Futures & Options
Contract specifications
Update : Mar.3, 2009
| 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 | 9:00 - 11:00 am 12:30 - 3:00 pm 3:30 - 6:00 pm | 9:00 - 11:00 am 12:30 - 3:00 pm 3:30 - 6:00 pm |
9:00 - 11:00 am 12:30 - 3:00 pm 3:30 - 6:00 pm | |
| 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 | ||
| Minimum fluctuation | 1/100 point per 100 yen face value (10,000 yen per contract) | 1/200 point (500 yen per contract) | ||
| Daily price limit | ± 3.00 points (3 million yen per contract) | ± 4.50 points (4.5 million yen per contract) | ± 3.00 points (3 million yen per contract) | |
| Circuit Brake | In cases of a 2.00 point change from the previous days' settlement price, trading will be halted for 15 min. (*3) | In cases of a 3.00 point change from the previous days' settlement price, trading will be halted for 15 min. (*3) | The circuit breaker is triggered if a circuit breaker is implemented for JGB Futures of the same contract month (*3) | |
| Payment or Receipt as the result of offsetting | The next business day following the offsetting (T+1) |
|||
| 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 has to be
issued at least 3 months prior to the delivery months.
*2
TSE has decided to
halt trading on new contract months for 20-year JGB Futures
beginning with the December 2002 contract.
*3
It's not applied after the last 25 min from the market close.
Survey regarding 10-Year JGB Futures Trading(TSE News Jan. 23, 2009)