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Revisions of SPAN Parameters Setting Method

2016/02/10

We hereby notify you of the Revisions of SPAN Parameters Setting Method.


 1. Outline of Key Revisions (*See Attachments for detail)
(1) Partial Revision of SPAN Parameters Setting Method, etc. for Existing Products

・ Partial revision of the setting method of some of the SPAN Parameters, such as Price Scan Range (PSR), including an adoption of floor to PSR for products for which Volatility Index is used in PSR calculation;

・ Shortening of SPAN Parameters update notification period.

(2) Setting SPAN Parameters for New Products

・ As trading of new products, namely TSE Mothers Futures, TAIEX Futures, FTSE China 50 Index Futures and JPX-Nikkei 400 Options, starting at the same timing as the launch of next J-GATE scheduled at the Osaka Exchange, Inc.(OSE) on July 19, SPAN Parameters setting methods involving such new products will be established:

– Sample file of SPAN Risk Parameter File (RPF) containing records of new products will be distributed. (Reference Material 1・2)


(3) Change of Judgment Conditions for Ad Hoc Modification of SPAN Parameters

・ Judgment conditions for Ad Hoc Modification of SPAN Parameters will be changed from “when daily price difference of underlying assets exceeds 100% of the base value of Price Scan Range” to “when daily price difference of underlying assets exceeds 90% of the base value of Price Scan Range.”


 2. Implementation Timing
・ SPAN Parameters to be calculated based on the revised Operational Procedures for Setting SPAN Parameters will start to apply from SPAN Parameters JSCC calculates and publishes on March 25.

– SPAN Parameters after revision will start to be recorded in RPF distributed on March 28.


 3. Others
・ As a tool for checking update status of SPAN Parameter Files and RPF currently posted on JSCC Website, JSCC will newly introduce RSS feed from March 25 in association with the revision of SPAN Parameter Setting Method, enabling Participants to automatically confirm update status of each file.

Notice
【Annex】Operational Procedures for Setting SPAN Parameters
(Reference Material 1)Sample RPF including records for Newly Listed Products
(Reference Material2)SPAN Parameters for the Sample RPF
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