AS-VaR Parameters (November 6, 2023 – November 10, 2023)

Based on the assumption of the implementation and operation of the new margin calculation method (VaR method) for listed derivative transactions scheduled for November 6, 2023, AS-VaR parameters that will be applied to the products for which margin calculation will be conducted using AS-VaR method, as stated in the following file.

AS-VaR parameters will be applied from November 6, 2023 (Mon.) to November 10, 2023 (Fri.).
However, when JSCC deems it necessary due to sudden changes in the financial markets, JSCC may modify all orpart of the AS-VaR parameters.

Please note that after the introduction of the VaR method, except for the ad-hoc modification, JSCC will not notice the parameters on a regular basis from the "News" category in Information list.
Please refer to AS-VaR parameter file, which will be published around 17:00 on the last business day of each week.

https://www.jpx.co.jp/jscc/datafeed/derivatives/reference/
*AS-VaR_Parameters_YYYYMMDD.csv

Reference: Products subject to AS-VaR parameters during the same period
- Nikkei 225 Dividend Index Futures
- Commodity Futures and Options (except for Electricity Futures and LNG Futures)