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※本資料の全部又は一部を株式会社日本証券クリアリング機構に無断で複製又は転載することはできません。
Summary of SPAN Treatment
under Derivatives Clearing Renewal Project
November 2017
Japan Securities Clearing Corporation
Annex
DISCLAIMER: This is the reference translation of the original Japanese document. Japan Securities Clearing Corporation shall accept no responsibility or liability for damage or loss caused by any error, inaccuracy, or misunderstanding with regard to this translation. This document may not be reproduced or redistributed in whole or in part without the permission of Japan Securities Clearing Corporation.
1. About this Document
1
• This document describes summary of treatment of SPAN Risk Parameter Files and SPAN Parameters
under the Derivatives Clearing Renewal Project.
For specification details of each record on SPAN Risk Parameter File, please see Reference 2
“SPAN Risk Parameter File Specifications.”
Calculation method of SPAN Parameters set for each product will be based on the existing
“Operational Procedures for Setting SPAN Parameters.”
https://www.jpx.co.jp/jscc/en/data/en/2016/07/Operational-Procedures-for-Setting-SPAN-Parameters_E.pdf
For specification details of portfolio files, please see Reference 3 “SPAN Portfolio File
Specifications.”
For SPAN Codes set for each product, such as Commodity Code, please see Reference 5
“Commodity Codes used on SPAN Risk Parameter Files.”
There will be no change to SPAN Risk Parameter File distribution URL on JSCC website.
https://www.jpx.co.jp/jscc/sakimono/span/
(*) After launch of the Derivatives Clearing Renewal Project, Clearing Participants will no longer be required to report
client margin requirement (aggregate) to JSCC. However, JSCC will continue SPAN Risk Parameter File distribution for
Clearing Participants’ and Clients’ use for reconciliation of margin requirement calculation results and the like.
DISCLAIMER: This is the reference translation of the original Japanese document. Japan Securities Clearing Corporation shall accept no responsibility or liability for damage or loss caused by any error, inaccuracy, or misunderstanding with regard to this translation. This document may not be reproduced or redistributed in whole or in part without the permission of Japan Securities Clearing Corporation.
DISCLAIMER: This is the reference translation of the original Japanese document. Japan Securities Clearing Corporation shall accept no responsibility or liability for damage or loss caused by any error, inaccuracy, or misunderstanding with regard to this translation. This document may not be reproduced or redistributed in whole or in part without the permission of Japan Securities Clearing Corporation.
2. Outline of Revisions related to File Names and Common Records
File names of SPAN Risk Parameter Files (hereinafter “RPF”) used for margin requirement calculation for each
point will be changed as follows (same for file name after compression):
2
① File Name Change
Each item recorded on Type 0 record of each RPF will be set as shown below:
* Changed and new items are shown in red.
② Change related to Common Records
Settlement or Intraday Flag File Identifier Business Time Settlement or Intraday Flag Current After Change Current After Change Current After Change
1 RPF for the Day (early) Set ‘S’ Set ‘S’ Set ‘E△’ Set ‘E△’ Set ‘1600’ Set ‘1600’
2 RPF for the Day (final) Set ‘S’ Set ‘S’ Set ‘FC’ Set ‘FC’ Set ‘1700’ Set ‘1700’
3 RPF for Emergency Margin
(ad-hoc) Set ‘I’ Set ‘I’ Set ‘FC’ Set ‘FC’ Set ‘1300’ Set ‘1300’
4 RPF for Intraday Margin
*New file associated with new scheme - Set ‘I’ - Set ‘FC’ - Set ‘1100’
File Name Products Recorded Approx. Distribution Time *
Settlement or Intraday Flag Current RPF RPF after Change Current RPF RPF after Change Current RPF RPF after Change
1 RPF for the Day (early) JscMMDDe.pa2 JscYYYYMMDD_1600.pa2 Commodities
other than RN
Prime Futures
Commodities other than
RN Prime Futures and
Flexible Options
Around 15:45 Around 15:45*
2 RPF for the Day (final) JscMMDDs.pa2 JscYYYYMMDD_1700.pa2 All Commodities All Commodities Around 15:50 Around 16:15*
3 RPF for Emergency Margin
(ad-hoc) JscMMDDi.pa2 JscYYYYMMDD_1300.pa2 All Commodities All Commodities Around 11:45 Around 13:30*
4
RPF for Intraday Margin
(New file associated with new
scheme)
- JscYYYYMMDD_1100.pa2 - All Commodities - Around 11:30*
* Approx. Distribution Time shows average approximate distribution time (expected) after change assumed based on current average distribution time. This
is an assumption as at the time of distribution of this document and may be subject to change depending on future development status. However, until the
introduction of Flexible Options, RPF(final) will be distributed by around 15:50.
* There may be delayed depend on market condition.
* When to trigger "Business Contingency Plan Pertaining to Calculation of Margin Requirement for Futures and Option Contracts" on each timing of margin
calculation will be revised in future.
DISCLAIMER: This is the reference translation of the original Japanese document. Japan Securities Clearing Corporation shall accept no responsibility or liability for damage or loss caused by any error, inaccuracy, or misunderstanding with regard to this translation. This document may not be reproduced or redistributed in whole or in part without the permission of Japan Securities Clearing Corporation.
