【To investors】JSCC revises part of VaR Margin calculation method (combined position and handling of a holiday)
2025/08/26
JSCC is scheduled to take measure listed in the table below, in relation to Margin calculation method (VaR Method) for Index Futures/Options Contracts, such as Nikkei 225 Futures/Options and the like, aiming to improve the coverage ratio of Margin requirement1.
* The measure mainly aims to improve the level of Margin level for combined position for Futures or Options and therefore, calculation method for Margin per Futures contract will not be revised (no impact on Margin level).
| Effective date | Measure to improve the coverage ratio |
|---|---|
| Sep. 22, 2025 (Mon.) | i) Add stress scenarios for combined Futures position2 |
| Jan. 26, 2026 (Mon.) | ii) Add stress scenarios for combined position including Options3 iii) Refine consideration of holiday in Option margin calculation4 |
1: JSCC designed its Margin framework so that 99% of loss amount will be covered for Futures/Options Contracts. Visit URL exhibited below, for details.
https://www.jpx.co.jp/jscc/en/cash/futures/marginsystem/VaR.html
2: Add hypothetical stress scenarios for a combination within the same contract month contract and that for inter-contract-month contract for each Futures Contract.
3: Add hypothetical stress scenarios for position combinations covering Nikkei 225 Options and TOPIX Options. Add the dates on which Margin shortfall has occurred in backtesting as stress scenarios.
4: The counting method of remaining Time to Maturity in Option Margin calculation will be changed from calendar basis (holidays are not taken into account) to business day basis for each type of Options.
| Annex Impact of Improvement Measures on Margin Level |
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