【To Investors】Implementation Timeline for the Revision of AS-VaR Parameter Setting Method related to Commodity Futures/Option Contracts
2024/08/22
As previously notified(*1), JSCC will revise AS-VaR Parameter Setting Method related to Commodity Futures/Option Contracts, from August 26, 2024 (Mon.) ,aiming to improve the coverage of Margin requirement against market fluctuations.
Among those parameters, whilst JSCC planned to implement in phase the revision of BPL (Base Profit Loss (AS-VaR parameter equivalent to IM per Futures contract)) setting method related to Precious Metal Futures, JSCC will adopt the value calculated by the new method as BPL from the day (August 26, 2024 (Mon.)), without implementing in phase, considering the recent market condition and the effect of the revision.
Reference: BPL Simulation Results (Aug.19-23)
| Commodity | New Method (JPY) |
Current Method (JPY) |
|---|---|---|
| Gold | 524,000 | 752,000 |
| Gold Rolling-Spot | 59,900 | 55,700 |
| Platinum | 144,500 | 214,500 |
| Platinum Rolling-Spot | 29,600 | 30,200 |
| Silver | 366,000 | 291,000 |
| Palladium | 1,164,000 | 1,149,000 |
| ODEX Gold Rolling-Spot | 4,785 | 6,022 |
| ODEX Platinum Rolling-Spot | 2,522 | 2,699 |
| ODEX Silver Rolling-Spot | 13,400 | 7,790 |
