【To Investors】 JSCC to Partially Revise Price Scan Range Setting Method

We announce partial revision of the setting method of the "Price Scan Range," which is a part of SPAN Parameters, effective as of the calculation / publication on January 11, 2019 in a manner as described below:


(i) Revision
●Affected Combined Commodity
-10-year JGB Group
-Nikkei Stock Average Group
-TOPIX Group
-JPX-Nikkei Index 400 Group
-TOPIX Core30 Group
-RN Prime Index Group
-Dow Jones Industrial Average Group

●Volatility Index (VI) or Adjusted VI used for the calculation of Price Scan Range shall be revised as follows:
(Current)
If the latest VI (or Adjusted VI) is bigger than the average value for past 5 business days, the average value for past 5 business days is used for the calculation.
However, if the adopted value is smaller than the average value for past 250 business days, the average value for past 250 business days is used for the calculation.
(After Revision)
If the latest VI (or Adjusted VI) is bigger than the average value for past 5 business days, the average value for past 5 business days is used for the calculation.
However, if the adopted value is smaller than the average value for past 250 or 500 business days, the bigger average value for past 250 or 500 business days is used for the calculation.


(ii) Implementation Timing
The SPAN Parameters to be calculated and published on January 11, 2019 (Fri.), the first calculation and publication after the revision, shall apply from January 15, 2019 (Tues.) (applicable to the Margin to be deposited on January 16, 2019 (Wed.)).