TSE News

TSE and NYSE Liffe will introduce the position transfer scheme into JGB Futures contract on 26th September, 2011.

Update : Aug. 12, 2011

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[Tokyo Stock Exchange, Inc.]

In partnership with NYSE Liffe, Tokyo Stock Exchange and NYSE Liffe will be introducing a position transfer arrangement to the Japanese Government Bond (“JGB”) Futures Contract listed on NYSE Liffe, whereby open positions in London will be transferred to Tokyo and become fully fungible with the TSE 10-year JGB Futures Contract beginning 26th Septermber, 2011.

The existing JGB Futures Contract (contract code LFN), whereby all open positions on NYSE Liffe at the close of a business day are closed out automatically at the first subsequent opening price on the TSE for the same delivery month, and cash settled through variation margin; will be suspended on Friday 23rd September, 2011. The revised JGB Futures Contract will be made available for trading on NYSE Liffe, under a new NYSE Liffe contract code (contract code LFJGB), beginning Monday 26th September, 2011.

The summary of Contract Specification of new NYSE Liffe contract is as follows.

Underlying Interest bearing JGBs (Japanese Government Bonds) maturing between seven (7) years and eleven (11) years from the delivery month
Trading Hours 07:00 - 16:00
(The JGB Contract opens at 08:00 on Tokyo Stock Exchange Holidays)
Delivery Months 2 quarterly contract months (March, June, September and December) available for trading at any one time
Last Trading Day Two London Business Days prior to the TSE Last Trading Day for the equivalent TSE Japanese Government Bond Futures contract delivery month
(Until 23th Sep, the Last Trading Day of NYSE Liffe is one day prior to the TSE Last Trading Day)
Daily Settlement Type Transfer of open positions in London to the TSE based on the LIFFE Daily Settlement Price
(Until 23th Sep, daily settelement price of NYSE Liffe is the first subsequent opening price on the TSE)
Trading Tick Size 0.01 yen

Please see the NYSE Liffe Web-site for the detail of JGB Futures Contract of NYSE Liffe.

Also, you can find the information of the position transfer scheme of TOPIX Index Futures (already introduced last year) through the following link.

Contact

Tokyo Stock Exchange, Inc. Derivatives
TEL: +81-3-3666-0141(main switchboard)
e-mail:tdex-biz@tse.or.jp

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