheCollateral

Date,
of

Clearing

Specialof

TFX

Additional

Members

Purpose

such

shall

Cash

Clearing

Members.
(2) Deposit of Special
PurposeCollateral

Cash

・

TFX shall calculate the amount of Special Purpose Cash Collateral to be deposited by a
Surviving Clearing Member for each trading day during a Cooling Off Period and notify
the Clearing Member of such amount (hereinafter “Special Purpose Cash Collateral to bedeposited”).

・ The Surviving Clearing Member shall deposit, for each such trading day, the Special

36

・ If the immediately following trading day

ItemsDescription

Remarks

Purpose Cash Collateral to be deposited (if any) or if the amount already deposited withor the second trading day after the

TFX as Special Purpose Cash Collateral falls short of the amount of the Special Purpose

trading

Cash Collateral to be deposited, the amount of such shortfall shall be deposited in the

obligation to deposit arises falls on acurrency of Japanese Yen as Special Purpose Cash Collateral by 11:00 a.m. on a calendar

bank

day on which the opening time of the Market Trading Period of the second trading day

immediately following bank businessafter the trading day on which the such obligation to deposit arises.

day is applicable.

37

day

on

holiday,

which
the

the

tradingsuchdaySchedule 1

The Types of FX Clearing Futures transactions, etc.
The types of FX Clearing Futures transactions with price quotation, the minimum price fluctuation of bids and offers, and the trading unit:（1）Yen Currency Pairs transaction
Types of FX Clearing Futures

Financial Indices

Price Quotationtransactions (Currency Pairs)

The minimum price

Trading Unit

fluctuation (Tick size)① ［USD/JPY］

The financial index calculated

The amount of JPY equivalent tobased on the amount of JPY

one USD (indicated by an integral

equivalent to one unit of themultiple of 1/10,000).

0.0001

Notional principal
amount of USD 1,000

currency adopted by the UnitedStates of America.
② ［EUR/JPY］

The financial index calculated

The amount of JPY equivalent tobased on the amount of JPY

one EUR (indicated by an integral

equivalent to one unit of themultiple of 1/10,000).

0.0001

Notional principal
amount of EUR 1,000

currency adopted by the member
states of the European Economicand Monetary Union.
③ ［GBP/JPY］

The financial index calculated

The amount of JPY equivalent tobased on the amount of JPY

one GBP (indicated by an integral

equivalent to one unit of themultiple of 1/10,000).

0.0001

Notional principal
amount of GBP 1,000

currency adopted by the United
Kingdom of Great Britain andNorthern Ireland.
④ ［AUD/JPY］

The financial index calculated

The amount of JPY equivalent to 0.0001

1

Notional

principal

Types of FX Clearing Futures

Financial Indices

Price Quotation

The minimum pricetransactions (Currency Pairs)

Trading Unit

fluctuation (Tick size)based on the amount of JPY

one

AUD

(indicatedbyequivalent to one unit of theintegral multiple of 1/10,000).

anamount of AUD 1,000

currency adopted by the
Commonwealth of Australia.
⑤ ［CHF/JPY］

The financial index calculated

The amount of JPY equivalent tobased on the amount of JPY

one CHF (indicated by anequivalent to one unit of theintegral multiple of 1/10,000).

0.0001

Notional principal
amount of CHF 1,000

currency adopted by the Swiss
Confederation.
⑥ ［CAD/JPY］

The financial index calculated

The amount of JPY equivalent tobased on the amount of JPY

one CAD (indicated by anequivalent to one unit of theintegral multiple of 1/10,000).

0.0001

Notional principal
amount of CAD 1,000

currency adopted by Canada.
⑦ ［NZD/JPY］

The financial index calculated

The amount of JPY equivalent to 0.0001

Notional principal

based on the amount of JPY

oneamount of NZD 1,000

equivalent to one unit of theintegral multiple of 1/10,000).

NZD(indicatedbyancurrency adopted by New
Zealand.
⑧ ［ZAR/JPY］

The financial index calculated

The amount of JPY equivalent tobased on the amount of JPY

one ZAR (indicated by an integral

equivalent to one unit of themultiple of 1/10,000).