2. Outline of Revisions related to File Names and Common Records
3
As to each group of records per Commodity Group comprised of Type 2, 3, C, 4, B, P Records, it is currently set in ascending
order by number, and then ascending order by alphabet per each Commodity Group. This setting will not apply for the time being
after launch of Derivatives Clearing Renewal Project.
As recording method of Type B Record, it is currently set in ascending order by contract month within the Commodity Code, in
principle. This setting will not apply for the time being after launch of Derivatives Clearing Renewal Project.
As recording method of Type 5 Record, it is currently set in ascending order by number, and then ascending order by alphabet.
This setting will not apply for the time being after launch of Derivatives Clearing Renewal Project.
As recording method of Type 81 Record and 82 Record, they are currently set in ascending order by contract month, and then
ascending order of exercise price within the Commodity Code, in principle. This setting will not apply for the time being after launch
of Derivatives Clearing Renewal Project.
③ Changes related to Recording Order of Commodity/Contract Month
※当該レコードの設定値による証拠金所要額への影響はございません。
Exchange rate recorded on Type T Record will be recorded in the following manner for the time being after
launch of Derivatives Clearing Renewal Project.
④ Change related to Type T Record
Current/New Recorded Value
1 Current T USD$JPYY 107000000
2 After
Change T USD$JPYY 00
DISCLAIMER: This is the reference translation of the original Japanese document. Japan Securities Clearing Corporation shall accept no responsibility or liability for damage or loss caused by any error, inaccuracy, or misunderstanding with regard to this translation. This document may not be reproduced or redistributed in whole or in part without the permission of Japan Securities Clearing Corporation.
2. Outline of Revisions related to File Names and Common Records
4
As to Leg 1 and Leg 2 Market Side Indicator to be recorded on Type C Record, it is currently set in the order of
B to A. It will be recorded in the order of A to B for the time being after launch of Derivatives Clearing Renewal
Project.
⑥ Change related to Type C Record
Current/
New Leg 1 Market Side Indicator Leg 2 Market Side Indicator
1 Current B A
2 After
Change A B
Tier 1 Start Contract Month and Tier 1 End Contract Month to be recorded on Type 3 Record will be recorded in
the following manner.
⑤ Change related to Type 3 Record
Current/
New Tier 1 Start Month Example Tier 1 End Month Example
1 Current Smallest value of Contract Month set for each
Commodity Group 201702
Largest value of Contract Month set for each
Commodity Group 202112
2 After
Change
For all Commodity Groups, the month to which
distribution date belongs. 201702
For all Commodity Groups, the month that is 20
years or more after the distribution date. 204012
DISCLAIMER: This is the reference translation of the original Japanese document. Japan Securities Clearing Corporation shall accept no responsibility or liability for damage or loss caused by any error, inaccuracy, or misunderstanding with regard to this translation. This document may not be reproduced or redistributed in whole or in part without the permission of Japan Securities Clearing Corporation.
2. Outline of Revisions related to File Names and Common Records
5
Product name to be recorded on Type P Record will be recorded in the following manner for the time being after
launch of Derivatives Clearing Renewal Project.
⑧ Change related to Type P Record
Current/
New Current Setting / Example Setting / Example after change
1 Product Name Set name for each Commodity Code (NIKKEI 225 FUT) Set same value as Commodity Code (NK225F)
2 Settlement Price Decimal
Locator ・For PHY, corresponding underlying decimal value is set ・For PHY, 000 in all cases
Each of below-items to be recorded on Type B Record will be recorded in the following manner for the time
being after launch of Derivatives Clearing Renewal Project.
⑦ Change related to Type B Record
Current/New Current Setting / Example Setting / Example after Change
1 Volatility Scan Range ・Fill with zero at end
・VSR not recorded for Futures
・Not fill with zero at end
・VSR recorded even in case of Futures 2 Price Scan Range ・PSR recorded even in case of PHY ・PSR not recorded in case of PHY 3 Interest Rate ・For Futures, 00000 in all cases ・For Futures, 5-digit single byte spaces in all cases 4 Time to Maturity ・For Futures, 0000000 in all cases ・For Futures, 7-digit single byte spaces in all cases
5 Lookahead Time Set according to number of days up to next business day 002738
6 Delta Scaling Factor
・ PHY is 0.1 for 10y JGB Futures Group, Nikkei225 Group,
TOPIX Group
・1 for JPX Nikkei Index 400 Futures
・10 for JPX Nikkei Index 400 Option
・PHY is 1 for 10y JGB Futures Group, Nikkei225 Group,
TOPIX Group
・0.1 for JPX Nikkei Index 400 Futures
・1 for JPX Nikkei Index 400 Option 7 Maturity Date ・For Futures, 00000000 in all cases ・For Futures, 8-digit single byte spaces in all cases
8 Dividend Yield ・For Options on 10Y-JGB Futures, not recorded
・For Single Stock Options, 6-digit figures other than zero
・For Options on 10Y-JGB Futures, “ 00” (1-digit single
byte space and 00)
・For Single Stock Options, corresponding figures are set
DISCLAIMER: This is the reference translation of the original Japanese document. Japan Securities Clearing Corporation shall accept no responsibility or liability for damage or loss caused by any error, inaccuracy, or misunderstanding with regard to this translation. This document may not be reproduced or redistributed in whole or in part without the permission of Japan Securities Clearing Corporation.
