Notification of Revision of "Operational Procedures for Setting SPAN Parameters related to Commodity Derivatives", Change of Layout and Estimation Results of "SPAN parameter"

1.Revision of "Operational Procedures for Setting SPAN Parameters related to Commodity Derivatives"

As announced on August 4, 2021, regarding the SPAN parameters of electricity futures that will be applied from the calculation of the trading margin on November 22 (Mon.), the method will be changed to set the margin for each contract month with reference to the past price. For details, please check the news dated August 4 (Revision of Handling of Electricity Futures Settlement Prices (Limits on fluctuation range) and Margin Setting Method, etc.).

We are pleased to inform you that " Operational Procedures for Setting SPAN Parameters related to Commodity Derivatives" has been revised in line with this change.

2. Change of Layout and Estimation Results of "SPAN parameters"

Based on the change in 1 above, the layout of electricity futures in the list of "SPAN parameters" announced every weekend will also be changed from the one announced on November 19th (Fri.).

In addition, for your reference, we will also inform you of estimation results that apply the new SPAN parameter calculation method with October 22 as the base date.