MarginMargin Calculation Method (VaR Method) for Futures and Options
| [Important Notice] Please be advised that at the bottom of this page, we have provided information regarding the upgrade of the VaR Margin Calculation Software (VMA). We kindly request all users of the VaR Margin Calculation Software to review this information thoroughly. |
JSCC has changed its Margin calculation methodology from "SPAN method" to "VaR method" on November 6, 2023. Please refer to the following file for details.
| Margin Calculation Method for Futures/Option will Change - From SPAN Method to VaR Method - |
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| Change and Feature of Margin Level Associated with the Change of Margin Calculation Method (SPAN Method to VaR Method) |
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Outline of VaR Method
Under VaR Margin calculation method, there are 2 types of calculation method,
i.e., Historical Simulation Method (HS-VaR Method) and Alternative Simulation Method (AS-VaR Method).
- Under HS-VaR Method, the portfolio profit/loss is obtained according to each of the scenarios generated based on historical market data and other factors, and then the amount to cover 99% of such profit/loss is obtained.
- Under AS-VaR Method, parameters, such as expected price fluctuations, are set in advance, and the portfolio profit/loss is obtained according to the scenarios generated based these parameters.
| Outlines of Margin Calculation Method (VaR Method) for Futures/Option Contracts |
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| Handling of Specifics Concerning VaR Method |
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Calculation Method for Each Product
| Calc. Method | Financial Derivatives | Commodity Derivatives |
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| HS-VaR |
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| AS-VaR |
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Web Simulation Environment
“Web Simulation Environment”* has been released on October 23, 2023, which enables a user to check the amount of Margin calculated via the VaR method as of the latest business day.
* A tool developed under the partnership between JSCC and "OpenGamma", an independent firm specialized in margin data replication.
Users may simulate Margin for any position in all Listed Derivatives (instruments listed on Osaka Exchange, Tokyo Commodity Exchange, and Osaka Dojima Exchange) eligible for JSCC clearing. Simulation date is updated to the current day around 17:00.
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Note ・ It may take a few days for new user registration. |
Click Here for Web Simulation Environment (external site)
Click Here to register as a new user(external site)
Please see following User Guide for Web Simulation Environment utilization method:
| User Guide |
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VaR Margin Calculation Software
- VaR Margin Calculation Software
Any download of the application by a user implies his/her consent to the utilization rules. Please make sure to check the utilization rules before download.
| Utilization Rules | |
|---|---|
| VaR Margin Calculation Application Utilization Rules |
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- Download VaR Margin Calculation Software (GUI)
Please refer to the “Overview of VaR Margin Calculation Software” for the application overview, including operating environment, and “GUI Application Specifications” for details, such as the operation method and data entry/output file layout.
| Documents | |
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| Overview of VaR Margin Calculation Software |
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| GUI Application Specifications |
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| GUI Application Specifications Attachment1 VaR Margin Calculation Software Attachment to Connection Specifications |
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| GUI Application Specifications Attachment2 Commodity Codes for BPF and APF |
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| Other Attachments |
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| Software | |
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| GUI Application v1.0 [17 MB] |
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- Parameter Files for VaR Margin Calculation
“Parameter Files for VaR Margin Calculation” are classified into three types of files, i.e., the files recording basic parameters such as confidence level (VPF), the files recording scenario profit/loss for each instrument (BPF), and the Add-on Charge Parameter File (APF).
A user needs to import VPF, BPF, and APF for VaR Margin calculation. As to BPF, a separate file will be provided per product category. So, a user does not need to import BPF for the product categories that are not included in the position subject to the Margin calculation. Moreover, a user does not need to import APF if he/she does not need to calculate Margin Add-on Charge.
Please refer to the “Overview of VaR Margin Calculation Software” and “GUI Application Specifications” for detail.