2. Outline of Revisions related to File Names and Common Records
6
As to Leg 1 and Leg 2 Commodity Group to be recorded on Type 6 Record, it is currently recorded in ascending
order by alphabet in Commodity Group Code. It will be recorded such that Commodity Group whose
Delta/Spread ratio is 1 will be Leg 1 for the time being after launch of Derivatives Clearing Renewal Project.
⑨ Change related to Type 6 Record
Current/
New Example
1 Current 6 IDX00020920100OSE JN400 0138500BOSE NK225 0010000A
2 After
Change 6 IDX00020920100OSE NK225 0010000AOSE JN400 0138500B
3. Outline of Revisions related to each Commodity Record
Commodity Group Code related to Single Stock Options will be changed from “EQU” to “IDX” which is the same
as Index Futures and Options.
7
③ Change of Commodity Group Code Setting Value related to Single Stock Options See Slide 12
Commodity Code related to Options on 10-year JGB Futures will be changed from “JGBLFP” to “JGBLFE”
Commodity Code related to TOPIX Options will be changed from “TOPIXP” to “TOPIXE”
① Change of Commodity Code Setting Value related to Some Options See Slide 9
Commodity Code related to Nikkei225Weekly Options will be changed from “NK225WE” to “NK225W1,”
“NK225W3,” “NK225W4,” “NK225W5,” respectively, according to the week to which SQ date of such Option
belongs.
Determination method of 2 digits in Futures Contract Month Code and Option Contract Month Code related to
Nikkei225Weekly Options representing month will be changed from incrementing from “40” to setting month to
which SQ date of the Option belongs.
② Change of SPAN Code Structure related to Nikkei225Weekly Options See Slides 10 to 11
Set respective SPAN Code to be used upon introduction of Flexible Options at Osaka Exchange (OSE).
④ Set SPAN Code Structure related to Introduction of Flexible Options See Slide 13 to 17
DISCLAIMER: This is the reference translation of the original Japanese document. Japan Securities Clearing Corporation shall accept no responsibility or liability for damage or loss caused by any error, inaccuracy, or misunderstanding with regard to this translation. This document may not be reproduced or redistributed in whole or in part without the permission of Japan Securities Clearing Corporation.
Change of Delta Scaling Factor for JPX Nikkei Index 400 Futures from "1" to "0.1".
Change of Delta Scaling Factor for JPX Nikkei Index 400 Options from "10" to "1".
⑤ Change of Delta Scaling Factor for JPX Nikkei Index 400 Group See Slide 18
3-1. Change Commodity Code Setting Value related to some Options
8
• Change Commodity Code related to Options on 10-year JGB Futures from “JGBLFP” to “JGBLFE.”
• Change Commodity Code related to TOPIX Options from “TOPIXP” to “TOPIXE.”
• Record types affected by this change will be 2, 81, 82, B and P.
Comparison of Changed Record (Example of Option on 10-year JGB Futures)
2 OSE JGBL 2JPYYPN JGBL PHY JGBLF FUT JGBLFP OOF JGBLMF FUTB OSEJGBLFP OOF201703 201703 0000000 0012500 7200 300003000000000035616002738 1000020170228JGBLF BB OSEJGBLFP OOF201706 201704 0000000 0012500 7200 300003000000000120548002738 1000020170331JGBLF BB OSEJGBLFP OOF201706 201706 0000000 0012500 7200 300003000000000287671002738 1000020170531JGBLF BP OSEJGBLFP OOFJGB10YEARS 002001 100000000000000000000001JPYYSTD81OSEJGBLFP JGBLF OOFC201703 201703 000150001268-01254+02495-00115-00337-01300+04016-02500-00322+82OSEJGBLFP JGBLF OOFC201703 201703 000150001300+05801-04900-00755+01300+05790-00390+04277+00015544000001381OSEJGBLFP JGBLF OOFP201703 201703 000150001269-01225+00097-02244+02743-01150-00777+02250+04492-82OSEJGBLFP JGBLF OOFP201703 201703 000150003550-01385+02250+06468-05950-00675+06105-05736-000150890000023
DISCLAIMER: This is the reference translation of the original Japanese document. Japan Securities Clearing Corporation shall accept no responsibility or liability for damage or loss caused by any error, inaccuracy, or misunderstanding with regard to this translation. This document may not be reproduced or redistributed in whole or in part without the permission of Japan Securities Clearing Corporation.