20.0001

Notional principal
amount of ZAR 1,000

Types of FX Clearing Futures

Financial Indices

Price Quotation

The minimum pricetransactions (Currency Pairs)

Trading Unit

fluctuation (Tick size)currency adopted by the
Republic of South Africa.

⑨ ［TRY/JPY］

The financial index calculated

The amount of JPY equivalent tobased on the amount of JPY

one TRY (indicated by an integral

equivalent to one unit of themultiple of 1/10,000).

0.0001

Notional principal
amount of TRY 1,000

currency adopted by Republic of
Turkey.
⑩ ［NOK/JPY］

The financial index calculated

The amount of JPY equivalent to0.0001

Notional principal

based on the amount of JPY

one NOK (indicated by anamount of NOK

equivalent to one unit of theintegral multiple of 1/10,000).

1,000

The financial index calculated

The amount of JPY equivalent to 0.0001

Notional principal

based on the amount of JPY

oneamount of HKD

equivalent to one unit of theintegral multiple of 1/10,000).

currency adopted by theKingdom of Norway.
⑪ ［HKD/JPY］

HKD(indicated

by

an

1,000

currency adopted by Hong Kong
Special Administrative Region.
⑫ ［SEK/JPY］

The financial index calculated

The amount of JPY equivalent tobased on the amount of JPY

one SEK (indicated by an integral

equivalent to one unit of themultiple of 1/10,000).

currency adopted by the

30.0001

Notional principal
amount of SEK 1,000

Types of FX Clearing Futures

Financial Indices

Price Quotationtransactions (Currency Pairs)

The minimum price

Trading Unit

fluctuation (Tick size)
Kingdom of Sweden.

⑬ ［MXN/JPY］

The financial index calculated

The amount of JPY equivalent to0.0001

Notional principal

based on the amount of JPY

one MXN (indicated by anamount of MXN

equivalent to one unit of theintegral multiple of 1/10,000).

1,000

currency adopted by the United
Mexican States.
⑭ ［SGD/JPY］

The financial index calculated

The amount of JPY equivalent tobased on the amount of JPY

one SGD (indicated by anequivalent to one unit of theintegral multiple of 1/10,000).

0.0001

Notional principal
amount of SGD 1,000

currency adopted by the
Republic of Singapore.
⑮ ［CNH/JPY］

The financial index calculated

The amount of JPY equivalent tobased on the amount of JPY

one CNH (indicated by anamount of CNH

equivalent to one unit of theintegral multiple of 1/10,000).

1,000

currency adopted by the
People’s Republic of China(CNH).
（2）Cross Currency Pairs transaction

40.0001

Notional principal

Types of FX Clearing Futures

Financial Indices

Price Quotationtransactions (Currency Pairs)

The minimum price

Trading Unit

fluctuation (Tick size)①［EUR/USD］

The financial index calculated

The amount of USD equivalent to 0.000001

Notional principal

based on the amount of theone EUR (indicated by anamount of EUR 1,000

currency adopted by the Unitedintegral multiple of 1/1,000,000).

States of America equivalent to
one unit of the currency adopted
by the European Economic andMonetary Union.
②［GBP/USD］

The financial index calculated The amount of USD equivalent to 0.000001

Notional principal

based on the amount of the one GBP (indicated by anamount of GBP 1,000

currency adopted by the United integral multiple of 1/1,000,000).
States of America equivalent to
one unit of the currency adopted
by the United Kingdom of GreatBritain and Northern Ireland.
③［GBP/CHF］

The financial index calculated

The amount of CHF equivalent 0.000001

Notional principal

based on the amount of theto one GBP (indicated by anamount of GBP 1,000

currency adopted by the Swiss

integral multiple of 1/1,000,000).

Confederation equivalent to one
unit of the currency adopted by
the United Kingdom of GreatBritain and Northern Ireland.

5Types of FX Clearing Futures

Financial Indices

Price Quotationtransactions (Currency Pairs)

The minimum price

Trading Unit

fluctuation (Tick size)④［USD/CHF］

The financial index calculated

The amount of CHF equivalent

based on the amount of theto one USD (indicated by ancurrency adopted by the Swiss

integral multiple of 1/1,000,000).

