Date of Disclosure: 28 Aug.18
Tokyo Finacial Exchange

Financial Market Infrastructure: Quantitative Disclosure
Principle 4 Credit Risk

(Unit : Millions of yen)Frequency

Disclosure
Disclosure Description

Ref.No.
4.1.1

Total value Prefunded Own Capital Before

Clearing Service

Start Date

End Date

2018/3/30

2018/3/30

Interest Rate Futures
Contracts

Comments

Daily Futures Contracts

1,000

2,000

Alongside

0

0

After

0

0

3,343

7,766

8,073

23,855

0

0

0

0

0

0

unlimited

unlimited00

of default
4.1.2
4.1.3
4.1.4
4.1.5

resources(excluding
initial andretainedvariation
margin)Prefunded Participant

Required

contributions
Posted4.1.6

Prefunded Other

4.1.7

Committed

Round of participant

4.1.8

Own/parent funds
Committed Participant

defaults
Initial round ofcommitments

participant default
Replenish the default

4.1.9

Post-Haircut

2018/3/30

2018/3/30

fund
4.1.10
4.2.1
4.3.1

4.3.2
4.3.3
4.3.4
4.3.5
4.3.6
4.3.7
4.3.8
4.3.9
4.3.104.3.11
4.3.124.3.134.3.144.3.15

Committed Other
KCCP
Value of

BCBS 282
Cash

Cash deposited at apre-funded

central bank of issuedefaultof the currency

resources

concerned
Cash deposited at(excluding
initial andretainedvariation
margin)Non-cash

Pre-Haircut

2018/3/30
2018/3/30

2018/3/30
2018/3/30

218-

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

Post-Haircut-

other central banks
Secured cash

Pre-Haircut
Post-Haircut
Pre-Haircut

3,870

fixed deposit account in commercial bank,which does not incur any loss at thematurity.
20,133

deposited at

Post-Haircut

3,870

20,133

Unsecured cash

Pre-Haircut

00deposited at

Post-Haircut

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

2,212
2,165
4,341
3,038

5,313
5,208
735
514

10,423
9,073

26,18125,855

Sovereign14.4.1Credit Risk Whether the CCP is subject to a minimum "Cover1" or "Cover2"

2017/4/1

2018/3/30

43 (4.4.1) The number of expected defaulting

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

members is defined as one Clearing

The number of business days within which the CCP assumes it

Member that would potentially cause the1day largest credit risk to TFX and several

1day

will close out default when calculating credit exposures that

Clearing Members with the lowest amountwould potentially need to be covered by the default fundThe estimated largest aggregate stress loss Peak day amount4.4.3(in excess of initial margin) that would bein previous 12

caused by the default of any single

monthsAverage overparticipant and its affiliates (including

9,753

2,271

4,266 members(4.4.3～4.4.6, 4.4.7～4.4.10)The estimated1

6 largest aggregate stress loss (here in after

which the above amount (4.4.3) exceeded"ELL") is calculated on the basis of theactual pre-funded default resources
The amount in 4.4.3 which exceeded actual

4.4.5

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

number of expected defaulting members
1,035
TFX defines in 4.4.1
1,010
550
520
62
26
1,803

270
0

pre-funded default resources

4.4.6

Interest Rate Futures Contracts : 3
members / Daily Futures Contracts: 2

transactions cleared for indirect participants) previous 12
monthsin extreme but plausible market conditions
The number of business days, if any, on
No. of days

4.4.4

of net assets.

3,598

in previous 12
monthsAverage over

0

755

-

-

-

-

previous 12
4.4.7

The estimated largest aggregate stress loss

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

caused by the default of any two participants months

4.4.8

and their affiliates (including transactions

Average overcleared for indirect participants) in extreme

previous 12

but plausible market conditions

monthsThe number of business days, if any, on

No. of days--

The top five

-

-

-

-

-

-

which the above amount (4.4.3) exceeded
4.4.9

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

4.4.10pre-funded default resources
amount
The actual largest aggregate credit exposure Peak day amountto any two participants and theirits affiliates

in previous 12
Average overprevious 12

Principle 5 Collateral
Frequency

Disclosure
Disclosure Description

Ref.No.
5.1.1

Collateral

Assets eligible, and the Initial margin

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(5.1.1)(5.2.1)10 years is the sample period

respective haircuts
5.2.1
5.3.1

Comments

for calculating haircut ratio since theappliedPre-funded participant contributions to

Results of testing of

the default resources
Confidedce interval targeted through thehttps://www.tfx.co.jp/en/rules/pdf/b-18_en.pdf
2018/1/1

2018/3/30

disclosure document of 1Q 2018.

