JSCC Quantitative Disclosures Summary Q3 2023 November 30. 2023

Disclaimer
Japan Securities Clearing Corporation has taken every effort to ensure the accuracy of the information contained in this document. JSCC shall accept no responsibility or liability for any actions involving the use of this information. JSCC reserves the right to, without notice, revise or alter the contents of this document, or withdraw or halt its publication.本文書に掲載されている情報の正確性については万全を期していますが、JSCCは、この文書の情報を用いて行われる一切の行為について、何ら責任を負うものではありません。JSCCは、予告なしにこの文書の内容の修正・変更やこの文書の削除・公表の中止をする場合があります。 This document is written in English, but some parts are written in both English and Japanese.本文書は原則として英語表記ですが、一部日本語を併記しています。
Introduction
JSCC is a clearing organization licensed in Japan to conduct financial instrument obligation assumption (clearing) services under the Financial Instruments Exchange Law. JSCC is required to strictly comply with "Principles for Financial Market Infrastructures (hereinafter referred to as "PFMI")", as published by the Committee on Payments and Market Infrastructures (CPMI) and the International Organization of Securities Commissions (IOSCO) in April 2012. To enhance overall transparency in financial market infrastructures, CPMI and IOSCO published "Principles for financial market infrastructures: disclosure framework and assessment methodology' in December 2012. In addition, as a supplement to the Principles, they released "Public quantitative disclosure standards for central counterparties" to encourage Clearing Organizations to disclose quantitative information.
License granted by Regulatory Authority in Japan
JSCC was licensed as the Financial Instruments Clearing Organization under the Financial Instruments and Exchange Act in January 2003, and as Commodity Clearing Organization under the Commodity Futures Act in July 2020 when JSCC integrated the commodity clearing services of Japan Commodity Clearing House Co., Ltd. As a result, JSCC is regulated and supervised directly by the Financial Services Agency, the Ministry of Agriculture, Forestry and Fisheries and the Ministry of Economy, Trade and Industry of Japan.
License from Overseas Regulatory Authorities for Clearing Business
- U.S.: Exempt DCO (for Interest Rate Swap Clearing Business and Credit Default Swap Clearing Business)
- Switzerland: Foreign Central Counterparty (for Interest Rate Swap Clearing Business) - Canada: Exempt Clearing Agency (for Interest Rate Swap Clearing Business)* * JSCC was granted interim exemption from Clearing Agency recognition under the Securities Act of Ontario, Canada. - UK: Third-Country CCP (for all Clearing Businesses)* * JSCC has obtained temporary recognition for the provision of services in the U.K. as a Third Country CCP.
はじめに
JSCCは、金融商品取引法に基づき金融商品債務引受業の免許を取得している清算機関であり、決済・市場インフラ委員会（CPMI）と証券監督者国際機構（IOSCO）により2012年4月に公表された「金融市場インフラのための原則（以下「FMI原則」という。）」を遵守する必要があります。 CPMI及びIOSCOは、金融市場インフラの透明性を全般的に向上させるため、2012年12月に「FMI原則：情報開示の枠組みと評価方法」を公表しましたが、更にこれを補完するため、2015年2月に、清算機関が高い頻度で開示すべき定量的な情報の開示を促す、「清算機関のための定量的な情報開示基準」（原題：Public quantitative disclosure standards for central counterparties）を公表しています。
日本の規制当局からの免許取得状況
当社は、金融商品取引清算機関として2003年1月に金融商品債務引受業の免許を取得しており、また、2020年7月に株式会社日本商品清算機構の持つ清算機能を統合して商品市場に係る清算業務を承継するにあたり、商品取引清算機関として商品取引債務引受業の許可を取得しており、日本国の金融庁、農林水産省及び経済産業省による直接の規制と監督を受けています。
海外の規制当局からの認証等の取得状況
【米国】Exempt DCO（対象業務：金利スワップ清算業務、CDS清算業務） 【欧州連合】第三国CCP（対象業務：全清算業務） 【豪州】Prescribed CCPへの指定（対象業務：金利スワップ清算業務） 【香港】ATS-CCP及びdesignated CCP（対象業務：金利スワップ清算業務） 【スイス】外国CCP（対象業務：金利スワップ清算業務） 【カナダ】Exempt Clearing Agency（(対象業務：金利スワップ清算業務）* * JSCCはカナダ・オンタリオ州法上の清算機関としての認証免除に関して、暫定的な決定を受けています。 【英国】第三国CCP（対象業務：全清算業務）* * JSCCは外国CCPとして英国でサービスを提供することについて、暫定的な認証を取得しています。
Highlights
- 71 bil. JPY of JSCC SIG and Compensation by Exchanges/PTS – 79% of JSCC shareholder equity - 14 breaches on stress testing for ETP, resolved on the following business days through the required additional collateral. - Coverage of margin back testing (12-month period) above the JSCC risk appetite. * JSCC risk appetite: IRS & CDS: 99.5% / Other Clearing Businesses: 99% - 0 Liquidity Stress Testing breaches during the quarter - 0 Defaults during the quarter - 100% Operational Availability of the core system over the previous 12 months - JSCC was granted interim exemption from Clearing Agency recognition under the Securities Act of Ontario, Canada.
