Amendment to Procedures for Reviewing SPAN Parameters

We would like to inform you that the procedures for reviewing SPAN parameters will be amended as follows from June 16, 2008, under the “Comprehensive Improvement Plan of the Risk Management System”.
* For the “Comprehensive Improvement Plan of the Risk Management System”, please refer to the following
link: Comprehensive Improvement Plan of the Risk Management System

1. Regular review of SPAN parameters

With regards to SPAN parameters, which are currently reviewed on a quarterly basis, they will be reviewed once a week from June 16, 2008 in accordance with the following operational procedures:

(1) )Announcement Date
The new parameters to be applicable from the next week are published around 3 pm on the first business day every week on JSCC’s website and Target-JSCC site.

(2) Applicable Period
The period during which new parameters are to be applicable is from the first business day to the last business day of the next week after the announcement.
The parameters newly reviewed under the amended procedures will be applicable from June 16 to June 20 and these parameters will be published on June 9.

2. Other items regarding SPAN Parameters

(1) Whereas SPAN parameters are currently reviewed based on market data for the last 6 months up to the last business day on March, June, September and December, the parameters to be applicable from June 16 will be reviewed based on market data for the last 24 weeks up to the last business day of each week.

(2) Method for obtaining Intercommodity Delta per Spread Ratio
Whereas the simple average of each commodity during the period is currently used for calculating Intercommodity Delta per Spread Ratio, with regards to the parameters which are to be applicable from June 16, the least-square method will be used for calculating the Ratio taking correlation between commodities into account.

For “Operational Procedures for Setting of SPAN Parameters”, which will be effective from June 16, please refer to the following file.