2 OSE JGBL 2JPYYPN JGBL PHY JGBLF FUT JGBLFE OOF JGBLMF FUTB OSEJGBLFE OOF201703 201703 0000000 00125 7200 300003000000000035616002738 1000020170228JGBLF B 00B OSEJGBLFE OOF201706 201704 0000000 00125 7200 300003000000000120548002738 1000020170331JGBLF B 00B OSEJGBLFE OOF201706 201706 0000000 00125 7200 300003000000000287671002738 1000020170531JGBLF B 00P OSEJGBLFE OOFJGBLFE 002001 100000000000000000000001JPYYSTD81OSEJGBLFE JGBLF OOFC201703 201703 000150001268-01254+02495-00115-00337-01300+04016-02500-00322+82OSEJGBLFE JGBLF OOFC201703 201703 000150001300+05801-04900-00755+01300+05790-00390+04277+00015544000001381OSEJGBLFE JGBLF OOFP201703 201703 000150001269-01225+00097-02244+02743-01150-00777+02250+04492-82OSEJGBLFE JGBLF OOFP201703 201703 000150003550-01385+02250+06468-05950-00675+06105-05736-000150890000023
3-2. Change of SPAN Code Structure related to Nikkei225Weekly Options ①
9
• Commodity Code related to Nikkei225Weekly Options will be changed from “NK225WE” to “NK225W1,” “NK225W3,”
“NK225W4,” “NK225W5,” respectively, according to the week to which SQ date of such Option belongs.
(eg. For issue maturing on March 17, 2017, SQ date of this issue is 3rd Friday, so Commodity Code will be “NK225W3”).
By this change, Type 2 record related to Nikkei225 Product will increase from 1 line to 2 lines, and each Commodity Code set on
Type 81, 82, B and P records will be changed. Type P record may be 3 or 4 lines depending on the date of creation.
• Determination method of 2 digits in Futures Contract Month Code and Option Contract Month Code related to Nikkei225Weekly
Options representing month will be changed from incrementing from “40” to setting month to which SQ date of the Option belongs.
(eg. For above issue, it will be changed from “201747” to “201703”).
By this change, Contract Month Code set on Type 81, 82, B and P records related to Nikkei225 Product will be changed.
Moreover, date that is different from current setting may be set on specific dates for Tier1 Commencement Month of Type 3
record.
(eg. During the period from Dec. 12 to 30, 2016, “201678” to “201680” were set as Contract Month Code. However, it will be set
as “201612” after change.)
• Please note that Commodity Code and Contract Month Code will be set without considering holidays.
(eg. For Jan. 2016, because Jan. 1 is the first Friday of Jan., if holiday is not set, Weekly option for the first week of Jan. will be
set, but in the case where actual SQ date is set at Dec. 30 (Wed.), 2015 by considering holidays, Commodity Code is set at
“NK225W1” and Contract Month Code is set at “201601” (Commodity Code and Contract Month Code will not be “NK225W5” and
“201512” respectively.)
DISCLAIMER: This is the reference translation of the original Japanese document. Japan Securities Clearing Corporation shall accept no responsibility or liability for damage or loss caused by any error, inaccuracy, or misunderstanding with regard to this translation. This document may not be reproduced or redistributed in whole or in part without the permission of Japan Securities Clearing Corporation.
3-2. Change of SPAN Code Structure related to Nikkei225Weekly Options ②
10
Records related to Nikkei225Weekly Options after Change (Excerpts)
• Presented below are sample codes showing changes on previous slide.
DISCLAIMER: This is the reference translation of the original Japanese document. Japan Securities Clearing Corporation shall accept no responsibility or liability for damage or loss caused by any error, inaccuracy, or misunderstanding with regard to this translation. This document may not be reproduced or redistributed in whole or in part without the permission of Japan Securities Clearing Corporation.
2 OSE NK225 2JPYYPN NK225 PHY NK225E OOP NK225F FUT NK225MF FUT NK225W1 OOP NK225W3 OOP2 OSE NK225 2JPYYPN NK225W4 OOP NK225W5 OOP3 NK225 1001201702202709 100010001000B OSENK225W1 OOP201703 201703 0000000 00901 8100 300003000000000005479002738 1000020170303NK225 M 00000000B OSENK225W3 OOP201702 201702 0000000 00901 8100 300003000000000024658002738 1000020170217NK225 M 00000000B OSENK225W3 OOP201703 201703 0000000 00901 8100 300003000000000043836002738 1000020170317NK225 M 00000000B OSENK225W4 OOP201702 201702 0000000 00901 8100 300003000000000082192002738 1000020170224NK225 M 00000000P OSENK225W1 OOPNK225W1 000000 000100000000000000000001JPYYSTDP OSENK225W3 OOPNK225W3 000000 000100000000000000000001JPYYSTDP OSENK225W4 OOPNK225W4 000000 000100000000000000000001JPYYSTD81OSENK225W1 NK225 OOPC201703 201703 001950001336-01470+02781-00139-00191-02055+04516-02557-00666+82OSENK225W1 NK225 OOPC201703 201703 001950002147+06508-05224-01267+02152+06424-00646+04635+00153722000021581OSENK225W1 NK225 OOPP201703 201703 001950001301-01522+00041-02722+02804-00258-00985+03389+04544-82OSENK225W1 NK225 OOPP201703 201703 001950002507-01794+03690+06506-05037-01148+06352-05244-00212965000038581OSENK225W3 NK225 OOPC201702 201702 001950000121-00516+01784-01530-00465+00550+04251-04230-00546+82OSENK225W3 NK225 OOPC201702 201702 001950000550+06931-06930-00550+00550+06939-00165+04414+00143173000005581OSENK225W3 NK225 OOPP201702 201702 001950000111-00537+00933+01206+02210-02115-01180+01206+04819-82OSENK225W3 NK225 OOPP201702 201702 001950004815-01205+01206+07515-07515-00362+07114-05582-00149625000012581OSENK225W3 NK225 OOPC201703 201703 001950001910-02012+03346-00475+00689-02796+04989-01721-00320+82OSENK225W3 NK225 OOPC201703 201703 001950003063+06828-04272-01127+03120+06133-00938+04755+00156420000031581OSENK225W3 NK225 OOPP201703 201703 001950001906-02016+00643-03179+03383-00108+00412+03689+05071-82OSENK225W3 NK225 OOPP201703 201703 001950002317-01273+03842+06961-04955-01159+06342-05237-00157191000039081OSENK225W4 NK225 OOPC201702 201702 001950000935-01083+02404-00672-00104+01367+04280-03313-00754+82OSENK225W4 NK225 OOPC201702 201702 001950001371+06486-06012-01109+01371+06661-00411+04509+00140180000014081OSENK225W4 NK225 OOPP201702 201702 001950000921-01102+00310+02066+02576-01277-01140+02142+04614-82OSENK225W4 NK225 OOPP201702 201702 001950003968-01643+02142+06947-06667-00643+06858-05479-001440510000215
3-3. Change of Commodity Group Code Setting Value related to Single Stock Options
11
• Commodity Group Code related to Single Stock Options will be changed from “EQU” to “IDX” which is the same as Index
Futures/Option.
