Osaka Securities Exchange: Partial Amendment In Related Rules And Regulations With Introduction Of OSE DJIA Futures And Nikkei 225 VI Futures

In accordance with the introduction of futures contracts based on the Dow Jones Industrial Average (DJIA) (hereinafter referred to as "OSE DJIA Futures") and futures contracts based on the Nikkei Stock Average Volatility Index (Nikkei 225 VI) (hereinafter referred to as "Nikkei 225 VI Futures"), Osaka Securities Exchange Co., Ltd. (OSE) will revise the related rules and regulations.
 

OSE sought public comments on "Outline of Specification for OSE Dow Jones Industrial Average Futures (Draft)" and "Outline of Specification for Nikkei Stock Average Volatility Index Futures (Draft)" in this regard. After analyzing public comments received, the drafts will be implemented as proposed.

1. Summary of Rule Revisions
   1. Revisions of Futures and Options Trading Rules

      	Items	OSE DJIA Futures	Nikkei 225 VI Futures
      (1)	Contract Months	4 contract months in the March quarterly cycle (Mar., Jun., Sep. and Dec.) will be listed, whose last trading day will be a trading day which ends on the 3rd Friday of each contract month.	8 nearest serial contract months will be listed, whose last trading will be a trading day which ends on the business day immediately preceding the day that is 30 days prior to the 2nd Friday of the calendar month immediately following each contract month.
      (2)	Trading Sessions and Trading Hours	Trading on the auction market will be divided into a day session (from 9:00 a.m. to 3:15 p.m.) and a night session (from 4:30 p.m. to 3:00 a.m. on the next day).	Trading on the auction market will be conducted only in a day session (from 9:00 a.m. to 3:15 p.m.)
      (3)	Tick Size	1 point (the same will apply to Strategy Trading)	0.05 point (0.01 point for Strategy Trading)
      (4)	Price Limits	The same thresholds as the "level 1 limit thresholds" which the Board of Trade of the City of Chicago, Inc. (CBOT) determines for the similar futures trading on CBOT based on DJIA (hereinafter referred to as "home-market trading"). As for the expansion of the price limit range, the 1st expanded price limit range will be the same thresholds as the "level 2 limit thresholds" and the 2nd expanded price limit range will be the same thresholds as the "level 3 limit thresholds."	10 point. The price limit range will be expanded by 5 points whenever the Circuit Breaker is triggered (no limitation on how many times the price limit range will be expanded); provided, however, the price limit range will be determined so that the lower price limit will be set at 0.05 point in case that the lower price limit will be a negative value.
      (5)	Contract Size	Contract size will be 100 JPY times index point of DJIA.	Contract size will be 10,000 JPY times index point of Nikkei 225 VI.
      (6)	Final Settlement Price	The same value as the final settlement price which CBOT determines for the home-market trading whose last trading day is the same as the said contract month of OSE DJIA Futures.	The special value calculated on the day that is 30 days prior to the 2nd Friday of the calendar month immediately following each contract month. The said special value will be the average of the special index calculated based on the methodology of Nikkei VI during 10 minutes after the opening of the day session of Nikkei 225 Options.
      (7)	Fee Schedule	Trading fees will be calculated based on the traded volume and the fee rate will be 40 JPY per transaction unit for each sale or purchase. Clearing fees will be calculated based on the contract amount. The fee rate will be 5 JPY per transaction unit for obligations accepted by OSE and 45 JPY per transaction unit for final settlement.	Trading fees will be calculated based on the traded volume and the fee rate will be 80 JPY per transaction unit for each sale or purchase. Clearing fees will be calculated based on the contract amount. The fee rate will be 20 JPY per transaction unit for obligations accepted by OSE and 100 JPY per transaction unit for final settlement.
      (8)	Others	J-NET Derivatives Trading and Strategy Trading will be available.	J-NET Derivatives Trading and Strategy Trading will be available.

   2. Others
      • (1) Temporary Trading Halts for J-NET Derivatives Trading
        • Even when an order that, when executed, brings the contract price up or down beyond a set price range from the last traded price in the auction market (excluding the price in Strategy Trading) is accepted for each contract month of the related futures/options contracts, OSE will NOTtemporarily halt trading of the said contract month for the J-NET Derivatives Trading.
      • (2) Act related to trading between two markets, etc.
        • In accordance with the introduction of Nikkei 225 VI Futures, options trading on the OSE’s derivatives market will be added to the act which is deemed to fluctuate or stabilize indices, etc. in order to conduct final settlements or options exercises advantageously.
      • (3) Modification of terms
        • The required modification of terms will be made, such as the modification of "Special Rules for Business Regulations and Brokerage Agreement Standards Relating to Stock Index Futures Trading" to "Special Rules for Business Regulations and Brokerage Agreement Standards Relating to Index Futures Trading".
2. Effective Date
   The revised rules will be enforced on February 27, 2012.