USD/JPY: as of Sep. 30, 2023
(PQD 17.2.1)
Topic of this Quarter（(1/2)
Global Drill Simulating the Default of a Large-sized Financial Institution
JSCC recently conducted a global fire drill, along with major CCPs in other countries, to simulate the default of a large-sized financial institution. The drill took place from November 13 to November 20, 2023, and involved the participation of the Financial Services Agency, the Bank of Japan, and 52 financial institutions, including banks and securities companies. The purpose of the drill was to test and strengthen the default management functions of each participating CCP, aiming to prevent the spread of contagion from a member institution's default to other market participants. This coordinated simulation marked the first time that key global CCPs simultaneously conducted a default settlement drill, specifically simulating the default of a hypothetical global financial institution.
<Outline of the drill >

Note: The first drill initiated by “CCP Global”, the international association of CCPs globally. 31 CCPs participated.注:国際的な清算機関の業界団体であるCCPグローバルが初めて実施する破綻演習。世界の31清算機関が参加。 7
JSCC provides clearing services to clearing members of 14 different categories, each of which has a default fund to address any losses resulting from the default of a clearing participant in the relevant category. Some of the resources, such as liquidity resources, may be shared across the categories.当社は、以下の14の清算資格に区分して清算業務を行っており、清算資格毎に清算参加者が破綻した場合を想定した損失をカバーするための清算基金制度を設けています。なお、流動性供給枠等は複数の清算資格で共有しています。
*Underlined abbreviations in each segment are those used in the quantitative disclosure of JSCC.
Contribution by JSCC(SIG) & Exchanges/PTSs (end of Quarter) ■■ Compensation by Exchanges & PTSs(ETP Cash Securities) (bil. JPY)    ■ JSCC SIG ■■ Compensation by Exchanges(ETP exc. Cash Securities) Compensation by Exchanges & PTSs (end of Quarter)
Note: About 90% of the Compensation by Exchanges & PTSs are arranged to be contributed by exchanges affiliated with JSCC.注:取引所及びPTSによる損失補償の約90%は、日本取引所グループ内の取引所により拠出されています。 10
JSCC Capital, JSCC SIG (left axis) and Ratio of JSCC SIG to Capital (JSCC SIG/Capital, right axis) (end of Quarter) JSCC SIG before Default Fund (bil. JPY) ■ Capital  ■ ■JSCC SIG     ──JSCC SIG/Capital JSCC SIG before and alongside Default Fund Note: JSCC has adopted class share structure to maintain its own funds for each of clearing businesses - Class A shares for Exchange Traded Products(Cash and Derivatives(Com and Non-Commodity), Class B shares for CDS, Class C shares for IRS, and Class D shares for OTC JGB. Capital amounts per share by class shares as of Mar. 31, 2023 and number of shares are found at the following links:注：JSCCは4つの種類株式（A種類株式：現物取引及び上場デリパティプ取引(商品と商品以外）の清算業務、B種類株式：CDS清算業務、C種類株式：金利スワップ取引清算業務、 D種類株式：国債店頭取引清算業務）を発行しています。各種類株式の1株当たり純資産額（Mar. 31, 2023）及び発行済み株式の総数は以下をご覧ください。 https://www.jpx.co.jp/jscc/kaisya/koukoku.html https://www.jpx.co.jp/jscc/en/company/profile.html
Default Fund (end of Quarter) (bil. JPY) ETP Non-Commodity IIETP(Cash Securities)   ■─■ETP(JGB F&O-OSE) IETP(INDEX F&O-OSE)  —— (JSCC&EXCs/PTSs)/DF 20% 15% 10% 12% 10%
Mutualized Loss Compensation Resources (2/2)

Note: For ETP derivatives, the required amount of the assessment is capped at 3 times the Clearing Fund Requirement of each non-defaulting Clearing Participant. For OTC products, the required amount of the assessment is capped at the Clearing Fund Requirement of each non-defaulting Clearing Participant.注：上場デリバティプに係る特別清算料（VMヘアカットを除く）は、生存参加者の清算基金所要額の3倍の額を上限としています。 OTC取引に係る特別清算料（VMヘアカットを除く）は、生存参加者の清算基金所要額を上限としています。 Kccp Kccp (end of Quarter) Note:JSCC started Kccp calculations based on BCBS 282 methodology (standardized approach to counterparty credit risk (SA-CCR)) in December 2022.
