Update date: 16 Aug.23
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

Prefunded Own Capital

BeforeStart Date

End Date

2023/6/30

2023/6/30

Clearing Service
Interest Rate

Daily Futures Contracts

Futures Contracts

Comments

FX Clearing

200

2,200

800

4.1.2

Alongside

0

0

0

4.1.3

After

0

0

0

1,400

3,703

375

7,352

16,201

928

0

0

0

0

0

0

4.1.4

Prefunded Participant

Required

4.1.5

contributions

Posted4.1.6

Prefunded Other

4.1.7

Committed Own/parent

Post-Haircut

Round of participant defaults

2023/6/30

2023/6/30

funds
4.1.8

Committed Participant

Initial round of participant default

4.1.9

commitments

Replenish the default fund4.1.10Committed Other

4.2

KCCP

4.2.1

Kccp - Kccp need only be reported by those CCPs which are, or seek to be a2023/6/30

2023/6/30

000Unlimited

Unlimited

Unlimited

0

0

0

0

59

2 (4.2.1)"qualifying CCP" under relevant law

The results based on BCBS227(CEM) are as
followings.
Interest Rate Futures Contracts : JPY 0 / Daily
Futures Contracts : JPY 0 / FX Clearing : JPY 0

4.3

Value of pre-funded default resources (excluding initial and retained variation margin) held for each clearing service, in total and split by

4.3.1

Cash

4.3.2
4.3.3

4.3.4

4.3.5

Non-cash

4.3.6
4.3.7
4.3.8

Cash deposited at a

Pre-Haircut--- (4.3.3)"Secured cash deposited at commercial

central bank of issue of

Post-Haircut--- banks" refers to the cash deposited at ordinary

Cash deposited at other

Pre-Haircut--- deposit account or fixed deposit account incentral banks

Post-Haircut--

Secured cash deposited

Pre-Haircut

2,833

12,876

1,728 loss at the maturity.

at commercial banks

Post-Haircut

2,833

12,876

1,728

Unsecured cash

Pre-Haircut

0

0

0

deposited at commercial

Post-Haircut

0

0

0

banks
Sovereign
Government

Pre-Haircut

1,065

5,317

0

Bonds - Domestic

Post-Haircut

1,042

5,256

0

Sovereign Government

Pre-Haircut

-

-

-

Bonds - Other

Post-Haircut

-

-

-

Agency Bonds

Pre-Haircut

-

-

-

Post-Haircut

-

-

-

Pre-Haircut

-

-

-

Post-Haircut

-

-

-

Pre-Haircut

-

-

-

Post-Haircut

-

-

-

Pre-Haircut

5,254

384

0

Post-Haircut

3,676

269

0

Pre-Haircut

-

-

-

Post-Haircut

-

-

-

Pre-Haircut

-

-

-

Post-Haircut

-

-

-

Commodities - Mutual

Pre-Haircut

-

-

-

Funds/UCITs

Post-Haircut

-

-

-

Commodities - Other

Pre-Haircut

-

-

-

Post-Haircut

-

-

-

Pre-Haircut

9,152

18,577

1,728

Post-Haircut

7,552

18,401

1,728

4

3

1day

1day

State/municipal bonds

4.3.9

Corporate bonds

4.3.10Equities

4.3.11

Commodities - Gold4.3.12

Commodities - Other

4.3.134.3.144.3.15In total

4.4

Credit Risk Disclosures

4.4.1

Whether the CCP is subject to a minimum "Cover1" or "Cover2" requirement in

2023/6/30

2022/7/1

2023/6/30

2023/6/30- commercial bank, which does not incur any

2 (4.4.1) The number of expected defaulting

reraqtion to total pre-funded default resources
4.4.2

members is defined as one Clearing Member

The number of business days within which the CCP assumes it will close out

1日 that would potentially cause the largest credit
risk to TFX and several Clearing Members withdefault when calculating credit exposures that would potentially need to be

the lowest amount of net assets.

