Credit Default SwapClearing Fund

In respect of each CDS Clearing Participant, a Required CDS Clearing Fund Amount shall be calculated every business day in a manner described below:

First, obtain, with respect to the positions of each CDS Clearing Participant, the portion of the amount of loss (risk equivalent under stressed conditions) expected under extreme but plausible market conditions (Stressed Condition) exceeding the smaller of (i) the Required Initial Margin Amount and (ii) the deposited Initial Margin amount (excess risk amount).
Then, prorate the amount equivalent to the expected loss arising at the time of the simultaneous default of two CDS Clearing Participants (including other CDS Clearing Participants falling under their Affiliated Companies (*1)) whose excess risk amounts are the largest and the second largest, according to the Required Initial Margin Amount of each CDS Clearing Participant. (If such amount is less than 100 million yen, then the minimum Required Clearing Fund Amount of 100 million yen shall apply.) (*2)

(*1) Any subsidiary or affiliate, or the parent company of such Clearing Participant, or any subsidiary or affiliate of the parent company.
(*2) The total required Clearing Fund for CDS amount contributed by all Clearing Participants was JPY 25.9 bil. (as of Mar. 29, 2024)

Stress scenarios are determined by JSCC taking into consideration stress with double the regular holding period (10 days) for the largest historical fluctuation involving default of reference entity. Expected amount of losses that may arise on the part of each Clearing Participant will be calculated with respect to these stress scenarios (the risk equivalent under stressed conditions).