JGB Futures

Delivery of JGBs

Positions which have not been closed out by the end of the last trading day must be settled by delivery on 20th (or the next business day if that is a holiday) of each delivery month.

Delivery

Delivery of actual JGBs is made for the net taxable and non-taxable final long/short positions of the same contract month held by each Trading Participant. Final long/short positions matched within a Trading Participant are settled by internal delivery.

Deliverable bonds are as follows:

5-year JGB Futures

Publicly offered interest-bearing JGBs with 4 years or more but less than 5years 3 months remaining to maturity as of the issued date and the delivery date.
(The deliverable grade has to be issued at least 3 months prior to the delivery month.)

10-year JGB Futures

Publicly offered interest-bearing JGBs with 7 years or more but less than 11 years remaining to maturity as of the issued date and the delivery date.
(The deliverable grade has to be issued at least 3 months prior to the delivery month.)

20-year JGB Futures

Publicly offered interest-bearing JGBs with 19 years 3 months or more but less than 21 years remaining to maturity as of the issued date and the delivery date.
(The deliverable grade has to be issued at least 4 months prior to the delivery month.)

Sellers' Delivery Options

Sellers of futures contracts are granted options regarding deliverable JGB issues, provided that:

if the final open position for which delivery is made is taxable, the delivery unit may be composed of physical certificates, registered or book-entry bonds; or,

if non-taxable then the delivery unit may be composed of either registered or book-entry bonds only.

Additionally, each component of a delivery unit, as classified by issue and type of bond, must be in multiples of 100 million yen.

Payment

By using the DVP settlement system, payment is made simultaneously with delivery of the bonds, by transferring funds between relevant current accounts held at the Bank of Japan.

Delivery Price and Conversion Factors

The amount to be paid or received at delivery is determined on the basis of the final settlement price on the last trading day of that contract.

While JGB Futures are based on the 6% coupon, any eligible JGBs may be delivered. As each eligible bond has a different coupon, maturity and consequently value, the value must be adjusted for delivery using conversion factors to reflect the contract standard at the established settlement price. Conversion factors are calculated, according to a formula set out in OSE's rules, on the basis of a semi-annually compounded interest rate. As a service, the OSE provides conversion factor tables in advance, and the conversion factor for each deliverable bond is announced along with a list of deliverable bonds for each contract month.