Futures and OptionsClearing Fund

Clearing Fund for Listed 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 one Clearing Participant (including other Clearing Participant in the same corporate group as the relevant Clearing Participant) whose excess risk amounts is the largest and five Clearing Participants with the lowest amounts of net worth, prorated according to the Required Margin Amount of each Clearing Participant (if such amount is less than 10 million yen, then the minimum clearing fund requirement shall be 10 million yen).

The total excess risk amount to be used for the calculation of aggregate Clearing Fund requirements shall be the average of the sum total of daily excess risk amount for past 120 business days, 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 120 business days.

(*1)The total required Clearing Fund for Index Futures amount contributed by all Clearing Participants was JPY157.2B (as of 30, December, 2016)

(*2)The total required Clearing Fund for JGB Futures amount contributed by all Clearing Participants was JPY39.8B (as of 30, December, 2016)

<Illustration of Clearing Fund>

Illustration of Clearing Fund

Stress Scenarios to be Used for Calculation

Stress Scenarios shall be, with respect to Index Futures and JGB Futures, respectively, the fluctuation rate to be determined by JSCC taking into consideration the distribution curve of price fluctuation rate during the period of 250 business days during which the diversification of two day price fluctuation rate has been the largest since 1985.