Pursuant to the provisions of the Cabinet Ofﬁce ordinance on Financial Instruments Business, etc, (The Cabinet Order) when ﬁnancial instrument ﬁrms conduct OTC FX Margin trades with institutional customers, they are required to take sufﬁcient deposit to meet the condition that the margin ratio (margin amount ÷ notional amount) of the new trades executed at the time of the business day should be higher than the margin ratio calculated by the speciﬁc method described in Notice No.25 notiﬁed by the Financial Services Agency as of June 14, 2016.
By following this notice, the Financial Futures Association of Japan (FFAJ) will calculate the margin ratio and publish the margin ratio information on this site weekly. Our members should make use of this information for their OTC FX margin trades with their own institutional customers instead of calculating a foreign exchange risk assumption ratio by themselves. We believe that each currency pair's leverage data which is published together with the foreign exchange risk assumption ratio will help investors understand foreign exchange market trends. (The effective date for the cabinet order is scheduled on February 27, 2017, and the relevant margin ratio for this date will be calculated on February 17, 2017. The margin ratios older than February 17, 2017 are for reference only.)
Price data used for this calculation will be provided by NEX Data Services Ltd (NEX Data) and the calculation and publication work will be conducted by NEX Data outsourced by the FFAJ. For more information on the price data, please visit the NEX Data website. For more information on the calculation details, please click here.
|Base date||Calculation date||Effective date||Foreign exchange risk assumption ratio (all currency pairs)||Leverage (major currency pairs)|
|2020/01/17||2020/01/17||2020/01/27 ~ 2020/01/31||ffaj_margin_ratio_2020011700.csv||c17546dc88542435ed712164f5cace4d||106.38||93.45||60.97||74.07||114.94||81.96||73.52||108.69||42.55||32.89|
|2020/01/10||2020/01/10||2020/01/20 ~ 2020/01/24||ffaj_margin_ratio_2020011000.csv||c59b92a0637b808aebf42b5b5a6735d1||106.38||93.45||60.24||74.07||114.94||81.96||73.52||107.52||42.37||32.89|
|2020/01/03||2020/01/03||2020/01/13 ~ 2020/01/17||ffaj_margin_ratio_2020010300.csv||ddcf662a953f810776d46694f918bd92||106.38||93.45||60.97||74.62||114.94||81.96||74.62||107.52||42.73||33.00|
The FFAJ's foreign exchange risk assumption ratio is calculated with the FX Market Reference Rate provided by NEX Data as base data. Please contact NEX Data for any queries on the FX Market Reference Rate.
|Effective date||FX Market Reference Rate|
|2017/07/21 ~ 2020/01/17||ffaj_3RefRate_2020011700.csv||f4fe1e19e2789a4188d8535d455ba533|