To Investors: JSCC revises the setting method of Price Scan Range for JGB Groups
2022/08/19
To improve the coverage of the Margin requirement related to JGB Futures Clearing Qualification against market fluctuations, effective as of the Margin requirement calculation on September 5, 2022 (Mon.), JSCC will revise the setting method of Price Scan Range (PSR) related to JGB groups (5-year JGB Group, 10-year JGB Group and Mini 20-year JGB Group), a parameter having impact on the Margin requirement related to the said Clearing Qualification, as outlined below:
Revised Points of the PSR Setting Method
| After Revision | Current (Reference) | |
|---|---|---|
| Look-Back Period | 5 years | 5 years or 54 weeks |
| Volatility Adjustment (EWMA Method) |
Applied. | Applied only for 54 weeks. |
| Stress Scenarios | Add 2 historical large fluctuations (upward and downward changes, respectively) to the Look-Back Period. | N.A. |
| Adopted Value | The larger value between the absolute value of the average among the values that exceed the 97.5% from the top, and the absolute value of the average among the values that exceed the 97.5% from the bottom, of the daily price fluctuation ratios during Look-Back Period and stress days (expected shortfall method) | The larger value between the absolute value of top and bottom 99% values of the price fluctuation ratios during the Look-Back Period |
(Definition of Terms)
・EWMA:
Method calculating moving average, weighting recent data. Adopted to weight on current market fluctuation.
・Expected Shortfall Method:
On the assumption that price fluctuation follows normal distribution, average of above 97.5% value is applied as 99% tile value.
Reference: Price Scan Range simulated values for each combined commodity under the revised method (compared against the value applied to 8/15-19 live data)
| Simulation Value | Live Data (8/15-19) | |
|---|---|---|
| 10-year JGB Group | 1,620 thousand yen | 1,440 thousand yen |
| 5-year JGB Group | 410 thousand yen | 250 thousand yen |
| Mini 20-year JGB Group | 232 thousand yen | 255 thousand yen |
| Operational Procedures for Setting SPAN Parameters related to Financial Derivatives |
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