Revision of Handling of Electricity Futures Settlement Prices (Limits on fluctuation range) and Margin Setting Method, etc.
2021/08/04
This is to notify you that, in light of the recent trend of the fluctuations in the electricity prices at Japanese electricity spot market, we will revise the handling of Settlement Price (limits on fluctuation range) and margin setting method for 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") from calculation on November 22, 2021 (Mon.), as shown in below table.
|
Item |
Current |
After revision |
|
・Settlement Prices are determined within the fluctuation range of 10% (20%, for current contract month) from the Settlement Prices on the previous day. *However, as a rule, when the Settlement Price reaches the upper or lower limit of the fluctuation range of the Settlement Price on 2 consecutive business days, the fluctuation range will be expanded. |
・Upper/lower limits of fluctuation range will be abolished. |
|
|
Margin (PSR, Delivery Month Charge) Setting method |
The amount covering above-mentioned fluctuation range is set. Uniform margin amount, except for current contract month is set. |
The amount covering 5-year price fluctuation range will be set. Minimum margin amount equivalent of 10% of Settlement Price for each contract month will be set. Margin for each contract month will be set. |
As margin (SPAN parameters setting method) is revised, SPAN code structure (Commodity Group Codes, Commodity Codes) will be revised, too*1. Please find the sample SPAN Risk Parameter File to check data feeding to PC-SPAN (R), as necessary.
New margin setting method will be applied to the calculation as of November 22 (Mon.), (deposit date: November 24 (Wed.).
*1 SPAN Code structure for instruments other than Electricity Futures will be unchanged.
*2 Data in sample file is as of July 16, 2021
*3 SPAN Parameters, such as Price Scan Range, based on new setting method will be published on November 19 (Fri.)
| Annex 1 Commodity Codes for RPF (To be applied to RPF distributed on November 22) |
|
| Annex 2 Sample RPF |
|