covered by the default fund
4.4.3

The estimated largest aggregate stress loss (inPeak day amount inexcess of initial margin) that would be caused byprevious 12 months

the default of any single participant and its affiliates(including transactions cleared for indirect
participants) in extreme but plausible market
4.4.4

conditions
The
number of business days, if any, on which the

123

6,024

1,394 Interest Rate Futures Contracts : 3/ Daily Futures Contracts: 2

Average over previous 12

35

2,388

0

1

38

months1 largest aggregate stress loss (here in after"ELL") is calculated on the basis of the numberof expected defaulting members TFX defines indefault resources

4.4.6

The amount in 4.4.3 which exceeded actual pre-

-

631

145

funded default resources

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

2

0

0

2

0

0

-

-

-

-

-

-

No. of days

-

-

-

The top five amount

-

-

-

The actual largest aggregate credit exposure to any Peak day amount in

-

-

-

-

-

-

The actual largest aggregate credit exposure to any Peak day amount insingle participant and its affiliates

previous 12 months
Average over previous 12
months

4.4.7

The estimated largest aggregate stress loss (inPeak day amount inexcess of initial margin) that would be caused byprevious 12 months

the default of any two participants and theiraffiliates (including transactions cleared for indirect
participants) in extreme but plausible market
4.4.8

conditions
The
number of business days, if any, on which the

Average over previous 12
monthsabove amount (4.4.3) exceeded actual pre-funded
4.4.9

The amount in 4.4.3 which exceeded actual prefunded default resources

4.4.10two participants and theirits affiliates

Clearing: 1 member(4.4.3～4.4.6, 4.4.7～4.4.10)The estimatedNo. of days

above amount (4.4.3) exceeded actual pre-funded
4.4.5

members

members / FX

previous 12 months
Average over previous 12
months1

4.4.1

Frequency

Principle 5 Collateral
Disclosure Description

Ref.No.
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

Daily Futures Contracts

Futures Contracts

Comments

FX Clearing

https://www.tfx.co.jp/en/rules/pdf/y-10.pdf(5.1.1)(5.2.1)10 years is the sample period forhttps://www.tfx.co.jp/en/rules/pdf/y-013.pdf

calculating haircut ratio since the disclosure
document of 1Q 2018.

5.2

Assets Eligible for pre-funded participant contributions to the default resources, and the respective haircuts applied (if different from 5.1)

5.2.1

Pre-funded participant contributions to the default resources

5.3

Results of testing of haircuts

5.3.1

Confidedce interval targeted through the calculation of haircut

100.00%100.00%100.00%5.3.2

Assumed holding/liquidation period for the assets accepted

4days

4days

4days

5.3.3

Look-back period used for testing the haircuts

1year

1year

1year

5.3.4

The number of days during the look-back period on which the fall in value

0day

0day

0day

-

-

2023/4/1

2023/6/30

https://www.tfx.co.jp/en/rules/pdf/k-03.pdf

during the assumed holding/liquidation period exceeded the haircut on an(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

House Net

Start Date

End Date

2023/6/30

2023/6/30

Clearing Service
Daily Futures Contracts

Interest Rate
Futures Contracts

FX

Equity Index

Comments

FX Clearing

028,5862,433

2,648 (6.1.1)"Total initial margin required" of TFX_FXClient Gross-

50,455

8,333- and TFX_CFD and FX Clearing includes the

Client Net

0

-

-

Total

1

79,041

10,765- amount of variation margin.
2,648

6.2

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

6.2.1

Cash deposited at aHouse

Pre Haircut

-

-

-

- (6.1.1～6.2.15)Initial margin deposit for

central bank issue of theHouse

Post Haircut

-

-

-

- TFX_FX and TFX_CFD is deposited only by JPY

currency concerned

ClientPre Haircut

-

-

-

- cash.

ClientPost Haircut

-

-

-

-

Total

Pre Haircut

-

-

-

- (6.2.3)"Secured cash deposited at commercial

Total

Post Haircut

-

-

-

Cash deposited at otherHouse

Pre Haircut

-

-

-

- bank" refers to the cash deposited at ordinary- deposit account or fixed deposit account incentral banks

House

Post Haircut

-

-

-

ClientPre Haircut

-

-

-

- commercial bank, and it does not incur any loss
- at the maturity.

