Amendment of the Draft Contract Specification of the Nikkei-TOCOM Commodity Index Futures

2009.12.3

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 (Cash-settled against the index price)
(Contract Day Transaction, which has no expiry dates)

Product Description

Nikkei-TOCOM Commodity Index

Trading Method

Computerized continuous trading

Swap Point

N/A

Trading Hours

Day session: 9-15:30 (JST) / Night session: 17-23 (JST)

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 &
Minimum Price Fluctuation
5,000 * the futures price / 0.1 point

Position Limits

N/A

Margins
Initial Clearing Margin: Approx. JPY50,000-100,000/contract Spot Month Additional Clearing Margin: N/A
Other margins: it will be set according to the same principle as those applied to the other contracts.
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.

Contract Day Transaction, is the transaction, where a position, once established, is marked-to-market using the Settlement Index each evening until it is closed through an offsetting purchase or sales transaction. Unlike the other TOCOM-listed futures contracts, this transaction has neither contract months nor expiry dates.

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