【To Investors】AS-VaR Parameter Setting Method for Commodity Futures/Option will be Revised (from 8/26/2024 (Mon.) calculation)
2024/08/16
This is to inform you of the revision of AS-VaR parameter setting method for Commodity Futures/Option effective as from the Margin requirement calculation on 8/26 (Mon.) as stated below, to enhance the Margin requirement coverage vis-a-vis market fluctuations.
Revision of BPL Setting Method
JSCC will revise BPL (Base Profit Loss, which is equivalent to IM per futures contract) setting method for Precious Metal Futures as follows:
| After Revision | Current (Reference) | |
|---|---|---|
| Reference Period | 5 years | 1 month or 1 year |
| Volatility Adjustment (EWMA Method*) |
Yes | No |
| Values to be Adopted | Average of top 97.5% or above of price fluctuation rate | 99 percentile value of price fluctuation rate |
* Volatility calculation method focusing on the latest price fluctuations.
New method will be implemented in phase as shown below.
Timeline for the phased implementation may vary depending on future market conditions.
| Date | Values to Apply |
|---|---|
| From 8/26 (Mon.) | Weighted average 4:1 (Current:New) |
| From 9/30 (Mon.) | Weighted average 3:2 (Current:New) |
| From 10/28 (Mon.) | Weighted average 2:3 (Current:New) |
| From 11/25 (Mon.) | Weighted average 1:4 (Current:New) |
| From 12/23 (Mon.) | Value obtained by new method |
Reference: Simulation Value under New Method
(8/5: Before Ad-hoc Revision)
| New Method | Current Method | |
|---|---|---|
| Gold | 395,000 | 350,000 |
| Gold Rolling-Spot | 50,300 | 34,400 |
| Platinum | 113,000 | 96,500 |
| Platinum Rolling-Spot | 25,600 | 21,000 |
| Silver | 360,000 | 297,000 |
| Palladium | 984,000 | 882,000 |
| Dojima Gold Rolling-Spot | 3,867 | 3,353 |
| Dojima Platinum Rolling-Spot | 2,276 | 2,406 |
| Dojima Silver Rolling-Spot | 13,460 | 8,010 |
(8/5: After Ad-hoc Revision)
| New Method | Current Method | |
|---|---|---|
| Gold | 497,000 | 708,000 |
| Gold Rolling-Spot | 51,600 | 52,600 |
| Dojima Gold Rolling-Spot | 4,489 | 5,726 |
Revision of SFR Setting Method
SFR (Spread Fluctuation Risk, which is the base value for cross-contract month spread risk) setting method for Commodity Futures/Option will be revised as follows:
| After Revision | Current (Reference) | |
|---|---|---|
| Reference Period | 1 year | 1 month or 1 year |
| Referenced Contract Months | Pairs of “each contract month from 2nd to 5th” and “6th” |
Pair of “5th” and “6th” contract months |
No phased implementation applies, and the value obtained based on the new method will apply from 8/26 (Mon.)
Reference: Simulation Value under New Method (as of 8/5)
| New Method | Current Method | |
|---|---|---|
| Gold | 25,000 | 8,000 |
| Platinum | 20,000 | 9,500 |
| Silver | 171,000 | 222,000 |
| Rubber (RSS3) | 36,500 | 14,000 |
| Corn | 73,500 | 50,000 |
| Platts Dubai Crude Oil | 36,000 | 9,500 |
- Commodities with cross-contract month spread position are extracted.
| Handling of Specifics Concerning VaR Method |
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