【To Investors】Revision of Price Scan Range Setting Method related to TOCOM Crude Oil Futures
2020/11/18
Considering the situation that margin requirement amount related to TOCOM Crude Oil Futures experienced a steep rise due to the abrupt market fluctuation in spring 2020 and continues to remain at significantly high level compared with that in overseas market, even after Crude Oil market had settled and aiming to suppress the steep fluctuation of the relevant margin requirement, JSCC will revise Price Scan Range setting method related to TOCOM Crude Oil Futures as described below, which will be applied to margin requirement amount calculated on November 30 (Mon.) Price Scan Range set by the revised method is scheduled to be published on November 27 (Fri.)
| Revised method | Current method | |
|---|---|---|
| Confidence Level and Look-Back Period | 5-year 97.5% ※Substantially 99% through Expected Shortfall Method |
Greater of: ・54-week 99%; or ・4-week 99% |
| Volatility Adjustment (EWMA method） |
Applied. Parameter λ to weight on current level is 0.985 |
N.A. |
| Stress Scenarios | Adding 2 historical largest fluctuations to the Look-Back Period | N.A. |
| Adopted value | Average of loss exceeding threshold (Expected Short Fall method） |
Amount exceeding, and the closest to threshold |
For more details of the revised “Operational Procedures for Setting SPAN Parameters related to Commodity Derivatives”, please refer to the below.
（Terminology）
・EWMA:
Method calculating moving average, weighting recent data. Adopted to weight on current market fluctuation.
・Expected Short Fall method:
On the assumption that price fluctuation follows normal distribution, average of above 97.5% value is applied as 99% tile value.
| Operational Procedures for Setting SPAN Parameters related to Commodity Derivatives |
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