* There will be no change to Combined Commodity Code and Commodity Code setting method.
• Record type affected by this change will be Type 5 record.
* As inter-commodity spread credit is not set for Single Stock Options, Type 6 record will not be affected.
Product Name Commodity Group Code Combined Commodity Code Commodity Code
1 TOPIX ETF EQU 1306 1306P
Product Name Commodity Group Code Combined Commodity Code Commodity Code
1 TOPIX ETF IDX 1306 1306P
SPAN Code Structure related to Single Stock Options after Change (Example)
Comparison of Changed Record (Excerpts)
DISCLAIMER: This is the reference translation of the original Japanese document. Japan Securities Clearing Corporation shall accept no responsibility or liability for damage or loss caused by any error, inaccuracy, or misunderstanding with regard to this translation. This document may not be reproduced or redistributed in whole or in part without the permission of Japan Securities Clearing Corporation.
5 EQU 1306 1309 1320 1321 1328 1330 1343 1540 1591 1605
5 IDX 1306 1309 1320 1321 1328 1330 1343 1540 1591 1605
3-4. Setting SPAN Code Structure related to Introduction of Flexible Options ①
12 DISCLAIMER: This is the reference translation of the original Japanese document. Japan Securities Clearing Corporation shall accept no responsibility or liability for damage or loss caused by any error, inaccuracy, or misunderstanding with regard to this translation. This document may not be reproduced or redistributed in whole or in part without the permission of Japan Securities Clearing Corporation.
• At OSE, introduction of Flexible Options that allows Trading Participant to flexibly set trade terms,
such as strike price and exercise date, based on its application is scheduled (launch aimed at 1st
Quarter of FY2018 (April to June)).
• Contract spec currently under consideration is as follows:
― Strike Price: any price to two decimal places, in principle; Exercise Date: Trading Participant to
apply for setting issue by selecting any 1 business day within 5 years for Index Options and
within 3 years for Single Stock Options.
― Flexible Options will be off-auction trading only.
― In addition to Index Options (Nikkei225, TOPIX, JPX-Nikkei Index 400) and Single Stock Options
currently traded on the Exchange, Flexible Options will cover TOPIX Banks Index Options and
TSE REIT Index Options, which will be newly listed*.
* Only Flexible Options will be traded on the Exchange for TOPIX Banks Index Options and TSE
REIT Index Options.
― For final settlement of Flexible Options, Trading Participant may designate cash settlement at
SQ price (traditional method) or at the closing price of the index on the last trading day for Index
Options, and physical settlement of underlying asset (traditional method) or cash settlement at
the closing price of the underlying asset on the last trading day for Single Stock Options, at the
time of submission of an application.
• While record related to Flexible Option will not be recorded at the time of launch of
Derivatives Clearing Renewal Project due to introduction timing, presented on following slides
are expected record settings to apply if Flexible Option is introduced.
3-4. Setting SPAN Code Structure related to Introduction of Flexible Options ②
13
• Outlined below are expected record settings upon introduction of Flexible Options currently under consideration at OSE.
● SPAN Parameter Assumptions
・SPAN Parameters: Same as standard option
・Commodity Code, Maturity, Settlement Type:NK225EFL, March 31, 2017, SQ Settlement Type
・Commodity Code, Maturity, Settlement Type:NK225CEFL, March 31, 2017, Closing Price Settlement Type
Case 1: When Index Futures and Index Option is set in respect of certain underlying asset
Example of setting Nikkei225 Flexible Options (Excerpts)
• If Flexible Options are added to Commodity for which Index Option has already been set, there will be changes
to Type 2, 81, 82, B and P records.