注：2022年12月から、BCBS282(SA-CCR)に基づいて計算しています。
Estimated Largest Aggregate Stress Loss in Excess of Initial Margin (previous 12 months) (bil. JPY) Result for "Cover 2" silo ■ Peak ■ Mean Note: The default assumptions for prefunded financial resources are Cover 2(two Clearing Participants including affiliates with the largest expected loss) for ETP(Cash Secur Derivatives for Non-Commodity and Petroleum), CDS, IRS, & OTC JGB, and Cover 1 + 5 financially weakest Clearing Participants for Commodity ex. Petroleum.注：現物株式、上場金融デリバティプ及び原油については上位2先、原油を除く上場商品デリバティプについては上位1先及び純財産額が下位の5先の破綻を想定しています。
■ Peak
■ Mean
Stress Testing (2/2)
Number of Days exceeded Actual pre-funded Default Resources (during Quarter) - Result for "Cover 2" silo - Result for "Cover 1" silo
Note: Possibility of breaches continuing for consecutive days is minimized by applying additional initial margin in ETP(Cash Securities) and the daily revision of default f clearing services.注：現物清算資格は当初証拠金追加所要額の適用、その他の清算資格は清算基金の日次更新により、当日発生したプリーチは翌営業日には解消することを想定しています。
(bil. JPY) ■ Initial Margin Required(House) � Excess Margin Held(House) ■ Initial Margin Required(Client) ∅ Excess Margin Held(Client) 6,000 Note: Excess margin held is calculated by subtracting initial margin required from initial margin held (post haircut).注：証拠金余剰額は、ヘアカット後の証拠金預託額から証拠金所要額を減じて計算しています。
Initial Margin Required (end of Quarter)
PQD References: 6.1.1, 6.2.15 Initial Margin Held (Post Haircut) (end of Quarter)

Initial Margin (3/3)
Excess Margin Held (end of Quarter)
Number of Margin Breaches (previous 12 months) ■ 2022Q4　■ 2023Q1　■ 2023Q2　■ 2023Q3 Achieved Coverage Level (previous 12 months)
Peak Size of Uncovered Exposure (previous 12 months) (bil. JPY) ■2022Q3　■2022Q4　■2023Q1　■2023Q2　■2023Q3 Peak Size of Uncovered Exposure (previous 3 months) (bil. JPY) ■ 2022Q4　■ 2023Q1　■ 2023Q2　■ 2023Q3 70 60 50 40 30 20 10 0 Cash Securities JGB F&O-OSE   INDEX F&O- OSE Precious Metals-OSE Rubber-OSE  Agricultural- Petroleum- OSE OSE ETP
Maximum Total Variation Margin Paid to JSCC (during Quarter) (bil. JPY) ■ 2022Q3　■ 2022Q4　■ 2023Q1　■ 2023Q2　■ 2023Q3 Maximum Aggregate Initial Margin Call (during Quarter) (bil. JPY) ■ 2022Q3　■ 2022Q4　■ 2023Q1　■ 2023Q2　■ 2023Q3
Collateral Composition of Initial Margin-ETP (end of Quarter) ■ Cash deposited at a central bank of issue of the currency concerned：関連する通貨の発行主体である中央銀行の現金預金■ Secured cash deposited at commercial banks (including reverse repo)：商業銀行における保全された現金預金■ Non-Cash Sovereign Government Bonds - Domestic：現金以外のソプリン債（自国債） ■ Non-Cash Equities：現金以外の株式■ Other：その他Note: “Secured cash deposited at commercial banks (including reverse repo)” is held in settlement accounts of commercial banks, which are entirely protected by the Japanese Deposit Insurance Corporation. “Non-Cash Sovereign Government Bonds – Domestic” is JGBs. “Non-Cash Equities” means domestic listed securities (including convertible bonds for ETP Derivatives). Details of the eligible collateral can be found at the following link注：「商業銀行における保全された現金預金」は全額が預金保険制度の対象となる決済性預金です。 「現金以外のソプリン債（自国債）」は日本国債です。 「現金以外の株式」は内国上場株式です（上場デリバティプはＣＢも含む）。適格担保については以下をご覧ください。 https://www.jpx.co.jp/jscc/en/risk/collateral/collateral.html
