On Jun. 28, 2024, JPN SCC informed that it would upgrade its VMA to v3.0 from v2.0, in order to calculate trading margin for listed derivatives transactions on May 26, 2025.
Published overview of measures for listed derivatives projects going live in May 2025.
In Nov. 2024, JPN SCC revised rules on margin surcharge system, see #232533.
On Dec. 28, JPN SCC notified of planned upgrade to software.
JPN SCC notified of upgrade to VaR margin calculation software (v1.0 to v2.0), which is used for margin calculation for listed derivatives transactions, scheduled for Jun. 10.
Upgrade allows for more granular settings of VaR margin calculation parameters.
Regardless of user mode, all VMA users are required to use the updated version v2.0.
Details regarding distribution of VPF for past dates converted to the new layout and publication of updated version of VMA are scheduled to be announced by Jan. 2024.
Follows JPN SCC Nov. 2023 announced VaR method to be implemented, see #141111.
Jan. 2024 Updated Version
On Jan. 30, 2024, JPN SCC published the VaR margin calculation software upgrade and related documents, ahead of the version upgrade slated for Jun. 10, 2024.
Document dated Jan. 30, 2024, was received on Feb. 6 due to a fixed feed.
Apr. 2024 Reminder
On Apr. 26, 2024, JPN SCC reminded that VMA version upgrade will be conducted in conjunction with changes in the layout of the VaR parameter file on Jun. 10, 2024.
Users should use the updated version (v2.0) for calculation of trading margins from Jun. 10, 2024, regardless of their usage mode among GUI, CLI, as well as API.
May 2024 Reminder
On May 31, 2024, JPN SCC issued reminder that the VMA version upgrade would be conducted in line with the layout change of the VaR parameter file on Jun. 10, 2024.
Noted users must use the updated version (v2.0) for the calculation of trading margins from Jun. 10, 2024, regardless of the usage form (GUI, CLI, API) of VMA users.
Jun. 7, 2024 Pre-launch Reminder
On Jun. 7, 2024, JPN SCC issued a reminder that the VMA version upgrade would be conducted in line with the layout change of the VaR parameter file on Jun. 10, 2024.
Users who wish to load the Jun. 7 VaR parameter file (VPF) via the updated version should use the file named VaRParameter_20240607_1600.csv, into which JPN SCC converted the VPF distributed at 15:30 on Jun. 7, 2024 based on a new layout.
On Jun. 28, 2024, JPN SCC informed that it would upgrade its VMA to v3.0 from v2.0, in order to calculate trading margin for listed derivatives transactions on May 26, 2025.
Published overview of measures for listed derivatives projects going live in May 2025.
In Nov. 2024, JPN SCC revised rules on margin surcharge system, see #232533.
