Update date: 27 Aug.19
Tokyo Finacial Exchange

Financial Market Infrastructure: Quantitative Disclosure(Unit : Millions of yen)Frequency

Principle 4 Credit Risk
Disclosure Description

Ref.No.
4.1

Total value of default resources (excluding initial and retained variation margin)

4.1.1
4.1.2
4.1.3
4.1.4
4.1.5
4.1.6
4.1.7
4.1.8
4.1.9
4.1.104.2
4.2.1

Prefunded Own Capital

4.3
4.3.1

Prefunded Participant
contributions
Prefunded Other
Committed Own/parent funds
Committed Participant
commitments
Committed Other

Start Date

End Date

2019/6/28

2019/6/28

2019/6/28

2019/6/28

2019/6/28

2019/6/28

Interest Rate Futures
Contracts

Post-Haircut

Round of participant defaults
Initial round of participant default
Replenish the default fund

KCCP
Kccp - Kccp need only be reported by those CCPs which are, or seek to be a "qualifying CCP"

4.3.3
4.3.4
Non-cash

4.3.6
4.3.7
4.3.8
4.3.9
4.3.104.3.11
4.3.124.3.134.3.14

Comments

Daily Futures Contracts

800
0
0
1,952
8,100
0
0
0
unlimited
0

2,000
0
0
7,036
20,985000unlimited054

0under relevant law
Value of pre-funded default resources (excluding initial and retained variation margin) held for each clearing service, in total and split by
Cash
Cash deposited at a central
Pre-Haircut
2019/6/28 2019/6/28

4.3.2

4.3.5

BeforeAlongside
After
Required
PostedClearing Service- (4.3.3)"Secured cash deposited at-

Post-Haircut
bank of issue of the currency
Cash deposited at other central Pre-Haircut
Post-Haircut
banks
Secured cash deposited at
Pre-Haircut

4,111

commercial banks

Post-Haircut

4,111

Unsecured cash deposited at

Pre-Haircut

0commercial banks

Post-Haircut

00Sovereign Government Bonds - Pre-Haircut
Post-Haircut
Domestic
Sovereign Government Bonds - Pre-Haircut
Post-Haircut
Other
Agency Bonds
Pre-Haircut
Post-Haircut
State/municipal bonds
Pre-Haircut
Post-Haircut
Corporate bonds
Pre-Haircut
Post-Haircut
Equities
Pre-Haircut
Post-Haircut
Commodities - Gold
Pre-Haircut
Post-Haircut
Commodities - Other
Pre-Haircut
Post-Haircut
Commodities - Mutual
Pre-Haircut
Post-Haircut
Funds/UCITs
Commodities - Other
Pre-Haircut
Post-Haircut
Pre-Haircut
Post-Haircut

1,101
1,077
5,303
3,711

5,314
5,223
529
369

10,5158,900

23,23522,985- commercial banks" refers to the cash
- deposited at ordinary deposit account or- fixed deposit account in commercial bank,
17,392
which does not incur any loss at the
17,392maturity.
0

4.3.15In total

4.4
4.4.1

Credit Risk Disclosures
Whether the CCP is subject to a minimum "Cover1" or "Cover2" requirement in reraqtion to

4.4.2

total pre-funded default resources
The number of business days within which the CCP assumes it will close out default when

1day

members is defined as one Clearing
1day Member that would potentially cause the

4.4.3

calculating credit exposures that would potentially need to be covered by the default fundThe estimated largest aggregate stress loss (in excess of initial Peak day amount in previous

3,123

9,113

1,987

5,471

0

1

margin) that would be caused by the default of any single
participant and its affiliates (including transactions cleared for2018/7/1

2019/6/28

4

12 months
Average over previous 12

4.4.4

indirect participants) in extreme but plausible market conditions months
The number of business days, if any, on which the above
No. of days

