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This is to announce that TOCOM has made an amendment to the settlement price calculation of the Nikkei-TOCOM Commodity Index futures contract.
１．Amended Part
Item |
New |
Old |
Settlement Index (Index price used as a settlement price) |
Index price calculated based on settlement prices of the underlying commodity futures contracts at the end of day session (15:30). (Index price is calculated to the first decimal place by rounding the second decimal place.) |
Index price calculated based on settlement prices of the underlying commodity futures contracts at the end of day session (15:30). (Index price is calculated to two places of decimals.) |
２．Purpose of the Amendment
The amendment was made in order to make the decimal place of settlement price consistent with the decimal place of price quotations of the Nikkei-TOCOM Commodity Index futures contract. As a result, the settlement price will be calculated using the Nikkei-TOCOM Commodity Index by rounding the second decimal place of the index to the first decimal place.
３．Revised Contract Specification for the Nikkei-TOCOM Commodity Index futures contract
Nikkei-TOCOM Commodity Index Contract Specification (draft)
(as of December 3, 2009)
Market |
Nikkei-TOCOM Commodity Index Market (pilot) |
Type of Trade |
Index futures transaction （CFD ： Contract for Difference, the position of which shall be closed by cash settlement. ) |
Product Description |
Nikkei-TOCOM Commodity Index |
Trading Method |
Computerized continuous trading |
Swap Point |
N/A |
Trading Hours |
Day session: 9-15:30 (JTS) / Night session: 17-23 (JTS) |
Settlement Index (Index price used as a settlement price)
|
Index price calculated based on settlement prices of the underlying commodity futures contracts at the end of day session (15:30). (Index price is calculated to the first decimal place by rounding the second decimal place.) |
Index Price Publication |
Once a day (official price based on settlement prices of underlying futures contracts） Index price is updated approximately every 5 minutes on TOCOM website, and updated every 15 seconds on the exchange's market information system. |
Contract Size & |
5,000 * the futures price / 0.1 point |
Position Limits |
N/A |
Margins |
Initial Clearing Margin: Approx. JPY50,000-100,000/contract |
| Guarantee Fund |
JPY 1 million *Substitutes are also applicable. |
| Registration Fee |
Affiliate Member: JPY 1 million Trade Member, Broker Member: JPY 10 million *Multiple markets (max.amount): JPY 25 million |
| Membership Dues |
Broker Member: JPY 360,000 per market / half year Trade Member: JPY 300,000 per market / half year Affiliate Member: JPY 60,000 per market / half year |
| Exchange Fee |
JPY 55 / contract *The volume discount program is available. |
| Associate Member Registration Fee Associate Member Membership Dues |
Registration Fee: JPY 200,000 Membership Dues: JPY 100,000 / a year |