0.000001

Notional principal
amount of USD 1,000

Confederation equivalent to one
unit of the currency adopted by
the United States of America.
⑤［USD/CAD］

The financial index calculated

The amount of CAD equivalent

based on the amount of theto one USD (indicated by ancurrency adopted by Canada

integral multiple of 1/1,000,000).

0.000001

Notional principal
amount of USD 1,000

equivalent to one unit of thecurrency adopted by the UnitedStates of America.
⑥［AUD/USD］

The financial index calculated

The amount of USD equivalent to 0.000001

Notional principal

based on the amount of theone AUD (indicated by anamount of AUD

currency adopted by the Unitedintegral multiple of 1/1,000,000).

1,000

States of America equivalent to
one unit of the currency adopted
by the Commonwealth ofAustralia.
⑦［EUR/CHF］

The financial index calculated

The amount of CHF equivalent

based on the amount of theto one EUR (indicated by an

60.000001

Notional principal
amount of EUR 1,000

Types of FX Clearing Futures

Financial Indices

Price Quotationtransactions (Currency Pairs)

The minimum price

Trading Unit

fluctuation (Tick size)currency adopted by the Swiss

integral multiple of 1/1,000,000).

Confederation equivalent to one
unit of the currency adopted by
the European Economic andMonetary Union.
⑧［EUR/GBP］

The financial index calculated

The amount of GBP equivalent to 0.000001

Notional principal

based on the amount of theone EUR (indicated by anamount of EUR 1,000

currency adopted by the Unitedintegral multiple of 1/1,000,000).

Kingdom of Great Britain andNorthern Ireland equivalent to
one unit of the currency adopted
by the European Economic andMonetary Union.
⑨［NZD/USD］

The financial index calculated

The amount of USD equivalent to 0.000001

Notional principal

based on the amount of the

one NZD (indicated by anamount of NZD 1,000

currency adopted by the Unitedintegral multiple of 1/1,000,000).

States of America equivalent to
one unit of the currency adopted
by New Zealand.
⑩［EUR/AUD］

The financial index calculated

The amount of AUD equivalent

based on the amount of the cto one EUR (indicated by an

7

0.000001

Notional principal
amount of EUR 1,000

Types of FX Clearing Futures

Financial Indices

Price Quotationtransactions (Currency Pairs)

The minimum price

Trading Unit

fluctuation (Tick size)urrency adopted by the Comm

integral multiple of 1/1,000,000).

onwealth of Australia equivalent to one unit of the currency
adopted by the European Economic and Monetary Union.
⑪［GBP/AUD］

The financial index calculated

The amount of AUD equivalent

based on the amount of theto one GBP (indicated by ancurrency adopted by the

integral multiple of 1/1,000,000).

0.000001

Notional principal
amount of GBP 1,000

Commonwealth of Australia
equivalent to one unit of thecurrency adopted by the United
Kingdom of Great Britain andNorthern Ireland.
⑫［AUD/CHF］

The financial index calculated

The amount of CHF equivalent

0.000001

Notional principal

based on the amount of theto one AUD (indicated by anamount of AUD

currency adopted by the Swiss

integral multiple of 1/1,000,000).

1,000

The amount of NZD equivalent to 0.000001

Notional principal

Confederation equivalent to one
unit of the currency adopted by
the Commonwealth of Australia.
⑬［AUD/NZD］

The financial index calculated

8

Types of FX Clearing Futures

Financial Indices

Price Quotationtransactions (Currency Pairs)

The minimum price

Trading Unit

fluctuation (Tick size)based on the amount of theone AUD (indicated by anamount of AUD

currency adopted by New

integral multiple of 1/1,000,000).

1,000

Zealand equivalent to one unit of
the currency adopted by the
Commonwealth of Australia.
⑭［NZD/CHF］

The financial index calculated

The amount of CHF equivalent

based on the amount of theto one NZD (indicated by ancurrency adopted by the Swiss

integral multiple of 1/1,000,000).

