This is to notify that JSCC will introduce Intercommdity Spread Credit in setting procedure for margin calculation 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"), starting from margin calculation on August 1 (Mon.), 2022*.
* Data on SPAN Parameter related to Intercommdity Spread Credit to be used starting from margin calculation on August 1 will be recorded in "SPAN Parameter" file posted on our website on July 29 (Fri.).
Please check the combination of Commodity Groups eligible for Intercommodity Spread Credit**, the revised "Operational Procedures for Setting SPAN Parameters related to Commodity Derivatives" and sample file*** of SPAN Risk Parameter File in the attached Annex.
** Eligible combinations can be checked with the last page of "Operational Procedures for Setting SPAN Parameters related to Commodity Derivatives".
*** Sample file's business date will be as of July 15, 2022. Please use the sample file for checking of data exporting to PC-SPAN(R) or other purpose.