ClientPost Haircut

-

-

-

-

Total

Pre Haircut

-

-

-

-

Total

Post Haircut

-

-

-

-

Secured cash depositedHouse

Pre Haircut

5,112

163,183

32,221

14,310at commercial bank

House

Post Haircut

5,112

163,183

32,221

14,310ClientPre Haircut

1,713

257,107

68,900-ClientPost Haircut

1,713

257,107

68,900-Total

Pre Haircut

6,825

420,290

101,120

14,310

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

6.2.122023/6/30

2023/6/30

Total

Post Haircut

6,825

420,290

101,120

14,310Unsecured cashHouse

Pre Haircut

-

-

-

-

deposited at commercial

House

Post Haircut

-

-

-

-

banks

ClientPre Haircut

-

-

-

-

ClientPost Haircut

-

-

-

-

Total

Pre Haircut

-

-

-

-

Total

Post Haircut

-

-

-

-

Sovereign governmentHouse

Pre Haircut

6,889

-

-

-

bonds - domestic

House

Post Haircut

6,774

-

-

-

ClientPre Haircut

608

-

-

-

ClientPost Haircut

590

-

-

-

Total

Pre Haircut

7,497

-

-

-

Total

Post Haircut

7,364

-

-

-

Sovereign governmentHouse

Pre Haircut

-

-

-

-

bonds - otherHouse

Post Haircut

-

-

-

-

ClientPre Haircut

-

-

-

-

ClientPost Haircut

-

-

-

-

Total

Pre Haircut

-

-

-

-

Total

Post Haircut

-

-

-

-

House

Pre Haircut

-

-

-

-

House

Post Haircut

-

-

-

-

ClientPre Haircut

-

-

-

-

ClientPost Haircut

-

-

-

-

Total

Pre Haircut

-

-

-

-

Total

Post Haircut

-

-

-

-

House

Pre Haircut

-

-

-

-

House

Post Haircut

-

-

-

-

ClientPre Haircut

-

-

-

-

ClientPost Haircut

-

-

-

-

Total

Pre Haircut

-

-

-

-

Total

Post Haircut

-

-

-

-

House

Pre Haircut

-

-

-

-

House

Post Haircut

-

-

-

-

ClientPre Haircut

-

-

-

-

ClientPost Haircut

-

-

-

-

Total

Pre Haircut

-

-

-

-

Total

Post Haircut

-

-

-

-

House

Pre Haircut

11,518

-

-

-

House

Post Haircut

8,059

-

-

-

ClientPre Haircut

626

-

-

-

ClientPost Haircut

438

-

-

-

Total

Pre Haircut

12,144

-

-

-

Total

Post Haircut

8,496

-

-

-

House

Pre Haircut

-

-

-

-

House

Post Haircut

-

-

-

-

ClientPre Haircut

-

-

-

-

ClientPost Haircut

-

-

-

-

Total

Pre Haircut

-

-

-

-

Total

Post Haircut

-

-

-

-

House

Pre Haircut

-

-

-

-

House

Post Haircut

-

-

-

-

ClientPre Haircut

-

-

-

-

ClientPost Haircut

-

-

-

-

Total

Pre Haircut

-

-

-

-

Total

Post Haircut

-

-

-

-

Agency bonds

State/municipal bonds

Corporate bonds

Equities

Commodities - Gold

Commodities - Other2

6.2.136.2.146.2.15

Mutual funds / UCITｓ

Other

Total

House

Pre Haircut

-

-

-

-

House

Post Haircut

-

-

-

-

ClientPre Haircut

-

-

-

-

ClientPost Haircut

-

-

-

-

Total

Pre Haircut

-

-

-

-

Total

Post Haircut

-

-

-

-

House

Pre Haircut

-

-

-

0

House

Post Haircut

-

-

-

0

ClientPre Haircut

-

-

-

-

ClientPost Haircut

-

-

-

-

Total

Pre Haircut

-

-

-

0

Total

Post Haircut

-

-

-

0

House

Pre Haircut

23,519163,183

32,221

14,310House

Post Haircut

19,944

163,183

32,221

14,310ClientPre Haircut

2,947

257,107

68,900-ClientPost Haircut

2,741

257,107

68,900-Total

Pre Haircut

26,466420,290

101,120

14,310

Total

Post Haircut

22,686420,290

101,120

14,3106.3