100%

100%

5.3.2

calculation of haircut
Assumed holding/liquidation period for

4days

4days

5.3.3

the assets accepted
Look-back period used for testing the

1year

1year 2018, as it was an error in writing.

5.3.4

haircuts
The number of days during the look-

0day

0day

haircuts

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

2(5.3.3)10 years was initially published as
the period of disclosure document of 1Q
2018 and amended to 1 year in AugustPrinciple 6 Margin(Unit : Millions of yen)Frequency

Disclosure
Disclosure Description

Ref.No.
6.1.1

Total initial Total initial margin required

House Net

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

required
6.2.1

Total initial Cash deposited at a

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

6.2.2

6.2.3

6.2.4

6.2.5

6.2.6

6.2.7

6.2.8

6.2.9

6.2.106.2.11

6.2.126.2.136.2.146.2.15

central bank issue ofClearing Service

Start Date

End Date

2018/3/30

2018/3/30

3Interest Rate Futures
Contracts

FX Daily

Equity Index

Futures

Daily Futures

Contracts

Contracts

Comments

610

25,0791,701 (6.1.1)"Total initial margin required" of

2,100
2,710
2,839
2,839
4,506
4,506
7,345
7,345

71,16596,244
103,944
103,944
303,823
303,823
407,767
407,767

7,941 TFX_FX and TFX_CFD includes the amount- of variation margin.
9,642(6.1.1～6.2.15)Initial margin deposit for
TFX_FX and TFX_CFD is deposited only by
JPY cash.
- (6.2.3)"Secured cash deposited at- commercial bank" refers to the cash
- deposited at ordinary deposit account or- fixed deposit account in commercial bank,- and it does not incur any loss at thematurity.
6,007
6,007
45,70945,70951,716
51,716

11,141
10,9052,369
2,318
13,50913,22322,991
16,087526
368
23,51816,45536,971
29,8317,401
7,193
44,37237,024

103,944
103,944
303,823
303,823
407,767
407,767

6,007
6,007
45,70945,70951,716
51,716

6.3.1

Initial

Initial margin rates on individual contracts

Interest Rate

https://www.tfx.co.jp/en/historical/futures/spparam.hmarginwhere the CCP sets such rates

Futures Contracts
FX Dailytml
Individual Customers:

Futures Contracts

https://www.click365.jp/en/start/start06_02.html
Non-individual Customers and Market Makers:

rates

6.4.1

InitialType of IM model

marginmodel

Equity Index Daily

https://www.click365.jp/en/start/start06.html
https://www.clickkabu365.jp/en/start/start05.html

Futures Contracts
Interest Rate

SPAN® method

Futures Contracts
FX DailyIndividual Customers:

TFX determines the Margin Reference

Fixed leverage ratio(x25) method
Non-individual Customers:

Amount based on the maximum leverage

Historical volatility method
Market Makers:

relevant laws and regulations.

(6.4.1)For Transactions by Individual
Customers of FX Daily Futures contracts,

Futures Contracts

ratio of 25 times as prescribed in the

Historical volatility method with the limit of maximum

6.4.2(Note)(6.4.5)For Transactions by Individual

Equity Index Daily

leverage ratio(x25)
Customers:

Futures Contracts

Historical volatility method with the limit of maximum

TFX determines the Margin Reference

leverage ratio(x25)Market Makers:

Amount based on the maximum leverage

Customers of FX Daily Futures contracts,

ratio of 25 times as prescribed in the

Historical volatility method
1996/4/8

Type of IM model change effective daterelevant laws and regulations. TFX has

2017/2/27 Customers:

confirmed that the ratio fully covers

2018/2/19

confidence level of 99% or more in priceMarketmovement data used in stress test withMakers:6.4.3

IM model name

SPAN®

-

6.4.4

IM model name change effective date

-

-

6.4.5

Single-tailed confidence level targeted99%

Individual

2018/1/26

respect to at least three major currency- pairs (USD/JPY, EUR/JPY, AUD/JPY).
-

Customers:

99% (Note)(6.4.6, 6.4.8, 6.4.10, 6.4.12, 6.4.15)
Since TFX adopted the Financial Resources(Note)

Framework in July 2015, those parameters
are reviewed once a year as part of the

Non-individual
Customers

validation of overall risk management

and Market

framework.