4.4.5

amount (4.4.3) exceeded actual pre-funded default resources
The amount in 4.4.3 which exceeded actual pre-funded default

3 (4.4.1) The number of expected defaulting

The actual largest aggregate credit exposure to any single

Peak day amount in previous

0

participant and its affiliates

12 months
Average over previous 12

056

monthsPeak day amount in previous--

participants and their affiliates (including transactions cleared

12 months
Average over previous 12

-

-

4.4.8

for indirect participants) in extreme but plausible market
The number of business days, if any, on which the above

monthsNo. of days

-

-

4.4.9

amount (4.4.3) exceeded actual pre-funded default resources
The amount in 4.4.3 which exceeded actual pre-funded default The top five amount--4.4.10resources
The actual largest aggregate credit exposure to any two

Peak day amount in previous--

12 months
Average over previous 12--

resources

4.4.6

4.4.7

The estimated largest aggregate stress loss (in excess of initial
margin) that would be caused by the default of any twoparticipants and theirits affiliates

largest credit risk to TFX and several
Clearing Members with the lowest amountof net assets.
Interest Rate Futures Contracts : 3
members / Daily Futures Contracts: 2
members697- (4.4.3～4.4.6, 4.4.7～4.4.10)The estimated- largest aggregate stress loss (here in after- "ELL") is calculated on the basis of the- number of expected defaulting members
TFX defines in 4.4.1
56

monthsFrequency

Principle 5 Collateral
Ref.No.

Disclosure Description

5.1

Assets eligible as initial margin, and the respective haircuts applied

5.1.1

Assets eligible, and the respective haircuts applied

Clearing Service

Start Date

End Date--

Interest Rate Futures
Contracts

Daily Futures Contracts

https://www.tfx.co.jp/en/rules/pdf/a-09_en.pdf

Comments(5.1.1)(5.2.1)10 years is the sample period
for calculating haircut ratio since thedisclosure document of 1Q 2018.

5.2
5.2.1
5.3
5.3.1
5.3.2
5.3.3
5.3.4

Assets Eligible for pre-funded participant contributions to the default resources, and the respective haircuts applied (if different from 5.1)
Pre-funded participant contributions to the default resources
https://www.tfx.co.jp/en/rules/pdf/b-18_en.pdf
Results of testing of haircuts
Confidedce interval targeted through the calculation of haircut
2019/4/1
2019/6/28
100.00%100.00%Assumed holding/liquidation period for the assets accepted
4days
4days
Look-back period used for testing the haircuts
1year
1year
The number of days during the look-back period on which the fall in value during the assumed
0day
0day
holding/liquidation period exceeded the haircut on an asset1

(Unit : Millions of yen)Frequency

Principle 6 Margin
Ref.No.

Disclosure Description

6.1

For each clearing service, total initial margin required, split by house and client