Parameter Files Location
- Sample Entry/Output Files
i) Position File
A sample of the position file to be prepared by the users. This file contains an arbitrary position of the major instruments listed as of 10/31/2023.
| Position File [1 kb] |
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ii) VaR Margin Calculation Results File
A file that outputs calculation results obtained by importing sample files i) and Parameter Files(VPF,BPF,APF) on 10/31/2023.
| VaR Margin Calculation Results File [1 kb] |
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Files for Reference
- VaR Margin Amount by Issue(File for Margin per Contract)
JSCC publishes files recording VaR Margin when long or short 1 contract of each instrument of Futures/OP on a daily basis. Please see GUI Application Specifications Attachment2 Commodity Codes for BPF and APF. (Through this file, you may only refer to the VaR Margin when holding a specific instrument. Please note that you cannot calculate the VaR Margin when holding 2 or more instruments using this file.)
VaR Margin Amount by Issue File Location (All-Instruments-VaR_yyyymmdd_1600.csv)
| VaR Margin Amount by Issue File Specifications |
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- Margin Fluctuation Ratio File
JSCC publishes, as reference data for Clearing Participants and investors, file recording status of change in Margin (Fluctuation Ratio) calculated based on historical Margin status on a monthly basis.
Margin Fluctuation Ratio File Location (IM_Fluctuation_yyyymmdd.csv)
| Margin Fluctuation Ratio File Specifications |
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- AS-VaR Parameter File
JSCC publishes, each weekend, the parameters to be used for AS-VaR calculation next week.
Please refer to “Outlines of Margin Calculation Method (VaR Method) for Futures/Option Contracts” for detail.
-Parameters are subject to ad hoc revisions in an extraordinary event, such as sudden market fluctuations.
AS-VaR Parameter File Location (AS-VaR_Parameters_yyyymmdd.csv)
| AS-VaR Parameter File Specifications |
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- List of Thresholds for Judgment of charging Margin add-on File
JSCC publishes the parameters for judgment of charging Margin add-on on a monthly basis.
List of Thresholds for Judgment of charging Margin add-on File Location (listofthreshold.xlsx)
Frequently Asked Question
| FAQ |
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VaR Margin Calculation Software Upgrade
- Notice
JSCC is planning to upgrade the VaR Margin Calculation Software (VMA) to version 2.0 on June 10, 2024. This upgrade of VMA is due to layout changes in the VaR Parameter File (VPF), and it will affect all VMA users. Therefore, we kindly request all VMA users to replace their current version (v1.0) with the updated version (v2.0) and review the following documents for the necessary actions regarding the upgrade.
- Distribution of the VPF converted to the new format
JSCC will publish the files that have been converted from the current layout VPF to the new layout VPF at the following timings, in order to ensure that the VPF distributed for the current version (v1.0) can be loaded in the new version (v2.0).
Converted File Location
| Publish Date | Coverage Period | File Name |
|---|---|---|
| April 5, 2024 (Fri) around 6pm |
from July 31, 2023 (Mon) to April 5, 2024 (Fri) |
VPF_converted_VMAver2_20230731-20240405.zip |
| April 19, 2024 (Fri) around 6pm |
from April 8, 2024 (Mon) to April 19, 2024 (Fri) |
VPF_converted_VMAver2_20240408-20240419.zip |
| May 17, 2024 (Fri) around 6pm |
from April 22, 2024 (Mon) to May 17, 2024 (Fri) |
VPF_converted_VMAver2_20240422-20240517.zip |
| June 7, 2024 (Fri) around 6pm |
from May 20, 2024 (Mon) to June 7, 2024 (Fri) |
VPF_converted_VMAver2_20240520-20240606.zip VaRParameter_20240607_1600.csv |
| Documents | |
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| Outline of Changes for VaR Margin Calculation Software Upgrade |
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| GUI Application Specifications and Annex v2.0 |
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| Sample File (VPF) |
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| Software | |
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| GUI Application v2.0 [16 MB] |
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