Assumption of ObligationClearing and Settlement System for Futures and Options
Clearing and Settlement System for Futures and Options
JSCC assumes obligation of the Futures and Options trading executed in Osaka Exchange, Tokyo Commodity Exchange and Osaka Dojima Exchange.
The Futures and Option for which obligation JSCC assumes are as follows: please click the following Futures/Options for the detail of the settlement method of each instrument.
Futures
Options
Method of Determining Settlement Prices of Futures and Options Contracts
Please see the file below for the method of determining settlement prices of futures and options contracts.
| Method of Determining Settlement Prices of Futures and Options Contracts |
|
Interest Rate for Calculation of Theoretical Prices
（１） Index Futures, Index Options, Individual Options, Options on JGB Futures, and Options on Commodity Futures
The Japanese Yen Tokyo Interbank Offered Rate published by the Japanese Bankers Association, with an appropriate maturity derived from the number of days through the business day following the last trading day of the relevant contract month.
| Maturity of Each Contract Month | Interest Rate for Calculation of Theoretical Prices |
|---|---|
| ～ 15 days | 1 WEEK TIBOR |
| ～ 75 days | 1 MONTH TIBOR |
| ～ 105 days | 3 MONTH TIBOR |
| ～ 195 days | 6 MONTH TIBOR |
| 195 days～ | 12 MONTH TIBOR |
（２）JGB Futures
The 3-month Tokyo Repo Rate released by the Bank of Japan on one business day before the date of theoretical price calculation.
（３）Interest Rate Futures
Interest Rate set by JSCC with refence to JPY OIS (Overnight Index Swap).
