JSCC announces that from SPAN Parameters calculated and published on January 12 (Fri.), 2018, the level of “Short Option Minimum Charge per position,” which is one of SPAN Parameters, will be changed as follows.
1. Outline of Revision
For equities-related product groups (Nikkei Stock Average group, TOPIX group, JPX Nikkei Index 400 group and Securities group), taking into account the recent market situations, etc., JSCC will change the level of Short Option Minimum Charge per position from “the amount equivalent to 0.4%” to “the amount equivalent to 0.2% (*1)” of the closing value of the underlying instrument on the reference date（*2）.
（*1）For 10-year JGB group, the level of Short Option Minimum Charge per position shall remain unchanged as “0.01% of the closing value of the underlying instrument on the reference date.”
（*2）Setting method of each SPAN Parameter may be changed depending on market conditions or look-back testing results, etc.
Example）When the Closing Price of Nikkei 225 is JPY 23,000:
（Under the current method）
【Short Option Minimum Charge per position for Nikkei 225】
=23,000 yen×0.4%×1,000（Contract Multiplier）＝ JPY92,000
（After the revision）
【Short Option Minimum Charge per position for Nikkei 225】
=23,000 yen×0.2%×1,000（Contract Multiplier）＝ JPY46,000
2.Implementation Timing
The first SPAN Parameters after the revision of the setting method to be calculated and published on January 12 (Fri.), 2018 will start to apply from January 15 (Mon.) , 2018 (Margin to be deposited on January 16 (Tue.), 2018).
<<Attachment>>
Notice
[Annex]Operational Procedures for Setting SPAN Parameters
[Reference] SPAN Risk Parameter File generated by the revised Setting Method
(Sample File based on the Production File as of December 22)
