Futures and OptionsClearing Fund
Clearing Fund for Listed Financial Derivatives
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 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. Please refer to the following “Allocation ratio used for the calculation of the Clearing Fund in listed derivatives” to confirm the ratio of the rate by Margin Requirement Equivalent and the rate by excess risk amount equivalent.
(*4) The total required Clearing Fund for Index Futures amount contributed by all Clearing Participants was JPY 530.7 bil. (as of Mar. 31, 2025)
(*5) The total required Clearing Fund for JGB Futures amount contributed by all Clearing Participants was JPY 52.1 bil. (as of Mar. 31, 2025)
Clearing Fund related to Commodity Derivatives
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 9.7 bil. (as of Mar. 31, 2025)
(*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. Please refer to the following “Allocation ratio used for the calculation of the Clearing Fund in listed derivatives” to confirm the ratio of the rate by Margin Requirement Equivalent and the rate by excess risk amount equivalent.
Allocation ratio used for the calculation of Clearing Fund in listed derivatives
Ratio of the rate by Margin Requirement Equivalent (IM amount-based rate) |
Ratio of the rate by excess risk amount equivalent (SLOIM amount-based rate) |
|
---|---|---|
Clearing Fund for Listed Financial Derivatives | 90%(※1) | 10% |
Clearing Fund for Listed Commodity Derivatives | 50% | 50% |
(※1):"W" in Tables 2 and 3 of the "Rules on Required Amount of Clearing Fund" is "0.9".
Stress Scenarios to be Used for Calculation
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.