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

6.3.1

Initial margin rates on

Interest Rate Futures Contracts--

https://www.tfx.co.jp/en/historical/futures/spparam.html

individual contracts
where the CCP sets such

FX Daily Futures

rates

Contracts

Individual Customers

https://www.click365.jp/en/start/start06_02.html

Non-individual Customers

https://www.click365.jp/en/start/start06.html

and Market Makers
Equity Index Daily Futures Contracts

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

FX Clearing

https://www.tfx.co.jp/t-clearfx/data.php

6.4Type 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

6.4.1

Type of IM modelInterest Rate Futures Contracts--

SPAN® method(6.4.1)For Transactions by Individual
Customers of FX Daily Futures contracts, TFXFX 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 leverage ratio(x25)

Customers

Historical volatility method with the limit of maximum leverage ratio

Market Makers

Historical volatility method with the limit of maximum leverage ratio(x10)determines the Margin Reference AmountContracts

based on the maximum leverage ratio of 25
times as prescribed in the relevant laws andregulations.
(*1)For Transactions by Individual Customers

Equity Index Dailyof FX Daily Futures contracts, TFX determines
the Margin Reference Amount based on the

Futures Contracts

maximum leverage ratio of 25 times asprescribed in the relevant laws and regulations.

FX Clearing

Emerging-Market Currencies：Historical volatility method with the limit of

TFX has confirmed that the ratio fully covers

maximum leverage ratio(x25)

confidence level of 99% or more in pricemovement data used in stress test with respect

Other Currencies：Historical volatility method
6.4.2

Type of IM model change Trading Member

Private/Customers

effective dateMarket Makers

6.4.3

IM model name

6.4.4

IM model name change effective date

6.4.5

Single-tailed confidence

Individual Customers

level targeted

1996/4/8

2017/2/27-

2021/5/17 to at least three major currency pairs(USD/JPY, EUR/JPY, AUD/JPY).

2022/2/28
2021/2/8 -

SPAN®

-

-

-

-

-

-

-

99.00%(*1)

99.00%

99.00%

Non-individual Customers

99.00%-

Market Makers

99.00%

99.00%

6.4.6

Single-tailed confidence level change effective date

6.4.7

Sample/data look-back period for calibrating the model(*2)Since TFX adopted the Financial Resources
Framework in July 2015, those parameters arereviewed once a year as part of the validationof overall risk management framework.

(*2)

(*2)

(*2)

(*2)

6months

8weeks or

8weeks or

8weeks or 104weeks

104weeks(*3)

104weeks

(*2)

(*2)

(*2)

-

-

-

-

6.4.8

Look back period change effective date

6.4.9

Adjustments or scalars or weighting, if any, applied to histrical data

6.4.10Adjustments change effective date

(*2)

(*2)

(*2)

(*2)

6.4.11

Close-out/holding periods

1day

1day

1day

1day

6.4.12

Close-out/holding periods effective date

(*2)

(*2)

(*2)

(*2)

6.4.13

IM rates link

Interest Rate Futures Contracts

https://www.tfx.co.jp/en/historical/futures/spparam.html

FX Daily Futures

Individual Customers

https://www.click365.jp/en/start/start06_02.html

Non-individual Customers

https://www.click365.jp/en/start/start06.html(*3)Non-individual Customers and Market
Makers(*2)

