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As you may be aware, along with the Go-Live of Next Generation Derivatives Trading System ("J-GATE3.0") scheduled on September 21, 2021 at Osaka Exchange, Inc. (OSE) and Tokyo Commodity Exchange, Inc. (TOCOM), CME Petroleum Index Futures (CMEPI Futures) and FLEX contract month transaction (FLEX Futures) for Index Futures will be introduced as new products of OSE. Then, JSCC will set SPAN Parameters for these new products as described below, and revise the “Operational Procedures for Setting SPAN Parameters related to Financial Derivatives” as per Annex 1 and the “Operational Procedures for Setting SPAN Parameters related to Commodity Derivatives” as per Annex 2.
1. SPAN Parameters for CMEPI Futures
Given the product characteristics of CMEPI Futures that covers the index linking to futures contracts on petroleum, the SPAN Parameters for CMEPI Futures will be set using a method similar to the SPAN Parameters setting method for Dubai Crude Oil Futures.
2. SPAN Parameters for FLEX Futures
The SPAN Parameters for Nikkei 225 Total Return Index Futures will be set using a method similar to the SPAN Parameters setting method for Nikkei 225 Futures, as Nikkei TR Index, its underlying index, is suitably correlated with Nikkei Stock Average.
For your information, SPAN Parameters related to Commodity Derivatives to apply from the Margin requirement calculation on September 21 will be published on September 17. Regarding the publication time on that date, please note that ordinary SPAN Parameter File will be published around 6:00 p.m, but early SPAN Parameter File will be published around 5:15 p.m..