6.1.1

Total initial margin required

6.2
6.2.1

6.2.2

6.2.3

6.2.4

6.2.5

6.2.6

6.2.7

6.2.8

6.2.9

6.2.106.2.11

6.2.126.2.136.2.146.2.156.3
6.3.1

House Net

Client Gross
Client Net
Total
For each clearing service, total initial margin held, split by house and client
Cash deposited at a central
House
Pre Haircut
House
Post Haircut
bank issue of the currency
ClientPre Haircut
concerned
ClientPost Haircut
Total
Pre Haircut
Total
Post Haircut
Cash deposited at other central House
Pre Haircut
House
Post Haircut
banks
ClientPre Haircut
ClientPost Haircut
Total
Pre Haircut
Total
Post Haircut
Secured cash deposited at
House
Pre Haircut
House
Post Haircut
commercial bank
ClientPre Haircut
ClientPost Haircut
Total
Pre Haircut
Total
Post Haircut
Unsecured cash deposited at
House
Pre Haircut
House
Post Haircut
commercial banks
ClientPre Haircut
ClientPost Haircut
Total
Pre Haircut
Total
Post Haircut
Sovereign government bonds - House
Pre Haircut
House
Post Haircut
domestic
ClientPre Haircut
ClientPost Haircut
Total
Pre Haircut
Total
Post Haircut
Sovereign government bonds - House
Pre Haircut
House
Post Haircut
otherClientPre Haircut
ClientPost Haircut
Total
Pre Haircut
Total
Post Haircut
Agency bondsHouse
Pre Haircut
House
Post Haircut
ClientPre Haircut
ClientPost Haircut
Total
Pre Haircut
Total
Post Haircut
State/municipal bondsHouse
Pre Haircut
House
Post Haircut
ClientPre Haircut
ClientPost Haircut
Total
Pre Haircut
Total
Post Haircut
Corporate bondsHouse
Pre Haircut
House
Post Haircut
ClientPre Haircut
ClientPost Haircut
Total
Pre Haircut
Total
Post Haircut
EquitiesHouse
Pre Haircut
House
Post Haircut
ClientPre Haircut
ClientPost Haircut
Total
Pre Haircut
Total
Post Haircut
Commodities - GoldHouse
Pre Haircut
House
Post Haircut
ClientPre Haircut
ClientPost Haircut
Total
Pre Haircut
Total
Post Haircut
Commodities - OtherHouse
Pre Haircut
House
Post Haircut
ClientPre Haircut
ClientPost Haircut
Total
Pre Haircut
Total
Post Haircut
Mutual funds / UCITｓHouse
Pre Haircut
House
Post Haircut
ClientPre Haircut
ClientPost Haircut
Total
Pre Haircut
Total
Post Haircut
Other
House
Pre Haircut
House
Post Haircut
ClientPre Haircut
ClientPost Haircut
Total
Pre Haircut
Total
Post Haircut
Total
House
Pre Haircut
House
Post Haircut
ClientPre Haircut
ClientPost Haircut
Total
Pre Haircut
Total
Post Haircut
For each clearing service, total initial margin held, split by house and client
Initial margin rates on
Interest Rate Futures Contracts

Start Date

End Date

2019/6/28

2019/6/28

2019/6/28--

individual contracts where the
CCP sets such rates

FX Daily Futures Contracts

2019/6/28

Clearing Service
Interest Rate Futures
Daily Futures Contracts
Contracts

FX
363

25,602

1,327 (6.1.1)"Total initial margin required" of

800
1,163

66,69092,291

4,409 TFX_FX and TFX_CFD includes the amount- of variation margin.
5,737

5,612
5,612
2,508
2,508
8,120
8,120
7,092
6,962
1,858
1,814
8,951
8,776
28,982
20,282402
281
29,385
20,564
41,68632,856
4,768
4,603
46,45537,459111,101
111,101
310,217
310,217421,317421,317
111,101
111,101
310,217
310,217421,317421,317- (6.1.1～6.2.15)Initial margin deposit for- TFX_FX and TFX_CFD is deposited only by- JPY cash.
(6.2.3)"Secured cash deposited atcommercial bank" refers to the cash
deposited at ordinary deposit account or- fixed deposit account in commercial bank,- and it does not incur any loss at the- maturity.
9,163
9,163
52,69552,69561,85861,8589,163
9,163
52,69552,69561,85861,858https://www.tfx.co.jp/en/historical/futures/spparam.htm

Individual Customerslhttps://www.click365.jp/en/start/start06_02.html

Non-individual Customers andhttps://www.click365.jp/en/start/start06.html

Market Makers
Equity Index Daily Futures Contracts

https://www.clickkabu365.jp/en/start/start05.html

2

Comments

Equity Index

6.4
6.4.1

Type of initial margin model used (e.g. portfolio simulation or risk aggregation) for each clearing service and the key model design parameters for each initial margin model applied to that clearing service
Type of IM modelInterest Rate Futures Contracts
SPAN® method(6.4.1)For Transactions by Individual
Customers of FX Daily Futures contracts,
FX Daily Futures Contracts

