【To investors】JSCC launches Parallel Implementation Associated with the Introduction of New Margin Calculation Method (VaR Method)

This is to notify that we will publish the margin calculation parameter file (BPF, VPF) based on production data on a daily basis*1 during the period from August 14 (Mon.) to the immediately preceding business day of the Go-Live (hereinafter referred to as ”Parallel Implementation”), associated with the introduction of new margin calculation method (VaR Method)*2 related to Futures and Options Contracts scheduled for November 6, 2023 (Mon.) , aiming to enable you to capture the amount required for the Margin in accordance with VaR Method. Please refer to Annex for more details on Parallel Implementation, such as URL of the site parameter files are posted.

(Note 1) Parameter files generated by JSCC during the Parallel Implementation period are for reference only. Please note that the amount we require as the Margin during the Parallel Implementation period will be the amount calculated in accordance with the current margin calculation method (SPAN method).

(Note 2) For the introduction of VaR Method, please refer to the page linked here which also introduces the software to calculate the amount required for the Margin in accordance with VaR Method.