Contractsand Market Makers
Equity Index Daily Futures Contracts

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

FX Clearing

https://www.tfx.co.jp/t-clearfx/data.php

6.4.14Frequency of parameter reviews

6.4.15Frequency of parameter reviews change effective date

6.5

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

6.5.1.1

Number of times over the past 12 months that margin coverage held against

2022/7/1

2023/6/30

monthly

weeklyweeklyweekly

(*2)

(*2)

(*2)

(*2)

8

3

11

6 (Note)(6.5.4)Peak that margin coverage held

any account fell below the actual marked-to-market exposure of that member

against a clearing member fell below the actual

account - based on daily back-testing results
6.5.1.2

marked-to-market exposure of that member

Frequency of daily back-testing result measurements

daily

daily

daily

daily account - based on daily back-testing results.
(Note)(6.5.5)Average that margin coverage

6.5.1.3

Time of daily back-testing result if measured once a day

17:00:00

6:00:00

6:00:00

held against a clearing member fell below the
10:00:00 actual marked-to-market exposure of thatmember account - based on daily back-testing

6.5.2

Number of observations

1,443

5,966

4,453

1,490

6.5.3

Achieved coverage level

99.45%

99.95%

99.75%

99.60%

6.5.4

Where breaches of initial margin coverage have

Peak

25

2

77

11

Average

4

1

19

2

2023/6/30

0

2,267

487

154

2023/4/1

2023/6/30

2

8,679

1,799

751

2023/4/1

2023/6/30

0

777

293

0

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

Where breaches of initial margin coverage haveoccurred, report on size of uncovered exposure;
Average Size

6.6

Average Total Variation Margin Paid to the CCP by participants each business

6.6.1

Average Total Variation Margin Paid to the CCP by participants each business6.7

Maximum total variation margin paid to the CCP on any given business day over the period

6.7.1

Maximum total variation margin paid to the CCP on any given business day

2023/4/1

over the period
6.8

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

6.8.1

Maximum aggregate initial margin call on any given business day over the3

results.

(Unit : Millions of yen)Frequency

Principle 7 Liquidity Risk
Disclosure Description

Ref.No.
7.1

Liquidity Risk

7.1.1

State whether the clearing service maintains sufficient liquid resources toClearing Service

Start Date

End Date

2023/6/30

2023/6/30

Interest Rate

Daily Futures Contracts

Futures Contracts

Comments

FX Clearing

43

2 (7.1.1)The number of expected defaulting

00

0 that would potentially cause the largest
0 Members with the lowest amount of net assets.

'Cover 1' or 'Cover 2'.
7.1.2
7.1.3

members is defined as one Clearing Member

Size and composition of(a) Cash deposited at a central bank of issue of thequalifying liquidcurrency concerned

resources for each(b) Cash deposited at other central banks

00(c) Secured cash deposited at commercial banks

0172,105liquidity risk to TFX and several Clearing

clearing service
7.1.4

Interest Rate Futures Contracts : 3members /0 Daily Futures Contracts : 2members / FX
Clearing: 1member.

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

0

0

0

7.1.6

(e) secured committed lines of credit (ie those for000 bank" refers to the cash deposited at ordinary(7.1.4)"Secured cash deposited at commercial
which collateral/security will be provided by the CCP

deposit account or fixed deposit account in

if drawn) including committed foreign exchangecommercial bank, which does not incur any

swaps and committed repos
7.1.7

loss at the maturity.

(f) unsecured committed lines of credit (ie which the

14,50000014,500(7.1.7)The liquidity supply facilities are set with

CCP may draw without providing collateral/security)
7.1.8(g) highly marketable collateral held in custody andinvestments that are readily available and0 several commercial banks designated as the
Settlement Banks and TFX can utilize the funds

convertible into cash with prearranged and highly

within the same day upon taking procedural

reliable funding arrangements even in extreme but

steps provided in the applicable agreements.

plausible market conditions
7.1.9(h) other0

7.1.10State whether the CCP has routine access to central bank liquidity or facilities

None.