Equity Index Daily Futures

Individual Customers

Fixed leverage ratio(x25) method

Non-individual Customers

Historical volatility method

Market Makers

Historical volatility method with the limit of maximum

Customers

leverage ratio(x25)
Historical volatility method with the limit of maximumMarket Makers

leverage ratio(x25)
Historical volatility method

Contracts

6.4.2

Type of IM model change effective date

6.4.3
6.4.4
6.4.5

IM model nameIM model name change effective date
Single-tailed confidence level
Individual Customers
targeted

Customers
Market Makers

Single-tailed confidence level change effective date
Sample/data look-back period for calibrating the model

6.4.8
6.4.9
6.4.106.4.11
6.4.12

Look back period change effective date
Adjustments or scalars or weighting, if any, applied to histrical data
Adjustments change effective date
Close-out/holding periods
Close-out/holding periods effective date

6.4.13

IM rates link

relevant laws and regulations.
(*1)For Transactions by Individual
Customers of FX Daily Futures contracts,
TFX determines the Margin Reference(*2)
6months(*2)
8weeks or

(*2)
(*2)
1day
(*2)

104weeks(*3)
(*2)
(*2)
1day
(*2)

(*2) (*2)Since TFX adopted the Financial- Resources Framework in July 2015, those(*2) parameters are reviewed once a year as
1day part of the validation of overall risk(*2) management framework.

2017/2/27(*1)

https://www.tfx.co.jp/en/historical/futures/spparam.htm
Individual Customerslhttps://www.click365.jp/en/start/start06_02.html

Non-individual Customers andhttps://www.click365.jp/en/start/start06.html

Market Makers
Equity Index Daily Futures Contracts
6.4.146.4.15
6.5
6.5.1.1

ratio of 25 times as prescribed in the

99.00%

Interest Rate Futures Contracts
FX Daily Futures Contracts

Amount based on the maximum leverageAmount based on the maximum leverage
2018/2/19 ratio of 25 times as prescribed in the
2018/1/26 relevant laws and regulations. TFX has
confirmed that the ratio fully covers
confidence level of 99% or more in price99.00%
movement data used in stress test with
99.00%
respect to at least three major currency(*2)
pairs (USD/JPY, EUR/JPY, AUD/JPY).
24weeks

1996/4/8
SPAN®
99.00%

Non-individual Customers and Market Makers

6.4.6
6.4.7

TFX determines the Margin Reference(*3)Non-individual Customers and Market
Makershttps://www.clickkabu365.jp/en/start/start05.html

Frequency of parameter reviews
Frequency of parameter reviews change effective datemonthly(*2)

weekly(*2)

Results of back-testing of initial margin. At a minimum, this should include, for each clearing service and each initial margin model applied to that clearing service
Number of times over the past 12 months that margin coverage held against any account fell
2018/7/1
2019/6/28
0weekly(*2)

3

44 (Note)(6.5.4)Peak that margin coverage

below the actual marked-to-market exposure of that member account - based on daily back-held against a clearing member fell below

testing results
6.5.1.2 Frequency of daily back-testing result measurements
6.5.1.3 Time of daily back-testing result if measured once a day
Number of observations
6.5.2

daily
17:00:00
3,756

daily
6:00:00
6,216

100.00%99.95%

the actual marked-to-market exposure ofdaily that member account - based on daily back6:00:00
testing results.
4,250
98.96% (Note)(6.5.5)Average that margin coverage
held against a clearing member fell below

6.5.3

Achieved coverage level

6.5.4

Where breaches of initial margin coverage have occurred,

Peak

0

16

628 the actual marked-to-market exposure of

6.5.5

report on size of uncovered exposure; Peak size
Where breaches of initial margin coverage have occurred,

Average08that member account - based on daily back67 testing results.