0.000001

Notional principal
amount of NZD 1,000

Confederation equivalent to one
unit of the currency adopted by
New Zealand.
⑮［AUD/CAD］

The financial index calculated

The amount of CAD equivalen

0.000001

Notional principal

based on the amount of thet to one AUD (indicated by aamount of AUD

currency adopted by Canada

n integral multiple of 1/1,000,

1,000

equivalent to one unit of the000).

currency adopted by the
Commonwealth of Australia.
⑯［EUR/CAD］

The financial index calculated

The amount of CAD equivalent

based on the amount of theto one EUR (indicated by ancurrency adopted by Canada

integral multiple of 1/1,000,000).

equivalent to one unit of the

90.000001

Notional principal
amount of EUR 1,000

Types of FX Clearing Futures

Financial Indices

Price Quotationtransactions (Currency Pairs)

The minimum price

Trading Unit

fluctuation (Tick size)currency adopted by theEuropean Economic andMonetary Union.

⑰［CAD/CHF］

The financial index calculated

The amount of CHF equivalent

0.000001

Notional principal

based on the amount of theto one CAD (indicated by anamount of CAD

currency adopted by the Swiss

integral multiple of 1/1,000,000).

1,000

Confederation equivalent to one
unit of the currency adopted by
Canada.
⑱［USD/HKD］

The financial index calculated The amount of HKD equivalent
based on the amount of the to one USD (indicated by ancurrency adopted by Hong Kong integral multiple of 1/1,000,000).
SpecialAdministrative

Regionequivalent to one unit of thecurrency adopted by the UnitedStates of America.

100.000001

Notional principal
amount of USD 1,000

Schedule 2

Qualification Criteria for FX Clearing Futures Trading Membership and FX Clearing Membership

Qualification criteria for FX Clearing Futures Trading Members (FX Broker Trading Members and LP Trading Members) and FX Clearing Futures Clearing Members shall be set forth as below:
Items
1.

Description

Qualification

criteria

forClearing

FX

Futures・Remarks

To become an FX Clearing Futures Trading Member, an applicant shall satisfy
the following requirements of from (1) to (4):

Trading

membership(1) Geographic basis

・ The applicant shall have an office or branch in Japan that is engaged in market
derivative transaction on TFX.

(2) FX

Clearing

・ The applicant shall obtain FX Clearing Futures Clearing membership.

membership・ An applicant shall apply fortrading

membershipclearing

membershipsimultaneously:

non-clearing

membership
accepted.
(3) Personnel① To obtain FX Broker Trading Membership, the following criteria of a) and d)shall be satisfied:a)

The applicant is a financial instruments firm which is a corporation, theregistered type of business of which is Type- Ⅰ and Type- Ⅱ financial
instruments business, or is a registered financial institutionb) The applicant is engaged in Specified Currency-Related Over-the

1

and

shall

not

be

ItemsDescription

Remarks

Counter Derivative Transaction (defined in Article 117.1.39 of the BusinessCOO) with investors.
c)

The applicant has two or more counterparties of LP Trading Members

・ A

requirementof

havingwith regard to the respective type of FX Clearing Futures transactions which

multiple counterparty shall beshall be registered with TFX as matters relevant to transaction.

satisfied; no way of transactiond)in case of withdrawal by its one

The applicant has knowledge and capacity enough to perform its

business as FX Broker Trading Member, and having sufficient social credit.

and

only

counterparty

LP

Trading Member.
② To obtain LP Trading Membership, the following criteria shall be satisfied:a) The applicant is a financial instruments firm and, the registered type ofbusiness of which is Type- Ⅱ financial instruments business, or is a
registered financial institutionb) The applicant has knowledge and capacity enough to perform its business as
LP Trading Member, and having sufficient social credit.
(4) Financial Resources

・ The applicant shall satisfy all of the following requirements of from a ) to f):

・ The requirement of financiala)

The capital of the applicant is 300 million yen or more.

resources is the same as theb)

The net assets of the applicants are 2 billion yen or more (provided,

requirement

for

FX

Daily

however, that this criterion shall not apply if TFX finds otherwise that the

Futures Trading Members andequivalent level such as this is satisfied in substance.)

Equityc)

Trading Members.

