■04 23,2008
SPAN Commodity Codes and SPAN Risk Parameter Files for the TSE new derivative products
With the launch of the TSE new derivative products, the following changes will be made to
daily Span Risk Parameter Files from June 16, 2008.
(1) Information on the TSE new derivative products will be added to the record of each product.
* For the commodity code of the TSE new derivative product, please refer to Commodity Code for SPAN
RiskParameter File below.
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Commodity Code for SPAN Risk Parameter File[177kb] |  |
The "pdf" format refers to the portable document format from Adobe.
To view a file in this format, you must get Acrobat Reader which is available here.
(2) Type “B” Record will be added to the SPAN risk parameter files for each product.
a) Risk offsetting will be allowed between TOPIX Futures and Mini TOPIX Futures by using
“Delta Scaling Factor” on Type “B” Record from the day above.
b) Delta Scaling Factor shall be “0.1” for Mini TOPIX Futures and “1” for the others.
* For your convenience, here is a sample of the SPAN risk parameter file which will be provided from June 16.
It can be used for a test with PC-SPAN®, etc.
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Sample of SPAN Risk Parameter File[177kb] |  |