6.6
6.6.1
6.7
6.7.1
6.8
6.8.1

report on size of uncovered exposure; Average Size
Average Total Variation Margin Paid to the CCP by participants each business
Average Total Variation Margin Paid to the CCP by participants each businessMaximum total variation margin paid to the CCP on any given business day over the period
Maximum total variation margin paid to the CCP on any given business day over the period
Maximum aggregate initial margin call on any given business day over the period
Maximum aggregate initial margin call on any given business day over the period

2019/4/1

2019/6/28

53

1,672

365

2019/4/1

2019/6/28

264

5,208

2,166

2019/4/1

2019/6/28

34

113

15
(Unit : Millions of yen)

Principle 7 Liquidity Risk

Frequency

Disclosure Description

Start Date

End Date

7.1

Liquidity Risk

7.1.1

State whether the clearing service maintains sufficient liquid resources to 'Cover 1' or 'Cover 2'.

2019/6/28

2019/6/28

7.1.2

Size and composition ofqualifying liquid resources for

Ref.No.

Clearing Service
Interest Rate Futures
Contracts

Comments

Daily Futures Contracts

4

3 (7.1.1)The number of expected defaulting(a) Cash deposited at a central bank of issue of the currency

0

members is defined as one Clearing
0 Member that would potentially cause theconcerned(b) Cash deposited at other central banks

0

0

7.1.4

(c) Secured cash deposited at commercial banks (including

0

160,089

7.1.5

reverse repo)(d) Unsecured cash deposited at commercial banks

0

7.1.6

(e) secured committed lines of credit (ie those for which

0

7.1.3

each clearing serviceof net assets.
Interest Rate Futures Contracts :0 3members / Daily Futures Contracts :2members.
0(7.1.4)"Secured cash deposited atincluding committed foreign exchange swaps and committedcommercial bank" refers to the cash

7.1.7
7.1.8

draw without providing collateral/security)(g) highly marketable collateral held in custody anddeposited at ordinary deposit account or

29,00000

0

0

0 with several commercial banks designatedinvestments that are readily available and convertible into cashwith prearranged and highly reliable funding arrangements

7.2
7.2.1

Clearing Members with the lowest amountcollateral/security will be provided by the CCP if drawn)
repos(f) unsecured committed lines of credit (ie which the CCP may

7.1.9
7.1.107.1.11largest liquidity risk to TFX and several

fixed deposit account in commercial bank,which does not incur any loss at thematurity.
(7.1.7)The liquidity supply facilities are set

even in extreme but plausible market conditions(h) other
State whether the CCP has routine access to central bank liquidity or facilities
Details regarding the schedule of payments or priority for allocating payments, if such exists,

None.
https://www.tfx.co.jp/en/rules/pdf/a1a08_en.pdf

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

and any applicable rule, policy, procedure, and governance arrangement around such decision

procedural steps provided in the applicablemaking.
Size and composition of any supplementary liquidity risk resources for each clearing service above those qualifying liquid resources above.
Size and composition of any supplementary liquidity risk resources for each clearing service-

agreements.

above those qualifying liquid resources in 7.1

3

4,253

7.3
7.3.1

7.3.2

Liquidity Risk
Estimated largest same-day and, where relevant, intraday and

SameDayPayment_Total

3,755

22,634

multiday payment obligation ("ELPO") in total that would be

SameDayPayment

3,755

22,634caused by the default of any single participant and its affiliates

IntraDayPayment--

2018/7/1

2019/6/28

MultiDayPayment
in extreme but plausible market conditions
Report the number of business days, if any, on which the above amount exceeded its qualifying

-

-

0

0

0

0

liquid resources (identified as in 7.1, and available at the point the breach occurred), and by
7.3.3

how much;No. of days in quarter
Number of business days, if any, on which the above amount exceeded its qualifying liquid
resources (identified as in 7.1, and available at the point the breach occurred), and by how