7.1.11

Details regarding the schedule of payments or priority for allocating payments,

https://www.tfx.co.jp/en/rules/pdf/a1a08_en.pdf

00 (7.1.10)
TFX has an account at the Bank of Japan forsettlement purpose.

if such exists, and any applicable rule, policy, procedure, and governancearrangement around such decision making.
7.2

Size and composition of any supplementary liquidity risk resources for each clearing service above those qualifying liquid resources above.

7.2.1

Size and composition of any supplementary liquidity risk resources for each

-

-

4,607

clearing service above those qualifying liquid resources in 7.1

4

7.3

Liquidity Risk

7.3.1

Estimated largest same-day and, where relevant,

SameDayPayment_Total

133

13,087

3,863 (7.3.1)Display only when aggregate stress loss

intraday and multiday payment obligation ("ELPO")

SameDayPayment

133

13,087

3,863 (in excess of initial margin) has occurred.

in total that would be caused by the default of any

IntraDayPayment--

single participant and its affiliates in extreme but

MultiDayPayment

-

-

-

plausible
marketconditions
Report the
numberof business days, if any, on which the above amount

0

0

0

-

-

-

7.3.2

2022/7/1

2023/6/30-

exceeded its qualifying liquid resources (identified as in 7.1, and available atthe point the breach occurred), and by how much;No. of days in quarter
7.3.3

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 thebreach occurred), and by how much; Amount of excess on each day

7.3.4

7.3.5

Actual largest intraday and multiday payment

SameDayPayment_Total

8

5,080

1,205

obligation of a single participant and its affiliates

SameDayPayment

8

5,080

1,205

(including transactions cleared for indirect

IntraDayPayment

-

-

-

participants) over the past twelve months; Peak day MultiDayPayment

-

-

-

amountin largest
previous
twelve months
Estimatedsame-dayand, where relevant, intraday and multiday--(7.3.5～7.3.7)TFX does not make a foreign- exchange settlement.

-

-

-

-

-

-

payment obligation in each relevant currency that would be caused by thedefault of any single participant and its affiliates (including transactions cleared
for indirect participants) in extreme but plausible market conditions
7.3.6

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 andavailable at the point the breach occurred), and by how much

7.3.7

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

Frequency

Principle 13 Default rules and Procedures
Disclosure Description

Ref.No.

Start Date

End Date

2023/4/1

2023/6/30

Clearing Service
Interest Rate

Daily Futures Contracts

Futures Contracts

Comments

FX Clearing

13.1

Quantitative information related to defaults

13.1.1

Quantitative information

Amount of loss versus amount of initial margin

-

-

-

13.1.2

related to defaults

Amount of other financial resources used to cover

-

-

-

13.1.3.1

Proportion of client positions closed-out

-

-

-

13.1.3.2

Proportion of client positions ported

-

-

-

13.1.4

Appropriate references to other published material

-

-

-

related to the defaults

Frequency

Principle 14 Segregation and Portability
Disclosure Description

Ref.No.

Start Date

End Date

Clearing Service
Interest Rate

14.1

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

14.1.1

Total Client Positions held in individually segregated accounts

14.1.2

Total Client Positions held in omnibus client-only accounts, other than LSOC

2023/6/30

Daily Futures Contracts

Futures Contracts

2023/6/30

Comments

FX Clearing

0.00%

100.00%100.00%100.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

accounts
14.1.3

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

14.1.4

Total Client Positions held in comingled house and client accounts(Unit : Millions of yen）
Principle15

Disclosure Description

Ref.No.

Frequency

General Business Risk

Start Date

End Date

2022/4/1

2023/3/31

Clearing Service
Interest Rate

Daily Futures Contracts

Futures Contracts

Comments

FX Clearing

15.1

General business risk

15.1.1

Value of liquid net assets funded by equity

15.1.2Six months of current operating expenses

15.2

General business risk; Financial Disclosures

15.2.1

Total Revenue (Operating revenue)

15.2.2

Total Expenditure (Operating expenditure)

15.2.3

Profits

15.2.4

Total Assets

571,726

15.2.5

Total Liabilities

550,600

15.2.6

Explain if collateral posted by clearing participants is held on or off the CCP's

548,68115.2.7

Additional items as necessary

15.3

General business risk; Income breakdown

15.3.1

Percentage of total income that comes from fees related to provision of

15.3.2

clearing
services
Percentage
of total income that comes from the reinvestment (or17,925
1,407(*4)

2022/4/1

2023/3/31

4,620 (*5) Cash collateral is held on the balance
3,315 sheet. Non-Cash collateral is held off the
1,304 balance sheet.