Makers:6.4.6

Single-tailed confidence level change

6.4.7

Sample/data look-back period for calibrating(Note)

99%(Note)

6months Non-individual

the model(Note)(6.4.7)Non-individual Customers and(Note) Market Makers
24weeks

Customersand Market
Makers:
8weeks or
104weeks

6.4.8
6.4.9

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

(Note)-(Note)-(Note)-

6.4.10applied to histrical data
Adjustments change effective date

(Note)(Note)(Note)

6.4.11

Close-out/holding periods

1day

1day

1day

6.4.12

Close-out/holding periods effective date

(Note)(Note)(Note)

6.4.13

IM rates link

Interest Rate

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

Futures Contracts
FX Dailytml
Individual Customers:

Futures Contracts

https://www.click365.jp/en/start/start06_02.html
Non-individual Customers and Market Makers:
https://www.click365.jp/en/start/start06.html
https://www.clickkabu365.jp/en/start/start05.html

Equity Index Daily
Futures Contracts
6.4.14Frequency of parameter reviews

6.4.15Frequency of parameter reviews changemonthly

weeklyweekly(Note)(Note)(Note)

00

effective date
6.5.1.1

Results of

Number of times over the past 12 months

back-that margin coverage held against any

2017/4/1

2018/3/30

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

testing ofaccount fell below the actual marked-to-

the actual marked-to-market exposure of

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

marginbased on daily back-testing results

back-testing results.

6.5.1.2

Frequency of daily back-testing result

daily

daily

6.5.1.3

measurements
Time of daily back-testing result if measured

17:00:00

6:00:00

6.5.2
6.5.3
6.5.4

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

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

3,936
100.0%
0

9,470
100.0%
0

4,288 that member account - based on daily
98.2% back-testing results.
2,015

0

0

166

57

1,836

1,189

177

5,229

10,876

180

340

826

Peak

daily

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

Where breaches of initial margin coverage

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

Total

Average Total Variation Margin Paid to the

Average

Variation

CCP by participants each businessMaximum total variation margin paid to the

PeakMargin2018/1/1

2018/3/30

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

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

(Unit : Millions of yen)Frequency

Disclosure
Disclosure Description

Ref.No.
7.1.1

Clearing Service

Start Date

End Date

2018/3/30

2018/3/30

Interest Rate Futures
Contracts

Comments

Daily Futures Contracts

Liquidity

Liquidity Risk that are

Number of expected

Risk

covered by liquid

defaulting members

resources
Size and composition

Cash deposited at aof qualifying liquid

central bank of issue

Clearing Members with the lowest amountresources for eachof the currencyof net assets.

clearing service

concerned

Interest Rate Futures Contracts :

7.1.2

4

3 (7.1.1)The number of expected defaulting
members is defined as one Clearing

0

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

7.1.3

Cash deposited at

0

0

7.1.4

other central banks
Secured cash

0148,423

3members / Daily Futures Contracts :2members.

deposited at(7.1.4)"Secured cash deposited atcommercial banks
7.1.5

Unsecured cash

0

deposited atfixed deposit account in commercial bank,commercial banks

which does not incur any loss at the

Secured committed

7.1.6

commercial bank" refers to the cash
0 deposited at ordinary deposit account or00lines of credit(7.1.7)The liquidity supply facilities are set

including committedwith several commercial banks designatedforeign exchange

as the Settlement Banks and TFX can utilize

swaps and
7.1.7

committed repos
Unsecured

7.1.8

committed lines ofHighly marketablematurity.

29,000the funds within the same day upon taking
0 procedural steps provided in the applicable

0

0

0

0

agreements.

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

7.1.9
7.1.10State whether the CCP

None.

has routine access tocentral bank liquidity
or facilities(7.1.10)7.1.11

Details regarding the

Any applicable rule,

schedule of payments

policy, procedure,

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

TFX has an account at the Bank of Japan forsettlement purpose.

or priority for allocating and governancepayments

arrangement aroundsuch decision
making

7.2.1

Supplemen Size and composition
taryof any supplementaryliquidityliquidity risk resources

