1 Outline of Specifications for JPX

Outline of Specifications for JPX-Nikkei Index 400 Futures
As of March 25, 2014
Osa ka Exchange, Inc.
Items
I. Purpose
Contents
・ Considering the needs of investors for hedging, Osaka Exchange, Inc. (OSE)
Remarks
will introduce futures based on JPX-Nikkei Index 400, which is a new index
jointly developed by Japan Exchange Group, Inc. and Nikkei, Inc.
II. Outline of Trading
1. Underlying Index
・ The underlying index is JPX-Nikkei Index 400.
・The same rules as for other stock
2. Methods of Trading
a. Trading Sessions and Trading ・Trading on the regular market will be divided into a day session and a night index futures will apply.
Hours
session and their trading hours will be as follows.
(For items that are not mentioned in
this outline, the same rules as for
(1) Day Session
other stock index futures will apply.)
Opening auction – 9:00 a.m.
Regular session (Zaraba) – 9:00 a.m. to 3:10 p.m.
Closing auction – 3:15 p.m.
(2) Night session
Opening auction – 4:30 p.m.
Regular session (Zaraba) – 4:30 p.m. to 2:55 a.m. on the next day
Closing auction – 3:00 a.m. the next day
b. Methods of Trade Execution
・ JPX-Nikkei Index 400 Futures trading on the regular market will be conducted
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This English translation is solely for reference purpose only and not a legally definitive translation of the original Japanese text. In the event a difference arises regarding the
meaning herein, the original Japanese version will prevail as the official authoritative version.
Items
Contents
by individual auction through the trading platform (J-GATE).
Remarks
・
3. Contract Months
・ 5 nearest quarterly contract months will be listed, whose last trading day will ・ Each contract month will be
be a trading day which ends on the business day preceding the second
available for trading for 15
Friday of each contract month (If the second Friday is a non-business day, it
months.
shall be the preceding business day.).
・ Trading in a new contract month will start from the day session of the
business day immediately following the last trading day of the nearest
contract month.
4. Contract Size and Rules on
Bids and Offers, etc.
a. Contract Size
・ Contract size will be JPY 100 multiplied by the index point of JPX-Nikkei Index ・ The same rules as for Nikkei 225
400.
b. Bids and Offers
mini futures will apply.
・ Market Orders and Limit Orders will be available, with the conditions for ・ The same rules as for other stock
validity period and executed volume determined by OSE.
index futures will apply to the
conditions for validity period and
executed volume.
c. Tick Size (Minimum Price ・ Tick size will be 5 points.
・ The value of 1 tick will be JPY 500.
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This English translation is solely for reference purpose only and not a legally definitive translation of the original Japanese text. In the event a difference arises regarding the
meaning herein, the original Japanese version will prevail as the official authoritative version.
Items
Contents
Remarks
Intervals)
d. Price Limits
・ Bids and offers may not be made at prices exceeding the price limit range ・ The same rules as for Nikkei 225
defined by OSE.
mini futures will apply.
・ The price limit range will be 8% of the price for calculating the price limit
range from the base price (as a general rule, the settlement price on the
previous trading day) (rounded down to the nearest 5 points).
・ The upper or lower price limit range will be expanded when the Circuit
Breaker is triggered, and will be obtained by multiplying the price for
calculating the price limit range by 12% (1st expansion) and 16% (2nd
expansion) respectively (rounded down to the nearest 5 points).
5. Suspension of Trading and ・ OSE may suspend trading in the following situations:
Temporary Trading Halts
a. Suspension of Trading
(1) In cases where OSE deems that trading conditions are irregular;
・ The same rules as for other stock
index futures will apply.
(2) In cases where OSE deems it inappropriate to continue trading in terms of
trading supervision;
(3) In cases where OSE deems it difficult to continue trading through the trading
platform due to trading platform malfunction, etc.
b. Temporary Trading Halts ・ In cases where a buy (sell) order is placed (or executed) for the central ・ The same rules as for other stock
(Circuit Breaker)
contract month at the upper (lower) price limit and no subsequent trades are
index futures will apply.
executed outside the 10% price limit range from said upper (lower) price limit
in the next minute, the trading for all contract months will be suspended for
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This English translation is solely for reference purpose only and not a legally definitive translation of the original Japanese text. In the event a difference arises regarding the
meaning herein, the original Japanese version will prevail as the official authoritative version.
Items
Contents
at least 10 minutes as a general rule.
Remarks
・ In cases where the Circuit Breaker is triggered, the upper (lower) price limit
range for all contract months will be expanded.
c.
Immediately
Executable ・ The Dynamic Circuit Breaker (DCB) will be applied to each contract month in ・ The same rules as for other stock
Price Range
the auction market as follows.
index futures will apply.
(Dynamic Circuit Breaker)
(1) When a bid or offer, which is likely to be executed beyond the price range ・ The DCB reference price will be
that is determined by OSE from the DCB reference price (DCB range), is
the middle price between the
accepted, all matching trades within the DCB range will be executed and
best bid and offer (including the
trading will be suspended for a certain period.
execution price).
(2) When trading has been suspended for a certain period, as described in (1)
above, and the matching price falls beyond the DCB range from the ・ The DCB range will be 0.8% of the
reference price, trading will not resume and the DCB reference price will be
DCB reference price and the
updated to the price within the DCB range that is nearest the matching price,
duration of the temporary trading
and trading will again be suspended for a certain period.
suspension will be 30 seconds as
a general rule.
