Futures and OptionsClearing Fund

With qualification of JGB Futures Clearing and Index Futures Clearing, respectively, portion of the amount of loss (risk equivalent under stressed conditions) that may arise under extreme but plausible market conditions (stressed condition) exceeding the amount of Margin (excess risk amount(*1)) is calculated with respect to the positions of each Clearing Participant. The required amount of Clearing Fund shall be the amount equivalent to the expected loss arising at the time of simultaneous default of top two Clearing Participants (including their Affiliated Companies(*2)) in terms of the amount of excess risk amounts, prorated according to the Required Margin Equivalent of each Clearing Participant(*3) (the minimum clearing fund requirement shall be 10 million yen)(*4), (*5).

(*1) The total excess risk amount to be used for the calculation of aggregate Clearing Fund requirement shall be the greater of the average value of daily excess risk amount for the past 6 month period and the excess risk amount on the calculation date.
(*2) Any subsidiary or affiliate, or the parent company of such Clearing Participant, or any subsidiary or affiliate of the parent company.
(*3) Required Margin Equivalent to be used for the proration of Clearing Fund shall be the average for the past one month.
(*4) The total required Clearing Fund for Index Futures amount contributed by all Clearing Participants was JPY 554.2 bil. (as of Mar. 29, 2024)
(*5) The total required Clearing Fund for JGB Futures amount contributed by all Clearing Participants was JPY 48.2 bil. (as of Mar. 29, 2024)

With qualification of Precious Metal Futures Clearing, Rubber Futures Clearing, Agricultural Futures Clearing, Petroleum Futures Clearing, Energy Futures Clearing, Dojiima Agricultural Futures Clearing, Dojima Sugar Futures Clearing and Dojima Precious Metal Futures Clearing, respectively, portion of the amount of loss (risk equivalent under stressed conditions) that may arise under extreme but plausible market conditions (stressed condition) exceeding the amount of Margin (excess risk amount(*1)) is calculated with respect to the positions of each Clearing Participant. The required amount of Clearing Fund(*2) shall be the amount equivalent to the expected loss arising at the time of simultaneous default of one Clearing Participant (including its Affiliated Companies(*3)) whose excess risk amounts is the largest and five Clearing Participants with the lowest amounts of net worth (net assets for registered financial institutions and commercials) (the required amount for Petroleum Futures Clearing shall be the amount equivalent to the expected loss arising at the time of simultaneous default of top two Clearing Participants), prorated according to Required Margin Equivalent of each Clearing Participant and the said amount prorated according to the excess risk amount equivalent of each Clearing Participant (the minimum clearing fund requirement shall be 10 million yen, for Precious Metal Futures and Energy Futures)(*4).

(*1) The total excess risk amount to be used for the calculation of aggregate Clearing Fund requirements shall be the greater of the average value of daily excess risk amount for the past 6 month period and the excess risk amount on the calculation date.　
(*2) The total required Clearing Fund related to Commodity Derivatives amount contributed by all Clearing Participants was JPY 11.0 bil. (as of Mar. 29, 2024)
(*3) Any subsidiary or affiliate, or the parent company of such Clearing Participant, or any subsidiary or affiliate of the parent company.
(*4) Required Margin Equivalent and the excess risk amount equivalent to be used for the proration of Clearing Fund shall be the period average for the past one month, respectively. Ratio of the amount obtained by proration by Margin Requirement Equivalent to the amount obtained by proration based on excess risk amount is one to one.

Stress Scenarios shall be, with respect to Index Futures, JGB Futures, Precious Metal Futures, Rubber Futures, Agricultural Futures, Petroleum Futures, Energy Futures, Dojima Agricultural Futures, Dojima Sugar Futures and Dojima Precious Metal Futures, respectively, the fluctuation rate to be determined by JSCC taking into consideration the distribution curve of two day price fluctuation rate in the past for each product.