7.3.4

7.3.5

much; Amount of excess on each day
Actual largest intraday and multiday payment obligation of a

SameDayPayment_Total

192

5,121

single participant and its affiliates (including transactions

SameDayPayment

192

5,121

cleared for indirect participants) over the past twelve months;

IntraDayPayment

-

-

-

-

-

-

-

-

-

-

MultiDayPayment
Peak day amount in previous twelve months
Estimated largest same-day and, where relevant, intraday and multiday payment obligation ineach relevant currency that would be caused by the default of any single participant and its
affiliates (including transactions cleared for indirect participants) in extreme but plausible

7.3.6

market conditions
Number of business days, if any, on which the above amounts exceeded its qualifying liquid
resources in each relevant currency (as identified in 7.1 and available at the point the breach

7.3.7

occurred), and by how much
Report the number of business days, if any, on which the above amounts exceeded its
qualifying liquid resources in each relevant currency (as identified in 7.1 and available at the
point the breach occurred), and by how much; Amount of excess on each day

Principle 13 Default rules and Procedures
Disclosure Description

Ref.No.
13.1

Quantitative information related to defaults

13.1.1

Quantitative information

Amount of loss versus amount of initial margin13.1.2 related to defaults
13.1.3.
13.1.3.
13.1.4Frequency
Start Date

End Date

2019/4/1

2019/6/28

Clearing Service
Interest Rate Futures
Contracts

Amount of other financial resources used to cover losses
Proportion of client positions closed-out
Proportion of client positions ported
Appropriate references to other published material related toComments

Daily Futures Contracts

-

-

-

-

the defaults

Principle 14 Segregation and Portability
Disclosure Description

Ref.No.

Frequency
Start Date

End Date

14.1

Total Client Positions held as a share of notional values cleared or of the settlement value of securities transactions

14.1.114.1.214.1.314.1.4

Total Client Positions held in individually segregated accounts
Total Client Positions held in omnibus client-only accounts, other than LSOC accounts
Total Client Positions held in legally segregated but operationally comingled (LSOC) accounts
Total Client Positions held in comingled house and client accounts

2019/6/28

2019/6/28

Clearing Service
Interest Rate Futures
Contracts

Comments

Daily Futures Contracts

0.00%
100.00%
0.00%
0.00%

100.00%
0.00%
0.00%
0.00%
(Unit : Millions of yen）

Principle15

General Business Risk

Disclosure Description

Ref.No.
15.1

General business risk

15.1.115.1.215.2
15.2.115.2.215.2.315.2.415.2.515.2.615.2.715.3
15.3.1
15.3.2

Value of liquid net assets funded by equity
Six months of current operating expenses
General business risk; Financial Disclosures
Total Revenue (Operating revenue)
Total Expenditure (Operating expenditure)
Profits
Total Assets
Total Liabilities
Explain if collateral posted by clearing participants is held on or off the CCP's balance sheet
Additional items as necessary
General business risk; Income breakdown
Percentage of total income that comes from fees related to provision of clearing services
Percentage of total income that comes from the reinvestment (or rehypothecation) of assets

Frequency

Clearing Service
Interest Rate Futures

Comments

Daily Futures Contracts

Start Date

End Date

2018/4/1

2019/3/31

2018/4/1

2019/3/31

6,619 (*5) Cash collateral is held on the balance
6,855 sheet. Non-Cash collateral is held off the-236 balance sheet.
532,342
511,036(*5)-

2018/4/1

2019/3/31

90.17% （15.3.1）Trading service fees include
0.49% clearing service fees.

Contracts

18,506
1,453(*4)

provided by clearing participants(*4) Six months of current operating expenses after subtracting the following items.
1. The amount of depreciation expence.
2. Trading service fees received from Market Maker include the incentive program fees (3,083million yen) to be passed through trading members. Both Total revenue and Total expenditure on the Financial Statements include the
incentive program fees.

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

Ref.No.