DISCLAIMER: This is the reference translation of the original Japanese document. Japan Securities Clearing Corporation shall accept no responsibility or liability for damage or loss caused by any error, inaccuracy, or misunderstanding with regard to this translation. This document may not be reproduced or redistributed in whole or in part without the permission of Japan Securities Clearing Corporation.
2 OSE NK225 2JPYYPN NK225 PHY NK225F FUT NK225MF FUT NK225E OOP NK225W1 OOP NK225W3 OOP2 OSE NK225 2JPYYPN NK225W4 OOP NK225W5 OOP NK225CEFL OOP NK225EFL OOP3 NK225 1001201702202709 100010001000B OSENK225CEFL OOP201703 20170331 0000000 00901 8100 300003000000000120548002738 1000020170331NK225 M 00000000B OSENK225EFL OOP201703 20170331 0000000 00901 8100 300003000000000120548002738 1000020170331NK225 M 00000000P OSENK225CEFL OOPNK225CEFL 000002 000100000000000000000001JPYYSTDP OSENK225EFL OOPNK225EFL 000002 000100000000000000000001JPYYSTD81OSENK225CEFL NK225 OOPC201703 20170331 195000001645-01767+03083-00219+00448-02523+04754-02014-00513+82OSENK225CEFL NK225 OOPC201703 20170331 195000002756+06641-04591-01253+02799+06230-00841+04720+00161811000028081OSENK225EFL NK225 OOPC201703 20170331 195000001645-01767+03083-00219+00448-02523+04754-02014-00513+82OSENK225EFL NK225 OOPC201703 20170331 195000002756+06641-04591-01253+02799+06230-00841+04720+001618110000280
3-4. Setting SPAN Code Structure related to Introduction of Flexible Options ③
14
Case 2:When Index Futures are set but Index Option is not set in respect of certain underlying asset
Example of Setting TSE REIT Index Flexible Options (Excerpts)
• When Flexible Options are added to Commodity of which Index Option is not set, there will be changes to Type 2,
4, 81, 82, B and P records.
● SPAN Parameter Assumptions
・SPAN Parameters: VSR=12.34%, SOMC =JPY7,240, Other=Same as standard Future
・Commodity Code, Maturity, Settlement Type: REITEFL, Feb. 28, 2017, SQ Settlement Type
・Commodity Code, Maturity, Settlement Type: REITCEFL, Feb. 28, 2017, Closing Price Settlement Type
DISCLAIMER: This is the reference translation of the original Japanese document. Japan Securities Clearing Corporation shall accept no responsibility or liability for damage or loss caused by any error, inaccuracy, or misunderstanding with regard to this translation. This document may not be reproduced or redistributed in whole or in part without the permission of Japan Securities Clearing Corporation.
2 OSE NK225 2JPYYPN NK225 PHY NK225F FUT NK225MF FUT NK225E OOP NK225W1 OOP NK225W3 OOP2 OSE NK225 2JPYYPN NK225W4 OOP NK225W5 OOP NK225CEFL OOP NK225EFL OOP3 NK225 1001201702202709 100010001000B OSENK225CEFL OOP201703 20170331 0000000 00901 8100 300003000000000120548002738 1000020170331NK225 M 00000000B OSENK225EFL OOP201703 20170331 0000000 00901 8100 300003000000000120548002738 1000020170331NK225 M 00000000P OSENK225CEFL OOPNK225CEFL 000002 000100000000000000000001JPYYSTDP OSENK225EFL OOPNK225EFL 000002 000100000000000000000001JPYYSTD81OSENK225CEFL NK225 OOPC201703 20170331 195000001645-01767+03083-00219+00448-02523+04754-02014-00513+82OSENK225CEFL NK225 OOPC201703 20170331 195000002756+06641-04591-01253+02799+06230-00841+04720+00161811000028081OSENK225EFL NK225 OOPC201703 20170331 195000001645-01767+03083-00219+00448-02523+04754-02014-00513+82OSENK225EFL NK225 OOPC201703 20170331 195000002756+06641-04591-01253+02799+06230-00841+04720+001618110000280
3-4. Setting SPAN Code Structure related to Introduction of Flexible Options ④
15
Case 3:When Single Stock Option (standard contract month contract) is set in respect of certain
underlying asset
Example of setting Flexible Options on Toyota (Excerpts)
• When Flexible Option is added to underlying asset of existing single stock option, there will be changes to Type 2,
81, 82, B and P records.
● SPAN Parameter Assumptions
・SPAN Parameters: Same as standard option
・Commodity Code, Maturity, Settlement Type: 7203FLP, Dec. 7, 2017, Physical Settlement Type
・Commodity Code, Maturity, Settlement Type: 7203FLCP, Dec. 7, 2017, Closing Price of Underlying (Cash
Settlement Type)
DISCLAIMER: This is the reference translation of the original Japanese document. Japan Securities Clearing Corporation shall accept no responsibility or liability for damage or loss caused by any error, inaccuracy, or misunderstanding with regard to this translation. This document may not be reproduced or redistributed in whole or in part without the permission of Japan Securities Clearing Corporation.