In the case of a financial instruments firm, the Capital-To-Risk Ratio definedin Paragraph 1 of Article 46-6 of the Act is 200% or more.
d)

The applicant is likely to maintain stable profitability as an FX Broker

2

・ In

Index

respect

Dailyof

Futuresfinancialresources, the applicant having

ItemsDescription

Remarks

Trading Member.

net assets of less than 2 billione)

yen shall obtain guarantee by

In the case of a special financial instruments firm (meaning only a special

financial instruments firm set forth in Article 57-5.2 of the Act, the Consolidated

its

Capital-to-Risk Ratio calculated by the method set forth in Article 2 of thesatisfies the requirement set

Financial Services Agency Notification No.128 of 2010 (hereinafter called theforth in a), c) and e) or f) on the“Consolidated Capital-to-Risk Ratio on Downstream Consolidation”) is 200% orleft and has net assets of at

more.

least three billion yen, and of

f)

which

In the case of a designated special financial instruments firm (meaning adesignated special financial instruments firm set forth in Paragraph 3 of Article
57-12 of the Act), in relation to the Consolidated Capital-to-Risk Ratio set forthin Article 2 of the Financial Services Agency Notification No. 130 of 2010
(hereinafter called the “Consolidated Capital-to-Risk Ratio on Uniform
International Standards”), the “Consolidated Common Equity Tier 1 Capital Ratio”
set forth in Item 1 of the same Article 2 (hereinafter called the “Consolidated
Common Equity Tier 1 Capital Ratio”) is 4.5% or more and the “Consolidated Tier
1 Capital Ratio” set forth in Item 2 thereof (hereinafter called the “Consolidated
Tier 1 Capital Ratio”) is 6% or more and the consolidated total Capital-to-Risk
Ratio set forth in Item 3 thereof (hereinafter called the “Total Consolidated
Capital-to-Risk Ratio”) is 8% or more, or the Consolidated Capital-to-Risk Ratio
calculated by the method set forth in Article 4 thereof (hereinafter called the“Consolidated Capital-to-Risk Ratio on Sample Downstream Consolidation”) is
200% or more.

3parentstableexpected.

companywhich

profitabilityisItems
2. Qualification

Description
Criteria

for FX Clearing Futures

Remarks

・ To become FX Clearing Futures Clearing Member, an applicant shall satisfy thefollowing requirements of from (1) to (4):Clearing membership(1) Geographic Basis・ The applicant shall have an office or branch in Japan to conduct clearing
operation for Market Derivative Transactions at TFX(2) Trading membership・ The applicant shall obtain FX Broker Trading Membership and/or LP Trading
Membership.

(3) Personnel

・ To obtain FX Clearing Futures Clearing membership, the following criteria of a)and b) shall be satisfied:a) The applicant is a financial instruments firm which is a corporation, theregistered type of business of which is Type- Ⅰ and Type- Ⅱ financial
instruments business, （ and, with respect to a financial instruments firm
applying for LP Trading Membership, a corporation, the registered type ofbusiness of which is Type-Ⅱ financial instruments business）.
b) The applicant has knowledge and capacity enough to perform its business as an
FX Clearing Futures Clearing Member, and having sufficient social credit.

(4) Financial Resources

・ The applicant shall satisfy all of the following requirements of from a) to f):

・ The requirement of financiala)

The capital of the applicant is 300 million yen or more.

resources is the same as theb)

The net assets of the applicants are 2 billion yen or more (provided, however, that

requirement for Daily Futures

4

ItemsDescription
this criterion shall not apply if TFX finds otherwise that the equivalent level suchas this is satisfied in substance.)
ｃ）
d)
e)

Remarks
Clearing Members.
・ In

respectoffinancial

In the case of a financial instruments firm, the Capital-To-Risk Ratio defined inresources, the applicant having

Paragraph 1 of Article 46-6 of the Act is 200% or more.

net assets of less than 2 billion

The applicant is likely to maintain stable profitability as an FX Clearing Futures

yen shall obtain guarantee by

Clearing Memberits

In the case of a special financial instruments firm, the Consolidated Capital-to-Risk

satisfies the requirement set

Ratio on Downstream Consolidation is 200% or moreforth in a), c) and e) or f) on theparentcompanywhichｆ） In the case of a designated special financial instruments firm, in relation to theleft and has net assets of at

Consolidated Capital-to-Risk Ratio on Uniform International Standards, theleast three billion yen, and of

Consolidated Common Equity Tier 1 Capital Ratio being not less than 4.5% and thewhich

Consolidated Tier 1 Capital Ratio being not less than 6% and the Total

expected.

