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 |
| HS-VaR |
- Index Futures/OP
(excluding dividends index futures) - JGB Futures/OP
- Interest Futures
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- Electricity Futures
- LNG Futures
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| AS-VaR |
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- Precious Metals Futures/OP
- Rubber Futures
- Energy Futures（other than Electricity/LNG Futures）
- Agricultural Futures
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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.
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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
“VaR Margin Calculation Software” is an application a user of which may obtain VaR Margin calculation results by importing the parameter files for VaR Margin calculation JSCC provides and the position files the user prepares.
To use the VaR Margin Calculation Software, a user is required to agree to the utilization rules.
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 |
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| 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 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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