2 OSE 7203 1JPYYPN 7203 PHY 7203P OOP 7203FLCP OOP 7203FLP OOP3 7203 1001201703201712 100010001000B OSE7203FLCP OOP201712 20171207 0000000 01503 4400 300003000000000808219002738 10000201712077203 M 00B OSE7203FLP OOP201712 20171207 0000000 01503 4400 300003000000000808219002738 10000201712077203 M 00P OSE7203FLCP OOP7203FLCP 001002 000100000000000000000001JPYYSTDP OSE7203FLP OOP7203FLP 001002 000100000000000000000001JPYYSTD81OSE7203FLCP 7203 OOPP201712 20171207 069800000903-00964+00261-01354+01696-00188-00239+01386+02641-82OSE7203FLCP 7203 OOPP201712 20171207 069800001636-00612+01386+03726-03103-00416+03571-05031-00210856000005081OSE7203FLP 7203 OOPP201712 20171207 069800000903-00964+00261-01354+01696-00188-00239+01386+02641-82OSE7203FLP 7203 OOPP201712 20171207 069800001636-00612+01386+03726-03103-00416+03571-05031-002108560000050
3-4. Setting SPAN Code Structure related to Introduction of Flexible Options ⑤
16
Case 4: When Single Stock Option (standard contract month contract) is not set in respect of certain
underlying asset
Example of setting Flexible Options on dummy stock (issue code:9999) (Excerpts)
• When Flexible Option is set on underlying asset on which no Single Stock Option is set, there will be changes to
Type 2, 3, 4, 5, 81, 82, B, C and P records.
● SPAN Parameter Assumptions
・SPAN Parameters: PSR=JPY84,000, VSR=23.45%, Intra-commodity Spread Charge =JPY8,400,
SOMC =JPY20,000
・Commodity Code, Maturity, Settlement Type: 9999FLP, March 8, 2017, Physical Settlement Type
・Commodity Code, Maturity, Settlement Type: 9999FLCP, March 9, 2017, Closing Price of Underlying
(Cash Settlement Type)
DISCLAIMER: This is the reference translation of the original Japanese document. Japan Securities Clearing Corporation shall accept no responsibility or liability for damage or loss caused by any error, inaccuracy, or misunderstanding with regard to this translation. This document may not be reproduced or redistributed in whole or in part without the permission of Japan Securities Clearing Corporation.
2 OSE 9999 1JPYYPN 9999 PHY 9999FLP OOP 9999FLCP OOP3 9999 1001201703201703 100010001000C 9999 1001020000840010101A020101B4 9999 01 00010001001001002B OSE9999 PHY000000 0000000 300003000 002738 10000B OSE9999FLCP OOP201703 20170309 0000000 02345 8400 300003000000000060274002738 10000201703099999 M 00B OSE9999FLP OOP201703 20170308 0000000 02345 8400 300003000000000057534002738 10000201703089999 M 00P OSE9999 PHY9999 000000 000010000000000000000001JPYYSTDP OSE9999FLCP OOP9999FLCP 001000 000010000000000000000001JPYYSTDP OSE9999FLP OOP9999FLP 001000 000010000000000000000001JPYYSTD5 IDX 9508 9531 9532 9613 9735 9766 9831 9983 9984 999981OSE9999FLCP 9999 OOPP201703 20170309 000600001565-01456+00078-03389+03292-01031-01165+04461+05243-82OSE9999FLCP 9999 OOPP201703 20170309 000600003699-02172+04836+07392-06395-01474+06776-06441-00155040000049581OSE9999FLP 9999 OOPC201703 20170308 000300001481-01289+03343-01248-00160+03429+05400-03916-01563+82OSE9999FLP 9999 OOPC201703 20170308 000300004856+07622-06611-02723+05524+06841-01727+06937+001652740000580
3-5. Change of Delta Scaling Factor for JPX Nikkei Index 400 Group
17 DISCLAIMER: This is the reference translation of the original Japanese document. Japan Securities Clearing Corporation shall accept no responsibility or liability for damage or loss caused by any error, inaccuracy, or misunderstanding with regard to this translation. This document may not be reproduced or redistributed in whole or in part without the permission of Japan Securities Clearing Corporation.
• Change of Delta Scaling Factor for JPX Nikkei Index 400 Futures from "1" to "0.1".
• Change of Delta Scaling Factor for JPX Nikkei Index 400 Options from "10" to "1".
• Record type affected by this change will be Type 4, B and 6 record.
