【To investors】Change of setting method for spread fluctuation risk of Dojima Rice Index Group
2026/01/21
Regarding calculation of spread fluctuation risk (i.e, risk arising from inter-contract month spread) of Dojima Rice Index Group, JSCC will start applying the method prescribed in the “Outlines of AS-VaR method calculation” from February 2 (Mon.) of this year, as required data for the said setting method (Note 1) has been set in place (Note 2) .
(Note 1) Same setting method as that for other Commodity Instruments Group applying AS-VaR method
(Note 2) Settlement prices for Dojima Rice Index Futures (all contact-months) in 1-year period are used.
Setting method for Base profit loss equivalent to Margin per contract will be unchanged.
<Reference 1> Details of change of setting method for spread fluctuation risk of Dojima Rice Index Group
| Setting method | |
|---|---|
| Current method | Settlement Price of Rice Index Futures on spread fluctuation risk calculation day ×1.2% |
| Revised method | The amount obtained by multiplying the minimum spread value to cover 99% value, among inter-contract-month price spread* for Futures Contracts belonging to Dojima Rice Index Group, for each trading day in 1 year up to the reference date, by 50. * Absolute value of the difference of “the difference of Settlement Price of the day and the Settlement Price of the immediately preceding day for the sixth contract month contract" and "the difference of Settlement Price of the day and Settlement Price of the immediately preceding day for other contract month contracts (excluding the 1st contract-month contract)". |
<Reference 2>Simulated value (spread fluctuation risk amount after change)
| Current value | After revision (simulated value) | |
|---|---|---|
| As of December 30, 2025 (reference date) | 20,500 yen | 45,000 yen |
<Reference 3> Simulated value ii) (Margin amount when holding long 2 Oct. 2026 (the 5th contract month) , short 1 Dec. 2026 (the 6th contract month))
・Base profit loss 50,000 yen (unchanged)
・Spread fluctuation risk 45,000 yen (value in Reference 2)
| Current value | After revision (simulated value) | |
|---|---|---|
| As of December 30, 2025 (reference date) | 70,500 yen | 95,000 yen |
