Apr. 28, 2015 OSE
Revision to Contract Specifications for 20-year Japanese Government Bond Futures
OSE is pleased to announce revisions to the specifications for 20-year Japanese government bond (JGB) futures contracts aimed at invigorating trading by enhancing convenience for market participants.
The 20-year JGB futures market was re-launched in April 2014 in response to growing demand due to an increase in the outstanding amount of 20-year JGB issued. However, the market has faced the challenge of improving liquidity since the re-launch.
OSE has taken into account current market conditions in revising the contract specifications to raise liquidity in the 20-year JGB futures market. The revision will facilitate hedging among investors in 20-year JGBs by bringing the interest rate for standardized 20-year JGB bonds closer to the prevailing interest rate and changing the deliverable grade to bonds with higher liquidity.
Details of the revision are as follows.
・ The interest rate for standardized 20-year government bonds will be lowered to 3% from 6% per annum.
・ The deliverable grade will be revised to 20-year JGB bonds with longer maturities, to above 19 years 3 months from the current 18 years or more.
・ The increments of bids and offers will be lowered to JPY 0.01 from JPY 0.05 per JPY 100 face value.
These revisions will be applied on July 6, 2015 from the December 2015 contract onward.
The market maker scheme for the contracts will also be fine-tuned to incentivize quote displays at attractive prices and further enhance liquidity.
Revised Contract Specifications for JGB Futures
| |
20-year JGB futures
(revised) |
20-year JGB futures
(current) |
| Contract |
20-year JGB
(3% per annum) |
20-year JGB
(6% per annum) |
| Deliverable Grade |
20-year JGB bonds with remaining maturity of 19 years 3 months or more but less than 21 years (limited to those whose month of issue falls in four or more months prior to the month of the date of settlement by delivery/payment.) |
20-year JGB bonds with remaining maturity of 18 years or more but less than 21 years (limited to those whose month of issue falls three or more months prior to the month of the date of settlement by delivery/ payment.) |
| Contract Unit |
100 million yen face value |
100 million yen face value |
| Tick Size |
JPY 0.01 per JPY 100 face value |
JPY 0.05 per JPY 100 face value |
| Daily Price Limits |
Normal : JPY 4.00
Expansion : JPY 6.00 |
Normal : JPY 6.00
Expansion : JPY 9.00 |
| Contract Months |
The nearest three consecutive contracts in the March, June, September, and December quarterly cycle. |
The nearest three consecutive contracts in the March, June, September, and December quarterly cycle. |
(note)
- ･*This revision to the 20-year JGB futures contract specifications will be implemented on July 6, 2015 from the December 2015 contract onward.
| Revision to Contract Specifications for 20-year Japanese Government Bond Futures |
 |
Public Comments
Contact
Osaka Exchange, Inc.
TEL:+81-6-4706-0800(Operator)
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