Records related to JPX Nikkei Index 400 Group after Change (Excerpts)
4 JN400 01 00005901001001002B OSEJN400 PHY000000 0000000 300003000 002738 10000B OSEJN400E OOP201809 201809 0000000 00833 4050 300003000000000969863002738 1000020180914JN400 M 00000000B OSEJN400E OOP201906 201906 0000000 00833 4050 300003000000001717808002738 1000020190614JN400 M 00000000B OSEJN400E OOP201802 201802 0000000 00833 4050 300003000000000375342002738 1000020180209JN400 M 00000000B OSEJN400E OOP201801 201801 0000000 00833 4050 300003000000000298630002738 1000020180112JN400 M 00000000B OSEJN400E OOP201803 201803 0000000 00833 4050 300003000000000452054002738 1000020180309JN400 M 00000000B OSEJN400F FUT201712 0000000 00833 405 300003000 002738 01000 JN400B OSEJN400F FUT201803 0000000 00833 405 300003000 002738 01000 JN400B OSEJN400F FUT201806 0000000 00833 405 300003000 002738 01000 JN400B OSEJN400F FUT201809 0000000 00833 405 300003000 002738 01000 JN400B OSEJN400F FUT201812 0000000 00833 405 300003000 002738 01000 JN4006 IDX00050904700OSE NK225 0010000AOSE JN400 0013900B6 IDX00080955500OSE TOPIX 0010000AOSE JN400 0011200B6 IDX00110859800OSE JN400 0010000AOSE TPX30 0192000B6 IDX00120849100OSE JN400 0010000AOSE FTSEJP0011800B6 IDX00160658700OSE JN400 0010000AOSE TPXBK 0075800B
NK225 IDX
Commodity Group Code Commodity Code
NK225F
NK225MF
NK225E
TOPIX TOPIXF
TOPIXMF
TPXBK TPXBKF
REIT REITF
Nikkei225 Futures (Large)
Nikkei225 Futures (mini)
Nikkei225 OP(Monthly)
TOPIX Futures (Large)
TOPIX Futures (mini)
TOPIX Banks Index Futures
TSE REIT Futures
NK225WE
TOPIXP
1306 1306P
1306A
1306B Only set at the time of Extraordinary Setting→
EQU
JGBL JGB JGBLF
JGBLMF
10Y JGB Futures (Large)
10Y JGB Futures (mini)
Option on 10Y JGB Futures JGBLFP
TOPIX Linked ETF OP
TOPIX Linked ETF OP (At the time of
Extraordinary Setting) TOPIX Linked ETF OP (At the time of
Extraordinary Setting)
Nikkei225 OP (Weekly)
18
Reference. Current SPAN Code Structure (Excerpts)
DISCLAIMER: This is the reference translation of the original Japanese document. Japan Securities Clearing Corporation shall accept no responsibility or liability for damage or loss caused by any error, inaccuracy, or misunderstanding with regard to this translation. This document may not be reproduced or redistributed in whole or in part without the permission of Japan Securities Clearing Corporation.
Combined Commodity Code
NK225 IDX
Commodity Group Code Combined Commodity Code Commodity Code
NK225F
NK225MF
NK225E
NK225W1
NK225W3
NK225W4
NK225W5
NK225EFL
NK225CEFL
TOPIX TOPIXF
TOPIXMF
TOPIXEFL
TOPIXCEFL
TPXBK TPXBKF
TPXBKEFL
TPXBKCEFL
REIT REITF
REITEFL
REITCEFL
Nikkei225 Futures (Large)
Nikkei225 Futures (mini)
Nikkei225 OP(Monthly)
Nikkei225 OP (Maturing 1st Fri.)
Nikkei225 OP (Maturing 3rd Fri.)
Nikkei225 OP (Maturing 4th Fri.)
Nikkei225 OP (Maturing 5th Fri.)
Nikkei225 Flexible OP (SQ Settlement) Nikkei225 Flexible OP (Closing Price
Settlement)
TOPIX Futures (Large)
TOPIX Futures (mini)
TOPIX OP
TOPIX Flexible OP (SQ Settlement) TOPIX Flexible OP (Closing Price
Settlement)
TOPIX Banks Index Futures TOPIX Banks Index Flexible OP (SQ
Settlement) TOPIX Banks Index Flexible OP (Closing
Price Settlement)
TSE REIT Futures
TSE REIT Flexible OP (SQ Settlement) TSE REIT Flexible OP (Closing Price Settlement)
TOPIXE
19
Reference. SPAN Code Structure after Derivatives Clearing Renewal Project Launch (Excerpts) ①
DISCLAIMER: This is the reference translation of the original Japanese document. Japan Securities Clearing Corporation shall accept no responsibility or liability for damage or loss caused by any error, inaccuracy, or misunderstanding with regard to this translation. This document may not be reproduced or redistributed in whole or in part without the permission of Japan Securities Clearing Corporation.
1306
Commodity Group Code Commodity Code
1306P
1306A
1306B
1306FLP
1306FLCP
JGBL JGB JGBLF
JGBLMF
JGBLFE
Only set at the time of Extraordinary Setting →
The last character of Commodity Codes
will be changed from P to A, B, …
when Corporate Actions occur.
→
TOPIX Linked ETF OP
TOPIX Linked ETF OP (At the time of
Extraordinary Setting) TOPIX Linked ETF OP (At the time of
Extraordinary Setting)
TOPIX Linked ETF Flexible OP (Physical Settlement) TOPIX Linked ETF Flexible OP (Cash Settlement)
10-year JGB Futures (Large)
10-year JGB Futures (mini)
OP on 10-year JGB Futures
20
IDX
DISCLAIMER: This is the reference translation of the original Japanese document. Japan Securities Clearing Corporation shall accept no responsibility or liability for damage or loss caused by any error, inaccuracy, or misunderstanding with regard to this translation. This document may not be reproduced or redistributed in whole or in part without the permission of Japan Securities Clearing Corporation.
Combined Commodity Code
Reference. SPAN Code Structure after Derivatives Clearing Renewal Project Launch (Excerpts) ②