Collateral Composition of Initial Margin-OTC (end of Quarter) ■ Cash deposited at a central bank of issue of the currency concerned：関連する通貨の発行主体である中央銀行の現金預金■ Secured cash deposited at commercial banks (including reverse repo)：商業銀行における保全された現金預金■ Non-Cash Sovereign Government Bonds - Domestic：現金以外のソプリン債（自国債） ■ Other：その他Note: “Secured cash deposited at commercial banks (including reverse repo)” is held in a trust account, which is bankruptcy remote from JSCC and clearing participants. For O derivatives, clearing participants and clients may choose between custodying their collateral in a trust or in the central bank. “Non-Cash Sovereign Government Bonds – Domestic” is JGBs.注：「商業銀行における保全された現金預金」は信託銀行に信託されており、JSCC及び清算参加者の破綻リスクから保護されています。 OTCデリバティプの担保の預託先は、清算参加者・清算委託者の選択に従います。 「現金以外のソプリン債（自国債）」は日本国債です。
Total Cash Received from Participants (end of Quarter) Note: For ETP, each Clearing Participant must deposit yen cash with a value that is at least 50% of their default fund requirement, minus JPY1 billion.
注：JSCCは上場商品において、清算基金所要額から10億円を控除した額の半額以上について円貨での預託を求める清算基金の現金預託制度を設けています。
Percentage of Total Participant Cash Held as Cash Deposits (end of Quarter) CFA-regulated ETP ■ cash deposits at central banks of issue of the currency deposited：関連する通貨の発行主体である中央銀行の現預金■ cash deposits at other central banks：その他の中央銀行の現預金■ cash deposits at commercial banks (Secured, including through reverse repo)*：商業銀行のマネー（担保保全されているもの（リパースレポを含む）） ■ cash deposits at commercial banks (Unsecured)：商業銀行のマネー（担保保全されていないもの) ■ in money market funds：MMF（マネーマーケットファンド） ■ in other forms：その他の方法Note: "Cash deposits at commercial banks" are bankruptcy remote from JSCC and clearing participants (for the trust scheme used for CDS and IRS). They are deposited in settle accounts for other clearing membership categories. Deposits for CFA-related ETP are not deposited at the central bank. Only non-JPY currencies are deposited at unsecured commercial banks.注：「商業銀行の現預金」は、CDS及びIRSにおいてはJSCC及び清算参加者から倒産隔離された信託口座に保管されており、その他においては預金保険によって保護された決済性預金です。商先法に基づく商品の担保は中央銀行口座を利用していません。外貨のみを未保全の商業銀行口座に預託しています。
Qualifying Liquid Resources (end of Quarter) and Cover 1 Result of Estimated(during Quarter)/Actual(previous 12 months) Largest Payment Obligations (bil. JPY)   ■ Total Resources ■ Actual Payment(Excluding OTC-JGB) Number of Liquidity Stress Test Breaches (during Quarter)
Note: For OTC- JGB, JSCC has established a liquidity framework via JGB repo transactions with Clearing Participants and other financial institutions.
注：国債店頭取引においては、清算参加者又はそれ以外の金融機関との国債証券のレポ取引により、資金流動性を調達する制度を設けています。

Liquidity (2/2)

Note: Cash is deposited at a central bank and secured cash deposited at commercial banks, depending on JSCC's rules. For ETP, each Clearing Participant must deposit yen cash value that is at least 50% of their default fund requirement, minus JPY1 billion. Therefore, the level of cash varies depending on the default fund requirement. "Unsecured committed lines of credit" mean secured yen-denominated and foreign currency denominated liquidity supplies from its parent company and multiple commercial banks that have been designated as Fund Settlement Banks (Liquidity Supply Facilities).注：中央銀行及び商業銀行の現金預金は、清算基金所要額から10億円を控除した額の半額以上について円貨での預託を求める上場商品に係る清算基金の現金預託制度によるものであり、その額は清算基金所要額に連動します。 「コミットされた無担保信用供与枠：Unsecured committed lines of credit」とは、親会社及び資金決済銀行として指定された複数の商業銀行から確保している流動性供給枠（資金流動性供給ファシリティ）を指します。
Operational Availability
Actual/Target Availability of the Core Systems (previous 12 months)