【To investors】Change in AS-VaR Parameter Setting Method related to Rice Index Group (applied from calculation on November 18, 2024 (Mon).)

This is to notify that we will change the setting method of Base Profit Loss ((BPL), equivalent to IM per futures contract), among AS-VaR Parameters related to Dojima Rice Index Group, in light of the result of back testing.
* A change is pursuant to “if Base profit loss is acknowledged as inappropriate in light of the market condition and the like, JSCC shall set the value for each time” under Ⅲ.1 of the Annex “Outlines of AS-VaR Method Calculation” to “Handling of Specifics Concerning VaR method”.

1. New setting method for BPL
The value is obtained by multiplying 3.1% of the largest value of Settlement Price (excluding those related to the first contract month contract) of Rice Index Futures on the reference date by 50.

2. Implementation Timing
The parameter calculated by the new changed method will be applied from calculation of Margin requirement on November 18 (Mon.)

Reference 1: Simulated values (value applied to the period from October 28 to November 1)