JGB Futures
Contract specifications
Update : Jul. 01, 2012
| 5-year JGB Futures | 10-year JGB Futures | 20-year JGB Futures (*2) | mini 10-year JGB Futures | |
|---|---|---|---|---|
| Date launched | Feb. 16, 1996 | Oct. 19, 1985 |
Jul. 8, 1988 |
Mar. 23, 2009 |
| Trading hours |
Pre-Open (Order Acceptance) : 8:00 Morning Session : 8:45-11:02 (Open: 8:45-11:00, Closing Auction: 11:02) Pre-Open (Order Acceptance) : 12:05 Afternoon Session : 12:30-15:02 (Open: 12:30-15:00, Closing Auction: 15:02) Evening Pre-Open (Order Acceptance) : 15:25 Evening Session : 15:30-23:30 (Open: 15:30-23:25, Closing Auction: 23:30) Expansion of Trading Hours |
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| Final Settlement Method | Delivery of JGBs |
Cash Settlement based on Final Settlement Price | ||
| Contract | Standardized 3%, 5-year JGB | Standardized 6%, 10-year JGB | Standardized 6%, 20-year JGB | Price of standardized 6%, 10-year JGB |
| Deliverable grade (*1) | Interest-bearing 5-year JGBs with 4 years or more but less than 5.25 years. | Interest-bearing 10-year JGBs with 7 years or more but less than 11 years. | Interest-bearing 20-year JGBs with 15 years or more but less than 21 years. | - |
| Contract month | March, June, September, December cycle (three contract months traded at any one time) | |||
| Final Settlement day | 20th of each contract month | 2nd business day following the last trading day | ||
| Last trading day | 7th business day prior to each delivery date. Trading for the new contract month begins on the business day following the last trading day. | 8th business day prior to each delivery date of the 10-year JGB Futures for the same contract month. Trading for the new contract month begins on the business day following the last trading day of 10-year JGB Futures. | ||
| Trading unit | 100 million yen face value | Multiply 100 thousand yen by the price of 10-year JGB Futures | ||
| Dynamic Price Range | Pre-Open: ±1.00 yen of the base price | Pre-Open: ±1.50 yen of the base price | Pre-Open: ±1.00 yen of the base price | |
Open and Closing Auction: ±0.20 yen of the base price Function to Prevent Erroneous Order Placement |
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| Daily price limit | First price limit: ±1.00 yen of the base price Second price limit: ±2.00 yen of the base price Maximum price limit: ±3.00 yen of the base price |
First price limit:±1.50 yen of the base price Second price limit: ±3.00 yen of the base price Maximum price limit:±4.50 yen of the base price |
First price limit: ±1.00 yen of the base price Second price limit: ±2.00 yen of the base price Maximum price limit: ±3.00 yen of the base price |
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| Circuit Brake | In case when a buy (sell) order is placed to the central contract month (excluding mini-10 year JGB futures) at the upper (lower) price limit (may be followed by the execution at this price), and there is no trade at other prices for next 5 minutes, trading shall be suspended for 10 minutes. (*3) | |||
| Payment or Receipt as the result of offsetting | The next business day following the offsetting (T+1) |
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| Delivery of Bonds | The delivery of issues is at the discretion of the seller of the futures contract. | - | ||
| Cancellation Policy | TSE may apply the rules for canceling executed transactions in futures/options only when it deems that the market will be significantly disrupted due to smooth performance of settlement of executed transactions pertaining to the erroneous order being extremely difficult and/or other reasons. | |||
- (*1)The deliverable grade is limited to issues whose month of issue is at least 3 months before the month of delivery.
- (*2)TSE has decided to halt trading on new contract months for 20-year JGB Futures beginning with the December 2002 contract.
- (*3)Exceptions
1. Once Daily Price Limits is expanded to level 3, and meets the circuit breaker criteria again:
Trading halt and expanding daily price limits shall not be executed until the end of evening session.
2. In case where the above criteria is met within 20 minutes before the end of afternoon or evening session:
Trading halt and expanding daily price limits shall not be executed until the end of session.
3. In case where the above criteria is met within 10 minutes before the end of morning session:
Trading halt will continue until the end of 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 to be abnormal:
Trading halt and expanding the daily price limits can be executed regardless of the above circuit breaker criteria.