2022/4/1

2023/3/31

86.26% （15.3.1）Trading service fees include clearing
0.74% service fees.

rehypothecation) of assets provided by clearing participants(*4) Six months of current operating expenses after subtracting the following items.
-The amount of depreciation expence.

(Unit : Millions of yen）
Frequency

Principle 16 Custody and Investment Risks
Disclosure Description

Ref.No.

Start Date

End Date

Clearing Service
Interest Rate

Daily Futures Contracts

Futures Contracts

Comments

FX Clearing

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

16.1.2

Default fund, received from participants

16.2

How total cash received from participants (16.1) is held/deposited/invested, including;

16.2.1

Percentage of this total participant cash held as cash deposits

16.2.2

Percentage held : as cash deposits at central banks of issue of the currency

16.2.3

Percentage held : as cash deposits at other central banks

16.2.4

Percentage held : as cash deposits at commercial banks (Secured, including

16.2.516.2.62023/6/30

6,825

521,410

14,310

2,633

10,676928

100.00%100.00%

0.00%

0.00%

0.00%

0.00%

0.00% at ordinary deposit account or fixed deposit

100.00%100.00%100.00% account in commercial bank, which does not

Percentage held : as cash deposits at commercial banks (Unsecured)

0.00%

0.00%

0.00% incur any loss at the maturity.

Percentage held : as cash deposits in money market funds

0.00%

0.00%

0.00%

16.2.7

Percentage held : as cash deposits in other forms

0.00%

0.00%

16.2.8Percentage split by currency of these cash deposits

100.00%100.00%100.00% deposited at ordinary deposit account in

16.2.9Percentage held as cash deposits

100.00%100.00%100.00% commercial banks.

(*6)

0.28 years

2023/6/30

2023/6/30

2023/6/30

Local currency, JPY

Weighted average maturity of these cash deposits and money market funds

100.00% (16.2.4)"Secured : as cash deposits at
0.00% commercial banks" refers to the cash deposited

0.00% (*6) All cash received from participants is(*6)

16.2.10Percentage of total participant cash invested in securities; Domestic sovereign

-

0.00%

16.2.11Percentage of total participant cash invested in securities; Other sovereign--- management and operation rules for collateral.

16.2.12Percentage 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

-

0.00%

0.00%

5

0.00% (16.2.18) Investment is made obeying themanagement and operation rules for collateral.

16.2.16Weighted 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 allocated 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

16.2.20

Percentage of total participant cash held as securities

-

-

-

0.00%

0.00%

0.00%

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 fund--

- (16.3) Participant assets are not--

16.3.3Maturities- rehypothecated by TFX.

Initial margin--16.3.4

Maturities-

Default fund

-

-

-

2023/6/30

2023/6/30

6Frequency

Principle 17 Operational Risk
Disclosure Description

Ref.No.

Start Date

Clearing Service

End Date

Interest Rate

Daily Futures Contracts

Futures Contracts

Comments

FX Clearing

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--

100.00%100.00%99.95%

2022/7/1

2023/6/30

100.00%100.00%100.00%2022/7/1

2023/6/30

0

0

0

-

-

2hours2hours2hoursspecified period for the system
17.2

Actual availability of the core system(s) over the previous twelve month period

17.2.1

Actual availability of the core system(s) over the previous twelve month period

17.3

Total number of failures

17.3.1

Total number of failures and duration affecting the core system(s) involved inclearing over the previous twelve month period

17.4

Recovery time objective(s)17.4.1

Recovery time objective(s) (e.g. within two hours)

