Handling of Electricity Futures Settlement Prices
2021/05/21
We would like to express our gratitude for your courtesies to our clearing and settlement services.
JSCC previously gave notifications concerning the handling of the Settlement Prices for the current contract month at each month of East Area Baseload Electricity Futures Contracts, West Area Baseload Electricity Futures Contracts, East Area Peakload Electricity Futures Contracts and West Area Peakload Electricity Futures Contracts listed on the Tokyo Commodity Exchange, Inc. (hereinafter referred to as the "Electricity Futures")(note1) . Now, this is to further notify you of our decision, in light of the recent trend of the fluctuations in the electricity prices at Japanese electricity spot market, to handle the Settlement Prices for each contract month of the Electricity Futures in a manner described in the table below pursuant to the proviso of the main text of Article 15 of the Handling of Business Rules on Business of Assuming Commodity Transaction Debts, and to implement ad hoc modification of the Price Scan Range, Delivery Month Charge and Intra-commodity Spread Charge that are part of the SPAN Parameters of the relevant Electricity Futures at the time of expansion of the fluctuation rage under the proviso in below table and apply the revised parameters from the next trading day following the date of publication, for the time being starting from June 1, 2021.
| Item | Current | After Revision |
|---|---|---|
| Settlement Price Fluctuation Range for Current Contract Month | ・Current day's Settlement Prices shall be determined within the fluctuation range of 20% from the Settlement Prices on the previous day | ・Current day's Settlement Prices shall be determined within the fluctuation range of 20% from the Settlement Prices on the previous day ・However, when the Settlement Price for the same product reaches the upper or lower limit of the fluctuation range of the Settlement Price on 2 consecutive trading days(note2) , the fluctuation range will be expanded, for the period from the next trading day to the last trading day, to the range (%) JSCC considers appropriate in light of the actual market price |
| Settlement Price Fluctuation Range for Other Contract Months | ・Current day's Settlement Prices shall be determined within the fluctuation range of 10% from the Settlement Prices on the previous day | ・Current day's Settlement Prices shall be determined within the fluctuation range of 10% from the Settlement Prices on the previous day ・However, when the Settlement Price for the same product and the same contract month reaches the upper or lower limit of the fluctuation range of the Settlement Price on 2 consecutive trading days, the fluctuation range will be expanded, for the period from the next trading day to the last trading day of the current contract month, to 20% or the range (%) JSCC considers appropriate in light of the actual market price |
End of Document
(note1) https://www.jpx.co.jp/jscc/en/information/news/20210326_01.html
(note2) Such expansion is allowed when the Settlement Price hits the upper or lower limit of the fluctuation range even on 1 trading day if JSCC considers prompt expansion is appropriate in light of the actual market price level.
