【To Investors】JSCC to Partially Revise SPAN Parameter Setting Method for 10-year JGB Group

In order to improve the margin requirement coverage related to the JGB Futures Clearing Qualification against market fluctuation, we will revise the setting method of the Price Scan Range for 10-year JGB Group, which is the parameter largely impacts on the margin requirement related to JGB Futures Clearing Qualification, from May 25, 2020 (Mon.) (application date) .
In association with the revision, we will also revise the Price Scan Range Setting Method for 10-year JGB Group stated in the "Operational Procedures for Setting SPAN Parameters" (note) that would be applied from July 28, 2020 (Mon.).

1. Price Scan Range Setting Method for 10-year JGB Group applied from May 25, 2020 (Mon.)

Please see Annex 1 for revised "Operational Procedures for Setting SPAN Parameters".

2. Price Scan Range Setting Method for 10-year JGB Group applied from July 28, 2020 (Mon.)

Please see Annex 2 for revised "Operational Procedures for Setting SPAN Parameters".

Terminology
・Expected Holding Period:
The period expected from the occurrence of a participant default to the liquidation of the defaulter's positions.
・Volatility Index Method:
The method to calculate expected price fluctuation range covering 99% of price fluctuation ratio, on the assumption that price fluctuation ratio of the underlying asset has a normal distribution with volatility index specified by JSCC as standard deviation.
・Historical Simulation Method:
The method to calculate expected price fluctuation range covering 99% of price fluctuation ratio, using actual price fluctuation ratio of the underlying asset.

(note) Please see the past announcement below. Link