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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) 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(*1)) in terms of the amount of excess risk amounts, prorated according to the Required Margin Amount of each Clearing Participant (the minimum clearing fund requirement shall be 10 million yen).(*2),(*3)
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, and Required Margin Amount to be used for the proration of Clearing Fund shall be the average of daily Required Initial Margin Amount for past one month.

(*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 Index Futures amount contributed by all Clearing Participants was JPY255.3B (as of 30, June, 2020)
(*3) The total required Clearing Fund for JGB Futures amount contributed by all Clearing Participants was JPY30.7B (as of 30, June, 2020)

Clearing Fund related to Commodity Derivatives

With qualification of Precious Metal Futures Clearing, Rubber Futures Clearing, Agricultural Futures Clearing, Energy Futures Clearing, Dojiima Agricultural Futures Clearing and Dojima Sugar 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) 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 one Clearing Participant (including its Affiliated Companies(*1)) 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), prorated according to the Required Margin Amount of each Clearing Participant (the minimum clearing fund requirement shall be 10 million yen, for Precious Metal Futures and Energy Futures).
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, and Required Margin Amount to be used for the proration of Clearing Fund shall be the average of daily Required Initial Margin Amount for past one month.

(*1) Any subsidiary or affiliate, or the parent company of such Clearing Participant, or any subsidiary or affiliate of the parent company.

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, Energy Futures, Dojima Agricultural Futures and Dojima Sugar 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.