-

-

risk
resources

5

4,452

7.3.1Liquidity

Estimated largest

SameDayPayment

SameDayPayment

Risksame-day and, where

IntraDayPayment

relevant, intraday andMultiDayPayment_TotalIntraDayPayment_

multiday payment

Total

obligation ("ELPO") in

MultiDayPayment_

total that would be

Total

caused by the default

SameDayPayment
IntraDayPayment
MultiDayPaymentof any single
participant and its

7.3.2

affiliates in extreme
but plausible market
conditions

2017/4/1

2018/3/30

Number of business

4,288

16,339

-

-

-

-

4,288
0

16,339
0

0

0

184

49,291

-

-

-

-

184
-

49,291-

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

7.3.3

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

Actual largest intraday and multiday

SameDayPayment

payment obligation of a single participant_Totaland its affiliates

IntraDayPayment_(Peak day amount)

Total(Note)

MultiDayPayment_
Total
SameDayPayment
IntraDayPayment
MultiDayPayment

7.3.5

Estimated largest

SameDayPayment

same-day and, where

IntraDayPayment

relevant, intraday andMultiDayPayment

multiday payment

7.3.6

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

7.3.7

Number of business-- (7.3.5～7.3.7)TFX does not make a foreigndays, if any, on

exchange settlement.

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

previous 3 months)of business days, if--any, on which theabove amounts
exceeded its
qualifying liquid
resources
Principle 13 Default rules and Procedures
Disclosure
Disclosure Description

Ref.No.
13.1.1

Quantitativ Quantitative information related to defaults;

Frequency

Clearing Service

Start Date

End Date

2018/1/1

2018/3/30

Contracts

Comments

Daily Futures Contracts

-

-

-

-

e
13.1.2

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

Interest Rate Futures

related to

Amount of other financial resources used todefaults

cover losses

13.1.3.1

Quantitative information related to defaults;--

13.1.3.2

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

13.1.4

Proportion of client positions ported
Quantitative information related to defaults;--

Appropriate references to other publishedmaterial related to the defaults

6

Principle 14 Segregation and Portability
Disclosure
Disclosure Description

Ref.No.
14.1.1

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

Clearing Service

Start Date

End Date

2018/3/30

2018/3/30

Interest Rate Futures
Contracts

segregated accounts
Total Client Positions held in omnibus client-

Comments

Daily Futures Contracts

0%

100%

100%

0%

0%

0%

0%

0%

only accounts, other than LSOC accounts
14.1.3

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

14.1.4house and client accounts
Principle15 General Business Risk

(Unit : Millions of yen）
Disclosure
Disclosure Description

Ref.No.
15.1.1

Financial

Value of liquid net assets funded by equity

Frequency

Clearing Service

Start Date

End Date

2017/4/1

2018/3/31

Interest Rate Futures
Contracts

Comments

Daily Futures Contracts

18,756 (15.1.1) Amended in August 2018.

items(15.1.2) Six months of current operating

15.1.2Six months of current operating expenses

15.2.115.2.215.2.315.2.415.2.515.2.6

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

1,452 expenses after subtracting the following
items.
2017/4/1

2018/3/31

participants is held on or off the CCP's

6,691 1. The amount of depreciation expence.
6,747 2. The amount of incentive program fees
-56 (2,898 million yen). Trading service fees
512,279 received from Market Maker include the490,839 incentive program fees (2,898 million yen)
(Note) to be passed through trading members.
Both Total revenue and Total expenditurebalance sheet
15.2.7

Additional items as necessary

15.3.1

Percentage of total income that comes fromon the Financial Statements include the2017/4/1

2018/3/31

fees related to provision of clearing services

87.72%

incentive program fees.
(Note)（15.2.6）Cash collateral is held on
the balance sheet. Non-Cash collateral isheld off the balance sheet.
（15.3.1）Trading service fees include

15.3.2

2.50% clearing service fees.

Percentage of total income that comes fromthe reinvestment (or rehypothecation) ofassets provided by clearing participants

7

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

Disclosure Description

Ref.No.

Clearing Service
Interest Rate Futures

Comments

Daily Futures Contracts

Start Date

End Date

2018/3/30

2018/3/30

7,345

459,4832018/3/30

2,870
100%

18,133
100% (16.2.4)"Secured : as cash deposits at

Contracts

16.1.1

Total cash

Initial margin

16.1.216.2.1

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

total cash

as cash deposits
Percentage held : as cash deposits at central

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

0%

0%

100%

100%

16.2.216.2.3

receivedfromparticipants

2018/3/30

central banks
Percentage held : as cash deposits at

Secured (includingcommercial banks

through reverse

16.2.5Percentage held : as cash deposits at

repo)
Unsecured

16.2.616.2.4is held /deposited /invested

fixed deposit account in commercial bank,which does not incur any loss at thematurity.
(Note）(16.2.9) All cash received from

0%commercial banks
Percentage held : as cash deposits in money

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

0%0%

16.2.7

market funds
Percentage held : as cash deposits in other0%(16.2.18) Investment is made obeying the
0% management and operation rules for16.2.8forms
Percentage split by currency of these cash
deposits
Percentage held as cash deposits
Weighted average maturity of these cash

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

16.2.10

Local currency,

100%

100%

100%
(Note)

100%
0.49 years

Domestic

-

0%

Other

-

-

collateral.