Frequency
Start Date

End Date

Clearing Service
Interest Rate Futures
Contracts

Comments

Daily Futures Contracts

16.1

Total cash (but not securities) received from participants, regardless of the form in which it is held, deposited or invested, split by whether it was received as initial margin or default fund contribution

16.1.1

Initial margin

Default fund, received from participants
How total cash received from participants (16.1) is held/deposited/invested, including;
Percentage of this total participant cash held as cash deposits
Percentage held : as cash deposits at central banks of issue of the currency deposited
Percentage held : as cash deposits at other central banks
Percentage held : as cash deposits at commercial banks (Secured, including through reverse
Percentage held : as cash deposits at commercial banks (Unsecured)
Percentage held : as cash deposits in money market funds
Percentage held : as cash deposits in other forms
Percentage split by currency of these cash deposits
Local currency, JPY
Percentage held as cash deposits
Weighted average maturity of these cash deposits and money market funds
16.2.10 Percentage of total participant cash invested in securities; Domestic sovereign government
16.2.11 Percentage of total participant cash invested in securities; Other sovereign government bonds
16.2.12 Percentage invested in : agency bonds
16.2.13 Percentage invested in : state/municipal bonds
16.2.14 Percentage invested in : other instruments
16.2.15 Percentage split by currency of these securities
16.2.16 Weighted average maturity of these securities
16.2.17 Estimate of the risk on the investment portfolio
16.2.18 Investment policy sets a limit on the proportion of the investment portfolio that may be
16.1.216.2
16.2.116.2.216.2.316.2.416.2.516.2.616.2.716.2.816.2.9allocated to a single counterparty, and the size of that limit
16.2.19 Number of times over the previous quarter in which this limit has been exceeded
16.2.20 Percentage of total participant cash held as securities
16.3
Rehypothecation of participant assets (ie non-cash)
16.3.1 Total value of participant non-cash rehypothecatedInitial margin16.3.2 Total value of participant non-cash rehypothecatedDefault fundInitial margin16.3.3 Maturities
Default fund16.3.4 Maturities

2019/6/28

2019/6/28

2019/6/28

2019/6/28

8,120

483,175

3,311

15,392100.00%0.00%
0.00%
100.00%
0.00%
0.00%
0.00%
100.00%100.00%(*6)
0.00%

2019/6/28

4

2019/6/28

100.00% (16.2.4)"Secured : as cash deposits at
0.00% commercial banks" refers to the cash
0.00% deposited at ordinary deposit account or100.00% fixed deposit account in commercial bank,
0.00%
which does not incur any loss at the
0.00%
maturity.
0.00%
100.00%100.00% (*6) All cash received from participants is
0.54 years deposited at ordinary deposit account in
0.00% commercial banks.
- (16.2.18) Investment is made obeying the- management and operation rules forcollateral.
0.00%
0.00%

-

- (16.3) Participant assets are not-- rehypothecated by TFX.
-Frequency

Principle 17 Operational Risk
Disclosure Description

Ref.No.

Start Date

Clearing Service

End Date

Interest Rate Futures
Contracts

Comments

Daily Futures Contracts

17.1

Operational availability target for the core system(s) involved in clearing (whether or not outsourced) over specified period for the system (e.g. 99.99% over a twelve-month period)

17.1.1

Operational availability target for the core systems involved in clearing over specified period for--

100.00%100.00%17.2
17.2.117.3

the system
Actual availability of the core system(s) over the previous twelve month period
Actual availability of the core system(s) over the previous twelve month period
Total number of failures
Total number of failures and duration affecting the core system(s) involved in clearing over the

2018/7/1

2019/6/28

100.00%100.00%2018/7/1

2019/6/28

0

0

-

-

2hours2hours

17.3.1
17.4
17.4.1previous twelve month period
Recovery time objective(s)Recovery time objective(s) (e.g. within two hours)