6. Method of Restricting
Trading
・ In cases where OSE deems that trading conditions are, or are likely to be, ・ The same rules as for other stock
irregular, OSE may take necessary actions against trading and accepting the
index futures will apply.
entrustment of orders in accordance with OSE rules.
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This English translation is solely for reference purpose only and not a legally definitive translation of the original Japanese text. In the event a difference arises regarding the
meaning herein, the original Japanese version will prevail as the official authoritative version.
Items
7. Strategy Trading
Contents
Remarks
・ Strategy Trading will be available for JPX-Nikkei Index 400 Futures in ・ Only Calendar Spread Trading will
accordance with OSE rules.
be available.
・ Tick size for Strategy Trading will be 1 point.
・ For other items related to
Strategy Trading, the same rules
as for other stock index futures
will apply.
8. J-NET Trading
・ J-NET Trading will be available for JPX-Nikkei Index 400 Futures in accordance ・ For other items related to J-NET
with OSE rules.
Trading, the same rules as for
・ Tick size for J-NET Trading will be 1 point.
other stock index futures will
apply.
9. Give-Up
・ Give-Up will be available for JPX-Nikkei Index 400 Futures.
・ The same rules as for other stock
index futures will apply.
10. Trading Participants
・ Trading Participants with Futures, etc. Trading Qualification may directly trade ・ The same rules as for other stock
JPX-Nikkei Index 400 Futures in the OSE market.
index futures will apply.
III. Outline of Clearing and
Settlement
1. Clearing Organization
・ Trades of JPX-Nikkei Index 400 Futures will be cleared by Japan Securities ・ The same rules as for other stock
Clearing Corporation (JSCC).
index futures will apply.
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This English translation is solely for reference purpose only and not a legally definitive translation of the original Japanese text. In the event a difference arises regarding the
meaning herein, the original Japanese version will prevail as the official authoritative version.
Items
2. Clearing and Settlement
a. Declaration of Resale and
Repurchase
Contents
Remarks
・ In cases where a resale or repurchase transaction is executed, Clearing ・ The same rules as for other stock
Participants shall make a declaration to JSCC by a time specified by JSCC
index futures will apply.
indicating, for each contract month, (i) whether such transaction was a resale
or repurchase, (ii) the amount of such transaction, and (iii) whether it was
conducted based on entrustment by a customer or for a proprietary account
for each contract month, and Non-Clearing Participants shall make such
declaration to their Designated Clearing Participants by a time specified by
said Clearing Participants. However, Non-Clearing Participants will be allowed
to make a declaration directly to JSCC as specified by JSCC.
b. Settlement Price
・ The settlement price for JPX-Nikkei Index 400 Futures will be determined by ・ The same rules as for other stock
JSCC.
c. Mark-to-Market
index futures will apply.
・ Delivery and receipt of the following differences in the amounts shall be ・ The same rules as for other stock
made between Clearing Participants and JSCC and between Non-Clearing
index futures will apply.
Participants and their Designated Clearing Participants.
(1) With regard to new transactions on the trading day, the amount for the
differences between the day’s settlement price and the execution price.
(2) With regard to unsettled contracts (excluding (1) above), the amount for
the differences between the previous day’s settlement price and the day’s
settlement price.
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This English translation is solely for reference purpose only and not a legally definitive translation of the original Japanese text. In the event a difference arises regarding the
meaning herein, the original Japanese version will prevail as the official authoritative version.
Items
d. Margin
Contents
Remarks
・ Clearing Participants shall submit or deposit to JSCC, and Non-Clearing ・ The same rules as for other stock
Participants shall submit or deposit to their Designated Clearing Participants
index futures will apply.
an amount of margin described below:
・ An amount of margin equivalent to or greater than that required by JSCC in
accordance with the classification of entrustment by Clearing Participants’
customer or proprietary account.
e. Final Settlement
・ For each contract month, positions that are not closed by the last trading day
will be cash settled based on the final settlement price on the business day
after the final settlement price is determined by OSE.
f. Final Settlement Price
・ The final settlement price will be determined on the business day after the ・ The same rules as for Nikkei 225
last trading day and calculated based on the opening prices of each
mini futures.
component stock of JPX-Nikkei Index 400.
IV. Others
1. Trading Fees
・ The trading fee per contract will be determined at a later date.
2. Market Maker Scheme
・ A Market Maker Scheme will be introduced in order to complement market ・ Details will be considered later.
liquidity
3. Disclosure of Information
・ Open/high/low/close price data, trading volume, open interest, and other ・ The same rules as for other stock
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This English translation is solely for reference purpose only and not a legally definitive translation of the original Japanese text. In the event a difference arises regarding the
meaning herein, the original Japanese version will prevail as the official authoritative version.
Items
a. Market Information
Contents
market information on JPX-Nikkei Index 400 Futures will be published
Remarks
index futures will apply.
separately from other stock index futures.
b. Transaction Information by ・ For the time being, trading volume and open interest per trading participant
Trading Participant
will not be disclosed.
c. Transaction Information by ・ Trading volume and trading value by sale and purchase by investor-type will ・ The
Investor-Type
be disclosed separately from other stock index futures.
specific
frequency
and
method of disclosure will be the
same as for other stock index
futures.
V. Launch Date
・ OSE will consider the state of preparations among trading participants and
aim to launch the contracts by the end of November 2014.
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This English translation is solely for reference purpose only and not a legally definitive translation of the original Japanese text. In the event a difference arises regarding the
meaning herein, the original Japanese version will prevail as the official authoritative version.

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