Consolidated Capital-to-Risk Ratio being not less than 8%, or the Consolidated
Capital-to-Risk Ratio on Sample Downstream Consolidation being not less than
200% or more.

5stableprofitability

isSchedule 3

Calculation Method of FX clearing deposit
Calculation method of FX Clearing Futures Clearing Deposit shall be as follows:
Items

Description

Remarks

1. Deposit of FX Clearing ・ An FX Clearing Futures Clearing Member shall deposit an FX Clearing Futures
Futures Clearing deposit
2. Calculation Date

Clearing Deposit with TFX.
・ TFX shall provide The First Calculation Date which is a business day six business days
preceding the first business day and the Second Calculation Date which is a business
day six business days preceding the fifteenth day of a month. (If such day falls under aJapanese bank holiday, the business day immediately following such day which is aJapanese bank business day.)3.

Calculation of Aggregate
Requirementof

FX

Clearing

Futures

・ TFX shall calculate the aggregate requirement of FX Clearing Futures Clearing ・ The requirement of an FX Clearing
Deposits according to the following procedures:

Futures Clearing deposit shall be
the amount to be deposited by an
FX Clearing Futures Clearing

Clearing Deposit

Member, while the aggregatedrequirementof

FX

Clearing

Futures Clearing Deposits shall be
the

total

requirement

tobedeposited by all the FX Clearing
Futures Clearing Members.

1

ItemsDescription(1) In respect of each FX Clearing Futures Clearing Member,

Remarks
PML (Probable ・ PML means the loss arising from

Maximum Loss) for FX Clearing Futures transactionｓ shall be calculated as follows:

positions of each clearing member
underpotential

scenariobutplausible

PMLＡｍｏｕｎｔ

involving＝ Sum of long or short position (net basis) for FX Clearing Futures transactions onmarket conditions (potential futures

each Calculation Date × trading unit × volatility during consecutive two trading

exposure), as adjusted based ondays in the volatility sampling period × FX Clearing Settlement Price on each

unsettled variation, etc. (current

Calculation Date + the shortfall of the FX Clearing Exchange Margin on eachexposure).

Calculation Dateextremestress・ The volatility sampling period shallcommence from January 1985.
・ The shortfall of the FX Clearing
Exchange

Margin shall betheabsolute value of the FX Clearing
Exchange

Marginobtainedbysubtracting FX Clearing Margin
Requirement from the deposited FX
Clearing Exchange Margin Amount(if it is positive, the shortfall shall bedeemed as zero).

2

ItemsDescription

Remarks
・ If an FX Broker Trading Member
deposit claim based on LG, theguarantee limit of LG shall bedeemed as the deposited amount ofmargin. The same shall apply in thefollowing.
・ If FX Clearing Settlement Price of a
Cross Currency Pair Transaction isused in the calculation of PML, it
shall be multiplied by FX Clearing
Settlement Price of a Yen Currency
Pairs Transaction with respect tothe said Value Currency of eachCalculation Date.

(2) As for each FX Clearing Futures Clearing Member, the amount of deposited marginon each Calculation Date shall be subtracted from the amount of PML calculated in
the above (1) in order to obtain Reference PML.
Reference PML= PML -

(The amount of deposited margin on each Calculation Date ± FX

Clearing variation (If the variation is positive, it shall be added to the deposited
FX Clearing Exchange Margin Amount. If it is negative, the absolute value ofsuch Variation shall be deducted from the deposited FX Clearing Exchange
Margin Amount)3

ItemsDescription(3)

Remarks

With respect to each set of Reference PML Amounts of each FX Clearing Futures ・ Net asset on a consolidated basis

Clearing Member which is obtained by applying volatility for consecutive two trading shall be applicable.
days obtained in the above (2), the following sum shall be calculated: “the Reference・In principle, the net asset ranking

PML Amounts of FX Clearing Futures Clearing Member whose Reference PML Amountshall be determined by TFX based on

is the largest amount, among the relevant set” and “the Reference PML Amount of FX

the financial statements, etc. of each

Clearing Futures Clearing Member who has the smallest net asset value” (hereinafter

FX Clearing Futures Clearing Member“expected defaulting FX Clearing Futures Clearing Members”).

as of the last day of March every year.

