【To investors】Revising “Handling of Specifics Concerning VaR Method” associated with Listed Derivatives April 2026 Project
2026/03/18
This is to notify you of the revision/publication of the documents listed below in association with the go-live of the Listed Derivatives April 2026 Project scheduled for April 13, 2026 (Mon.):
| Handling of Specifics Concerning VaR Method |
|
| Method of Determining Settlement Prices of Options and Futures |
|
| FAQ on Listed Derivatives April 2026 Project Go-Live Items |
|
The setting methods of various parameters related to Margin calculation for the new products are as specified in “Handling of Specifics Concerning VaR Method.” However, the Spread Fluctuation Risk (SFR) for Pocket Gold 100 Futures and Pocket Platinum 100 Futures is calculated, for the time being, by adjusting SFR for the Combined Commodity to which the corresponding standard futures belong* by the base profit loss (BPL) ratio as specified below:
In case of Pocket Gold 100 Futures
SFR(GOLD Group)×(BPL(Pocket Gold 100 Group))/(BPL(GOLD Group))
* Referring to, for Pocket Gold 100 Futures, GOLD Group to which Gold Standard Futures belongs, and, for Pocket Platinum 100 Group, PLATINUM Group to which Platinum Standard Futures belongs.
Documents are also available on the following link:
