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 June 12, 2023 (Mon.), JSCC will revise the method of observation of the Price Fluctuation Ratios on stress days (stress scenarios) under the setting method of Price Scan Range (PSR) related to JGB groups (5-year JGB Group, 10-year JGB Group and 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
Reference: Price Scan Range simulated values for each combined commodity under the revised method (compared against the value applied to 6/5 live data)