Principle 18 Access and Participation Requirements
Disclosure Description

Ref.No.
18.1

Frequency
Start Date

End Date

2023/6/30

2023/6/30

Clearing Service
Interest Rate

Daily Futures Contracts

Futures Contracts

Comments

FX Clearing

Number of clearing members, by clearing service
27

0

0

18.1.1.2 Number of Direct clearing members

1

28

6

18.1.1.3 Number of Others category

0

0

0

18.1.2.1 Number of Central bank participants

0

0

0

18.1.2.2 Number of CCP participants

0

0

0

18.1.2.3 Number of Bank participants

12

4

2

18.1.2.4 Number of Other participants

16

24

4

18.1.3.1 Number of Domestic participants

27

26

4

18.1.3.2 Number of Foreign participants

1

2

2

-

-

99.98%--

99.97%

Peak

100.00%62.71%-

Average100.00%61.12%-

Peak

100.00%81.56%-

Average100.00%80.17%---

99.89%--

99.87%

Peak

67.92%

78.03%-

Average

66.81%

77.53%-

Peak

89.38%

88.89%-

Average

89.05%

88.55%---

18.1.1.1 Number of General clearing members

18.2

Open Position Concentration

18.2.1

Fewer than 25 members

Largest 5 members

Peak2023/4/1

2023/6/30

Average
18.2.225 or more members

18.2.3Largest 5 members
Largest 10 members

18.3

Initial Margin Concentration

18.3.1

Fewer than 25 members

Largest 5 members

Peak2023/4/1

2023/6/30

Average18.3.225 or more members

18.3.3Largest 5 members
Largest 10 members

18.4

Segregated Default Fund Concentration

18.4.1

Fewer than 25 members

Largest 5 members

Quarter end

18.4.225 or more members

Largest 5 members

Quarter end

17.86%

70.92%-

Largest 10 members

Quarter end

35.71%

88.31%-

18.4.3

Principle 19 Tiered Participation Arrangements
Disclosure Description

Ref.No.
19.1

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

2023/6/30

2023/6/30

Frequency
Start Date

End Date

2023/4/1

2023/6/30

98.67%

Clearing Service
Interest Rate

Daily Futures Contracts

Futures Contracts

Comments

FX Clearing-

1,900,911

-

28

22

-

19.1.3.1 Percent of client

Attributable to the top

Peak100.00%84.95%-

19.1.3.2 transactions

five clearing menbers

Average100.00%79.05%-

19.1.4.1

Attributable to the top

Peak100.00%94.20%-

19.1.4.2

ten clearing menbers

Average100.00%91.40%(Unit : Millions of yen）

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

Disclosure Description

Frequency
Start Date

End Date

2023/4/1

2023/6/30

Clearing Service
Interest Rate
Futures Contracts

Daily Futures Contracts

Comments

FX Clearing

FX

Equity Index

580lots

109,842lots

208,044lots

856,411lots

58,036116,281263,551

25,661
57,70323.1

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

23.1.1

Average daily volumes

23.1.2Average notional value of trades cleared

23.2

Segregated Default Fund Concentration

23.2.1Gross notional outstanding/total settlement value of novated but not-yet settled securities transactions

100,225

1,162,016

335,146

23.2.2

Asset classInterest Rate

FX

Equity Index

FX

23.2.3

Product type

Futures/Option

Forex

CFD

Forex

23.2.4

Product code

JNUSCFDTFXJNKY-

0#TFXFX TFX/CFD/INDEX-

2023/6/30

2023/6/30

Bloomberg

YPOA Comdty

Reuters
23.3

Disclosure of rules, key procedures, and market data; Execution Facility

23.3.1

Average daily volumes submitted by Execution facility or

0#J03:
2023/4/1

2023/6/30

580lots

109,842lots

208,044lots

856,411lots

58,036116,281263,551

25,661

matching/confirmation venue
23.3.2

Notional contract values submitted by Execution facility ormatching/confirmation venue

7