Derivatives

Circuit Breaker Rule

Update : Nov. 17, 2011

1. What are the "daily price limits"?

Outline of Basic Functions

Daily Price Limits of Individual Issues

Trading participants are not allowed to place a sell order which falls below the lower limit or a buy order which exceeds the upper limit for a certain price limit from the base price (i.e., previous day's settlement price).

Daily Price Limits in Strategy Trading

The daily price limits in inter-month spread trading are, as a general rule, twice the daily price limits on bids and offers of individual issues.

Placement of sell orders or buy orders which exceed the daily price limits are not allowed.

Parameter of Daily Price Limits

In cases where a futures contract falls under the criteria for triggering a circuit breaker, TSE shall expand the daily price limit in stages.

	JGB Futures	Stock Price Index Futures*	Dividend Index Futures
First Price Limit	Base price ± JPY 1	Base price ± 75 pts.	No daily price limits
Second Price Limit	Base price ± JPY 2	Base price ± 110 pts.
Maximum Price Limit	Base price ± JPY 3	Base price ± 150 pts.

• (*)The price limits change according to the base price of the central contract month. The figures in the above table assume a case where the price of the central contract month is between 750 pts. and 1,000 pts. For other cases, please refer to the table below.
  
  For the daily price limits, the price limit based on the base price of the central contract month will apply to all other contract months.

Daily Price Limits of Stock Price Index Futures

Base Price of Central Contract Month (Previous Day's Settlement Price)	First Price Limit	Second Price Limit	Maximum Price limit
Less than 750 pts.	50.0 pts.	75.0 pts.	100.0 pts.
750 pts. or more but less than 1,000 pts.	75.0 pts.	110.0 pts.	150.0 pts.
1,000 pts. or more but less than 1,250 pts.	100.0 pts.	150.0 pts.	200.0 pts.
1,250 pts. or more but less than 1,750 pts.	150.0 pts.	225.0 pts.	300.0 pts.
1,750 pts. or more but less than 2,250 pts.	200.0 pts.	300.0 pts.	400.0 pts.
2,250 pts. or more but less than 2,750 pts.	250.0 pts.	375.0 pts.	500.0 pts.
2,750 pts. or more but less than 3,250 pts.	300.0 pts.	450.0 pts.	600.0 pts.
3,250 pts. or more but less than 3,750 pts.	350.0 pts.	525.0 pts.	700.0 pts.
3,750 pts. or more	400.0 pts.	600.0 pts.	800.0 pts.

Update Timing of Base Prices and Daily Price Limits

The same price shall be adopted from the morning session to the evening session and updated to the previous day's settlement price at the opening of the morning session on the following day.
However, the base price may be changed manually where necessary in light of market conditions.
Please refer to the following chart for an illustration of the update timing of base prices and daily price limits.

2. What is a "circuit breaker"?

Basic Information (Criteria for Triggering a Circuit Breaker, Duration of a Temporary Trading Halt, etc.)

What is a "circuit breaker"?

In cases where the central contract month falls under the following criteria for triggering a circuit breaker, TSE shall immediately halt such central contract month as well as all other contract months for a certain period of time.

Criteria for Triggering a Circuit Breaker

1. Where a transaction in the central contract month is effected at the upper or lower limit of the daily price limits.
2. Where a transaction in the central contract month is not effected for a period of five minutes after bids or offers are displayed at the upper or lower limit of the daily price limits.

Duration of a Temporary Trading Halt

1. If the above criterion A is met, trading shall be halted for 15 minutes.
2. If the above criterion B is met, trading shall be halted for 10 minutes.

Exceptions

1. Where the criterion for triggering a circuit breaker is met again after the daily price limits are expanded to the maximum price limit:
   Until the close of the evening session, TSE shall not temporarily halt trading and expand the daily price limits.
   
2. Where criterion A for triggering a circuit breaker is met within 25 minutes before the close of the afternoon or evening session;
   or, where the criterion B for triggering a circuit breaker is met within 20 minutes before the close of the afternoon and evening session:
   Until the close of each sessions, TSE shall not temporarily halt trading and expand the daily price limits.
   
3. Where criterion A for triggering a circuit breaker is met within 15 minutes before the close of the morning session;
   or, where criterion B for triggering a circuit breaker is met within 10 minutes before the close of the morning session:
   TSE shall temporarily halt trading until the close of the morning session.
   
4. In addition to the above cases, in cases where TSE deems that, in consideration of the market conditions, the state of trading is or is likely to be abnormal:
   TSE may temporarily halt trading and expand the daily price limits regardless of the above criteria for triggering a circuit breaker.