Principle 18 Access and Participation Requirements
Disclosure Description

Ref.No.
18.1

18.1.1.2 Number of Direct clearing members
18.1.1.3 Number of Others category
18.1.2.1 Number of Central bank participants
18.1.2.2 Number of CCP participants
18.1.2.3 Number of Bank participants
18.1.2.4 Number of Other participants
18.1.3.1 Number of Domestic participants
18.1.3.2 Number of Foreign participants
18.2
Open Position Concentration
Largest 5 members
18.2.1 Fewer than 25 members
25 or more members

Largest 5 members
Largest 10 members

18.2.318.3
18.3.1

Initial Margin Concentration
Fewer than 25 members

Largest 5 members

18.3.225 or more members

Largest 5 members

18.3.3Largest 10 members

18.4
18.4.1
18.4.218.4.3Segregated Default Fund Concentration
Fewer than 25 members
Largest 5 members
25 or more members
Largest 5 members
Largest 10 members

End Date

2019/6/28

2019/6/28

Contracts

Comments

Daily Futures Contracts

0

0
0
0
0
13
17
29
1

27
0
0
0
4
23
25
2

2019/4/1

2019/6/28

73.01%
68.13%
95.61%
94.61%

68.16%
67.73%
84.53%
83.98%

Peak
AveragePeak
AveragePeak
Average

2019/4/1

2019/6/28

72.96%
70.15%
90.22%
89.46%

78.62%
78.31%
89.78%
89.55%

Quarter end
Quarter end
Quarter end

2019/6/28

2019/6/28

28.28%
47.08%

71.25%
89.44%

Disclosure Description

Ref.No.

30

Peak
AveragePeak
AveragePeak
Average

Principle 19 Tiered Participation Arrangements

19.1

Start Date

Clearing Service
Interest Rate Futures

Number of clearing members, by clearing service

18.1.1.1 Number of General clearing members

18.2.2Frequency

Frequency
Start Date

End Date

2019/4/1

2019/6/28

Clearing Service
Interest Rate Futures
Contracts

Daily Futures Contracts

Comments

Tiered participation arrangements, measures of concentration of client clearing

19.1.1 Number of clients (accounts)
19.1.2 Number of direct menbers that clear for clients
Attributable to the top five19.1.3.1 Percent of client transactions
19.1.3.2
clearing menbers
Attributable to the top ten
19.1.4.1
19.1.4.2
clearing menbers

Peak
AveragePeak
Average30100.00%97.29%
100.00%100.00%1,190,693
21
77.13%
69.92%
92.66%
89.94%(Unit : Millions of yen）

Principle 23 Disclosure of Rules, Key Procedures, and Market Data
Ref.No.

Disclosure Description

Frequency
Start Date

End Date

Clearing Service
Interest Rate Futures
Daily Futures Contracts
Contracts

23.1

Disclosure of rules, key procedures, and market data; Average Daily Volumes

23.1.123.1.223.2
23.2.123.2.223.2.323.2.4

Average daily volumes
Average notional value of trades cleared
Segregated Default Fund Concentration

2019/4/1

2019/6/28

3,238lots
323,809

Gross notional outstanding/total settlement value of novated but not-yet settled securities transactions

2019/6/28

2019/6/28

8,437,320
Interest Rate
Futures/Option
YEA
0#JEY

23.3
23.3.123.3.2Disclosure of rules, key procedures, and market data; Execution Facility
Average daily volumes submitted by Execution facility or matching/confirmation venue
Notional contract values submitted by Execution facility or matching/confirmation venue

2019/4/1

2019/6/28

3,238lots
323,809

Asset class
Product type
Product code

Bloomberg
Reuters

5

FX
87,475lots
69,843Equity Index
28,730lots
63,492

1,447,410
545,198
FX
Equity Index
Forex
CFD
JNUSCFDTFXJNKY
0#TFXFX TFX/CFD/INDEX
87,475lots
69,84328,730lots
63,492

Comments