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5-year JGB Futures |
10-year JGB Futures |
mini 20-year JGB Futures |
Contract |
Standardized 3%, 5-year JGB |
Standardized 6%, 10-year JGB |
Standardized 3%, 20-year JGB |
Opening Date |
February 16, 1996 |
October 19, 1985 |
April 7, 2014 |
Deliverable Grade |
Interest-bearing 5-year JGBs with 4 years or more but less than 5.25 years.*1 |
Interest-bearing 10-year JGBs with 7 years or more but less than 11 years.*1 |
Interest-bearing 20-year JGBs with 19 years 3 months or more but less than 21 years.*2 |
Trading Hours |
8:45-11:02, 12:30-15:02, 15:30-6:00
(Note) An order acceptance period ("pre-closing") is established for 2 minutes(5 minutes in the Night Session) before the Itayose on close.
Trading Hours |
Contract Months |
3 months in the March quarterly cycle (March, June, September and December) |
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. |
Contract Unit |
5-year JGB Futures |
10-year JGB Futures |
mini 20-year JGB Futures |
100 million yen face value |
10 million yen face value |
|
Tick Size |
0.01 yen per 100-yen face value |
Price Limits |
1. The price limit range shall be the following
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5-year JGB Futures |
10-year JGB Futures |
mini 20-year JGB Futures |
Normal |
\2.00 |
\4.00 |
Expansion |
\3.00 |
\6.00 |
(Note) The price limits will be expanded to the expansion of price limits (Only price limits in one direction, up or down, will be expanded.)
Price Limits/ Circuit Breaker Rule
2. Immediately Executable Price Range (DCB):LTP or BBO mid price ± following prices
|
5-year JGB Futures |
10-year JGB Futures |
mini 20-year JGB Futures |
Opening Auction |
\0.30 |
\0.90 |
Normal |
\0.10 |
Closing Auction |
\0.10 |
\0.15 |
Immediately Executable Price Range Rule
|
Circuit Breaker Rule(SCB) |
In the case where there was a trade, etc. in the central contract month at the upper or lower price limit range, trading in all contract months will be suspended for at least 10 minutes.
Price Limits/ Circuit Breaker Rule
|
Strategy Trades |
The calendar spread trading is available. |
J-NET Trading |
Available (Tick size: ¥0.0001, Minimum trading unit: 1 unit)
J-NET Trading
|
Final Settlement Method |
Delivery of JGBs
|
Delivery of Bonds |
The delivery of issues is at the discretion of the seller of the futures contract.
|
Margin |
Calculated by VaR Method
Margin Calculation Method (VaR Method) for Futures and Options (JSCC)
|
Give-Up |
Available
Give-Up System
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Position-Transfer |
Available
Position Transfer System(JSCC)
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Reporting of Large Positions |
Contract month: The nearest contract month of JGB Futures
Target: Proprietaries and any customers whose amount of net position are no less than following volume
|
5-year JGB Futures |
10-year JGB Futures |
mini 20-year JGB Futures |
Reporting level |
500 contracts |
1,000 contracts |
5,000 contracts |
Measurement date: Every Friday (In the case that it is from the beginning of March, June, September and December to the last trading day of the contract, reporting has to be made every trading day.
Outline of Specifications for Japanese Government Bond Futures
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