New Market Rules

2006.4.28

Please be informed that TOCOM will make the following amendments to our market rules. Also note that the dates of implementation differ depending on each item.

I. Price Limits and Initial Margins

Price Limits and Initial Margins, which used to be set upon predefined base-price band, will now be based on the most recent price fluctuations.

1) Price Limit

New Rule

Current Rule

Price Limits shall be set every month based on the price fluctuation within the most recent fixed period of time.

Price Limits are set every month at or above the predefined amount corresponding to the base-price band.

 2) Initial Margin

New Rule

Current Rule

Initial Margin shall be set every month at or above the amount calculated below (1), by using the new price limit.

Initial Margins are set every month at or above the predefined amount corresponding to the base-price band.

(1): Price Limit * Contract Unit Multiplier * 1.5

3) Date of Implementation
     The new rule will be implemented from June 2006.

 

II. Exceptional Measures for Price Limits (Expansion)

The reference used in determining when to lift the exceptional measures for price limits is changed from the expanded price limits to the ordinary (original) price limits (see details below) .

1) Condition for lifting the Exceptional Measures

New Rule

Current Rule

In case the number of contract months hitting the ordinary price limit has not reached three, the exceptional measures (2) for price limits are lifted.

In case the number of contract months hitting the expanded price limit has not reached three contract months, the exceptional measures (2) for price limits are lifted.

(2): Exceptional Measures for Price Limits (Expansion of the Price Limit):

When daily closing prices for three or more contract months have reached the price limit in the same direction, the Daily Price Fluctuation Limit for all contract months except the first contract month shall be expanded by 50% from the following business day.

2) Date of Implementation

May 1, 2006

Click here for details.

 

III. Removal of Price Limits on First Contract Month (Except Crude Oil contract)

The date of removing the price limits for the first contract months will be brought earlier.

1) Details of Amendment

New Rule

Current Rule

When a contract month becomes the new first contract month, the price limit is removed. This occurs on the business day following the last trading day of the current contract month.

The price limit is removed on the contract month from the first business day of the month within which its last trading day is scheduled.

*Spot Month Additional Margin shall be required for deposit in conjunction with the removal of the price limit.  Click here for details.

2) Date of Implementation

Market Division

Date of Implementation

1) Rubber Market Division

From May 26, 2006 (June 2006 Contract)

2)  Precious Metals Market Division

From June 28, 2006 (August 2006 Contract)

3)  Oil Market Division
   (Gasoline and Kerosene)

From May 26, 2006 (July 2006 Contract)

4)  Aluminum Market Division

From June 28, 2006 (August 2006 Contract)

*Please note that the dates of implementation differ for each market due to different contract month structure for each commodity.

 

IV. Extraordinary Margin

  TOCOM will add a new rule on imposing the Extraordinary Margins for newly established positions when price volatility is rising to a certain level.
  Apart from the condition specified below, if the Exchange deems it necessary for market management purposes, additional measures might be taken after consultation with the Contingent Market Management Committee, as practiced under the current rule. Such contingent measures may include, but are not limited to, imposing Extraordinary Margin, not only for the newly established positions, but also for existing positions.

1) Condition to impose Extraordinary Margin

New Rule

Current Rule

When daily closing prices for three or more contract months have reached the price limit in the same direction for two consecutive business days, the Extraordinary Margin shall be imposed for newly established positions from the following business day.

(N/A)

2) Deposit Amount

50% of the ordinary price limit multiplied by the Contract Unit Multiplier.

<Example> The Case of Gold
Supposing that ordinary price limits are 60JPY, the amount of Extraordinary Margins for deposit would be calculated as follows:
JPY 60 * 50% * 1,000 (Contract Unit Multiplier) = JPY 30,000

3) Condition for Lifting the Extraordinary Margin

New Rule

Current Rule

In the case where daily closing prices for all contract months, except the first month contract have ceased to reach the ordinary price limit for three consecutive business days, the Extraordinary Margin shall no longer be imposed from the following business day.

(N/A)

4) Date of Implementation

May 1, 2006

Click here for details.

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