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[To Investors]SPAN Parameter Setting Method will be Changed


As announced via News on February 10 (Wed.), SPAN Parameter setting method will be revised from SPAN parameters to be calculated and notified on March 25 (Fri.).

* Feb. 10 (Wed.) News is available on this link.

On this occasion, to facilitate correct understanding of the revisions by the investors, JSCC has outlined key revisions to setting method (see attached material) and points of attention related to the revision.

(i) As the period from the update notification to the application of SPAN Parameters is shortened from “1week” to “1 day,” please note that SPAN Parameters update notification timing and application timing will be changed.

・On and after March 25 (Fri.), JSCC will notify updated SPAN Parameters around 18:00 on the last business day of each week, which will apply to Margin calculation from the beginning of the next week (after 1 business day).

* Currently, updated SPAN Parameters are notified around 15:00 at the beginning of a week, which applies to Margin calculation from the beginning of the next week (1 week later).

・The first SPAN Parameters after the revision of the setting method to be calculated and notified on March 25 (Fri.) will start to apply from March 28 (Mon.) (Margin to be deposited on March 29 (Tue.)).

・The period from the notification to the application in the case of ad hoc modification will also be changed from “2 days” to “1 day.”

(ii) As the level of Short Option Minimum Charge will be increased to 5 times as much as current level (to be changed from “the amount equivalent to 0.2%” to “the amount equivalent to 1%” of the closing price of the underlying assets on the base date), please be aware of this change if you hold short option positions.

・If you hold short positions in equity options, such as Nikkei 225 Option Contracts (especially, short position in deep out-of-the-money issue for which short option minimum charge is likely to apply), your Margin may increase significantly after the revision depending on the portfolio composition even if the price level of the underlying assets remains unchanged.

* Level of Short Option Minimum Charge for Option on 10 year JGB Futures will remain unchanged (“the amount equivalent to 0.01%” of the price of 10 year JGB Futures on the base date).

Example) When the Closing Price of Nikkei 225 is JPY16,000:

  • Under Current Method (those applied up to March 25 (Fri.) (for Margin to be deposited on March 28 (Mon.))

    Short Option Minimum Charge for Nikkei 225 Option

    =JPY16,000×0.2%×1,000 (Contract Multiplier)= JPY32,000
  • After Revision (those applied on and after March 28 (Mon.) (for Margin to be deposited on March 29 (Tue.))

    Short Option Minimum Charge for Nikkei 225 Option

    =JPY16,000×1%×1,000 (Contract Multiplier) = JPY160,000

In an extreme case where you only hold short position of deep out-of-the-money issues to which Short Option Minimum Charge apply, Margin may increase by 5 times after the revision.

(iii) From March 25 (Fri.), RSS feed will be introduced as a mean for confirmation of update status of “SPAN Parameters” and “SPAN Risk Parameter File” currently posted on JSCC website. If you wish to receive such feed, please register on or after March 25 (Fri.).

・By using RSS Feed (*) you may automatically check update status of each file on the web site.

* RSS feed is a tool for distribution of updated information by using a technology for compiling updated information, such as news, on website (RSS). By using this, you will be able to check updated information without accessing JSCC website. RSS reader or RSS compliant browser, mailer, etc. will be necessary to use RSS feed.

(iv) On March 11 (Fri.) and 18 (Fri.), JSCC will post SPAN Parameters (simulation) calculated based on the revised setting method as reference information on JSCC web site (Information), so that you may check the difference of SPAN Parameter levels under current method and revised method.

Setting Method of SPAN Parameters
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