TSE 10-year JGB futures
TSE 10-year JGB futures and futures options trade on the Tokyo Stock Exchange (TSE). They have been trading since October 19, 1985 and May 11, 1990, respectively.
Officially, there are still two Japanese government bond (JGB) futures contracts, TSE 5-year JGB futures and TSE 10-year JGB futures, listed on the Tokyo Stock Exchange, but TSE 5-year JGB futures contract has not been traded since 2002[1] and today the term TSE JGB futures contract customarily refers to TSE 10-year JGB futures.
Each TSE 10-year JGB futures contract represents 100 million yen face value of standardized 6%, 10-year JGB, and deliverable grade bonds are defined as Interest-bearing 10-year JGBs with 7 years or more but less than 11 years[2].
Each TSE 10-year JGB futures contract is subject to a trading fee of 100 yen per contract (87.5 yen for exercise of JGB futures options and 15 yen for physical delivery) as well as a JSCC clearing fee of 50 yen (50 yen for exercise of JGB futures options and 135 yen for physical delivery), whereas each TSE 10-year JGB futures options contract is subject to a trading fee equivalent to trading value times 0.000075 per contract as well as a JSCC clearing fee of equivalent to trading value times 0.00005 (12.5yen for exercise) [3].
In 2007, TSE 10-year JGB futures traded 1,354,523 contracts (+12.4 percent YOY) and TSE 10-year JGB futures options traded 11,239 (-14.7 percent YOY).
| TSE 10-year JGB futures | ||
|---|---|---|
| Exchange | Tokyo Stock Exchange | |
| Settlement | Physically delivered | |
| Contract Size | 100 million yen face value | |
| Pricing Unit | 10,000 yen per contract | |
| Tick Value | ¥0.01 | |
| Contract Months | March, June, September, December cycle (three contract months traded at any one time) | |
| Last Trading Day | 5th business day prior to each delivery date (20th day of each contract month, move-down the date when it is not the business day). Trading for the new contract month begins on the business day following the last trading day. | |
| Note: This contract is electronic ONLY -- no open outcry | ||
| No Open Outcry | Electronic | |
| Trading Hours | N/A | 8:45-11:02, 12:30-15:02, 15:30-5:30
(Note) An order acceptance period ("pre-closing") is established for 2 minutes（5 minutes in the Night Session） before the Itayose on close. |
| Ticker Symbol | N/A | N/A |
| Price Limits | N/A | ± 3 points (3 million yen per contract) |
| TSE 10-year JGB options | ||
| Trade Unit | One futures contract | |
| Point Value | 10,000 yen per contract (1/100 point per 100 points) | |
| Tick Value | 10,000 yen per contract (1/100 point per 100 points) | |
| Option Months | Two closest of March, June, September and December (quarterly months) plus one or two serial months (non-quarterly months) | |
| Strike Prices | Quarterly Months:11 strike prices at 1 yen intervals are set on the first trading day.
Strike prices are added on the 1st of the month prior to the last trading month so that 19 or more consecutive strike prices at 0.5 yen intervals are available. Additional strike prices are available according to the underlying JGB Futures' price movement.
| |
| Exercise Style | American type option | |
| No Open Outcry | Electronic | |
| Trading Hours | N/A | 8:45-11:02, 12:30-15:02, 15:30-5:30
(Note) An order acceptance period ("pre-closing") is established for 2 minutes（5 minutes in the Night Session） before the Itayose on close. |
| Ticker Symbol | N/A | N/A |
| Price Limits | N/A | ± 3 points (3 million yen per contract) |
Notes[edit]
Resources[edit]
References[edit]
- ↑ Tokyo Stock Exchange Fact Book 2003. Tokyo Stock Exchange Group, Inc..
- ↑ JGB Futures JGB Futures. Tokyo Stock Exchange Group, Inc..
- ↑ Trading fees for Futures and Options. Tokyo Stock Exchange Group, Inc..