(4) Comparing the sum of Reference PML Amount in respect of expected defaulting FX
Clearing Futures Clearing Members obtained in (3), the largest amount shall be applied
as the remaining loss amount on each Calculation Date.
(5) With respect to each trading day during a period of 6 months preceding each Calculation ・In this case, “ Calculation

Date, the remaining loss amount shall be calculated for each such trading day in Date” in the formula shall be replaced
accordance with procedures of (1) through (4) above, among which the largest amount with “the relevant trading day”.
shall be the largest remaining loss amount.
(6) The aggregate amount of FX Clearing Futures Clearing Deposits requirement shall beobtained by deducting the amount of default compensation reserve for FX Clearing
Futures transactions from the largest remaining loss amount in the above (5).

4

Items
4. Requirement

DescriptionofaFX ・ TFX shall calculate the requirement of FX Clearing Futures clearing deposit for each

Clearing Futures Clearing

FX Clearing Futures Clearing Member in accordance with the following procedures:

Deposit for the respective
FX

Clearing

Futures

Clearing Member.

5

Remarks

ItemsDescription

Remarks(1) The amount equivalent to shortfall of the FX Clearing Exchange Margin against the ・ The amount equivalent to shortfall
maximum volatility shall be obtained by the following formula:of the FX Clearing Exchange
Margin shall be the total sum ofsuch shortfall with respect to all

The amount equivalent to shortfall of the FX Clearing Exchange Margin

the

FX

= Sum of long or short position (net basis) of FX Clearing Futures transactions heldtransactions.

Clearing

Futuresby an FX Clearing Futures Clearing Member on each Calculation Date × trading
unit × the largest value (of the absolute values) of the volatility duringconsecutive two trading days in the volatility sampling period × FX Clearing
Settlement Price on each Calculation Date) – the deposited FX Clearing Exchange ・ With respect to the absolute
Margin Amount on each Calculation Date.

values of the volatility, if thesecond largest value multiplied by
2 is not greater than the largest
value, the second value shall beused.

(2) The aggregate amount of requirement of FX Clearing Futures Clearing Deposit,
after deducting all the FX Clearing Futures Clearing Members’ aggregatedminimum requirement of the FX Clearing Futures Clearing Deposit, shall be
prorated among the members based on the amount equivalent to shortfall of FX
Clearing Exchange Margin (c.f. above 4. (1)).

6

ItemsDescription

Remarks(3) The amount obtained in accordance with the above (2) added by the minimum
requirement of FX Clearing Futures Clearing Deposit Requirement shall be theamount of FX Clearing Futures Clearing Deposit Requirement for such FX Clearing
Futures Clearing Member.
5. Minimum Requirement of ・ The amount of minimum requirement of FX Clearing Futures Clearing Deposit shall be 5
FX

Clearing

Futuresmillion yen for an FX Clearing Futures Clearing Member.

Clearing Deposit
6. Regular calculation of FX ・ In principle, TFX shall calculate the amount of requirement for FX Clearing Futures ・ The 7th business day counted from
Clearing Futures Clearing

Clearing Deposit on the First and the Second Calculation Date and require the relevant

the First Calculation Date shall be

Deposit Requirement

members to deposit by 11:00 a.m. of a business day which falls within seven businessthe first business day of the

day counted from each Calculation Date.

month. The 7th business day

・ As a result of stress testing, TFX may require additional Clearing Deposit from FX
Clearing Futures Clearing Members when necessary.

countedfromtheSecondCalculation Date shall be 15th ofthe month (If such day falls under aJapanese bank holiday, the bankbusiness day immediately following
such day).
・ TFX shall construct historicalscenariosandhypotheticalscenarios and conduct the stresstesting based on them to validate
the financial resources sufficiency.

7