JPY

invested in securities
16.2.11Percentage invested in : sovereign
government bonds

16.2.1216.2.1316.2.1416.2.15
16.2.16

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

-

0%
-

16.2.17
16.2.18

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

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

Number of times over the previous quarter in--

16.2.20

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

0%

0%

-

-

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

participant
assets

Initial margin

2018/3/30

2018/3/30

rehypothecatedTotal value of participant non-cash

Default fund--rehypothecatedMaturities
Maturities

Initial margin
Default fund--(16.3) Participant assets are notrehypothecated by TFX.

Principle 17 Operational Risk
Frequency

Disclosure
Disclosure Description

Ref.No.
17.1.117.2.1
17.3.1
17.4.1

Operational Operational availability target for the coreavailability

systems involved in clearing over specified

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

the coresystems

Clearing Service
Interest Rate Futures

Daily Futures Contracts

Start Date

End Date

-

-

100%

100%

2017/4/1

2018/3/30

-

-

100%
0
2hours100%02hours8

Contracts

Comments

Principle 18 Access and Participation Requirements
Disclosure
Disclosure Description

Ref.No.
18.1.1.1

Number of

General clearing members

18.1.1.2
18.1.1.3
18.1.2.1
18.1.2.2
18.1.2.3
18.1.2.4
18.1.3.1
18.1.3.2
18.2.1clearing

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

membersOpen
position

members
concentrati 25 or more members

members
Largest fiveonmembers
Largest ten

Initial18.4.3Fewer than 25

members
Largest fivemarginmembers
concentrati 25 or more members

members
Largest fiveonmembers
Largest ten

Segregated Fewer than 25
default

18.4.2Frequency

fund

members
25 or more members

concentrati
onmembers
Largest fivePeak
AveragePeak
AveragePeak
AveragePeak
AveragePeak
AveragePeak
Average

End Date

2018/3/30

2018/3/30

2018/1/1

2018/3/30

2018/1/1

2018/3/30

2018/3/30

2018/3/30

Contracts

Comments

Daily Futures Contracts

30

0

0
0
0
0
13
17
29
1
70%
65%
92%
89%
66%
65%
87%
86%

26
0
0
0
4
22
24
2
71%
69%
86%
85%
79%
78%
91%
90%

-

-

42%

66%

members
Largest ten

64%

88%

members

Frequency

Disclosure Description

Ref.No.
19.1.1

Measures

Number of clients (accounts)

19.1.2ofNumber of direct menbers that clear forconcentrati clientson of client Percent of client
clearing

Start Datemembers
Largest five

Principle 19 Tiered Participation Arrangements
Disclosure

19.1.3.1
19.1.3.2
19.1.4.1
19.1.4.2

Clearing Service
Interest Rate Futurestransactions

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

Start Date

End Date

2018/1/1

2018/3/30

Peak
AveragePeak
Average

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

Contracts

Daily Futures Contracts-

1,000,755

30

20

100%
95%
100%
100%

76%
65%
93%
90%

Start Date

End Date

23.1.1MarketAverage daily volumes

2018/1/1

2018/3/30

23.1.223.2.1data

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

2018/3/30

2018/3/30

Clearing Service
FX Daily
Equity Index
Interest Rate Futures
Futures
Daily Futures
Contracts
Contracts
Contracts
7,521lots
130,572lots
23,658lots
751,423
16,526,806

133,406
1,564,582

53,250521,147

Interest Rate
Futures/

FX
Forex

Equity Index
CFD

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

Product code

23.3.1

Average daily volumes submitted by

23.3.2

Execution facility or matching/confirmation
Notional contract values submitted byComments(Unit : Millions of yen）
Frequency

Disclosure Description

Ref.No.

Clearing Service
Interest Rate Futures

Bloomberg
Reuters
2018/1/1

2018/3/30

OptionYEA
0#JEY
7,521lots
751,423

Execution facility or matching/confirmation

9

0#TFXFXTFX/CFD/INDEX
130,572lots
23,658lots
133,406

53,250Comments