Copyright © Japan Exchange Group, Inc. 2013 All rights reserved.
Brief Overview• As of April 2014, 20-year JGB ("Super Long JGB" or "SL-JGB") Futures will resume trading.• Underlying asset of SL-JGB Futures is the 20 year-Japanese Government Bond, and SL-JGB Futures will be
an indicator of super long-term interest rates of the Japanese financial market.• Trading of SL-JGB will increase the liquidity of bond market and promote better pricing in the market.
Contract Specifications
Super-Long-Term JapaneseGovernment Bond Futures
20-year JGB (SL-JGB) Futures (Reference)10-year JGB (JGB) FuturesUnderlyings Standardized 6%, 20-year JGB Standardized 6%, 10-year JGB
Trading Hours 8:45-11:02, 12:30-15:02, (T+1) 15:30-3:00 (Tokyo, GMT+9)Contract Months 3 contract months (Mar., Jun., Sep. and Dec. contract cycle)
Last Trading Day 7th business day prior to the 20th(Final Settlement day) of contract month
Contract Value ¥100 million (FV)Tick Size ¥0.05 per FV ¥100 ¥0.01 per FV ¥100
Dynamic Circuit Breaker (DCB)
¥0.3 (Period of trading halt is 30 seconds)(not applicable to spread trading.)
¥0.1 (Period of trading halt is 30 seconds)(not applicable to spread trading.)
Price Limit +/- ¥9.00 (Maximum price limit) +/- ¥3.00 (Maximum price limit)
Strategy Trading Available. Implied function does NOT work.Tick Size ¥0.01 per FV ¥100
Final Settlement Physical Delivery
Deliverable grade Interest-bearing 20-year JGBs with 18 years or more but less than 21 years
Interest-bearing 10-year JGBs with 7 years or more but less than 11 years
Off Auction(J-N
et)Trading Hours 8:20-15:15, (T+1) 15:25-3:00 (Tokyo, GMT+9)
Tick Size ¥0.01 per FV ¥100
Price Range 99.5% - 100.5% of the reference price of the dynamic price limit in JGB futures market price
Min. Unit 1 contractGive Up Available.
Position Limit NOT Applicable.
Position Reporting criteria500 contracts 1,000 contracts
http://www.tse.or.jp/english/rules/derivatives/jgbf/positions.html
Exchange fees Not yet determined ¥95 per contract (+clearing fee ¥49 per contract is charged.)
June, 2013
140.00
142.00
144.00
146.00
148.00
150.00
170.00
178.00
186.00
194.00
202.00
210.00Comparison of Long- and Super-Long-Term Theoretical Price
SLJGBF 2012.6 SLJGBF 2012.9 SLJGBF 2012.12 SLJGBF 2013.3 SLJGBF 2013.6
LJGBF 2012.6 LJGBF 2012.9 LJGBF 2012.12 LJGBF 2013.3 LJGBF 2013.6
SLJG
BF (y
en) JGBF (yen)
Copyright © Japan Exchange Group, Inc. 2013 All rights reserved.
Primary Market1. Trend of Issuance amount and Coupon Rate for Fixed Rate Government Bonds (10- and 20-year)
• First issuance of 20-year JGBs (No. 1) (Sep. 1983)• First auction held for 20-year JGBs( No. 4) (Sep. 1987)• Since Oct. 2003, 20-year JGBs are issued monthly.
2. Issuance amount of each series
• Issuance amount of each series of deliverable grade since Sep. 2013 contracts (as at the end of Jun. 2013)
Secondary Market 1. Trend of Trading Volume
• This fiscal year, over-the-counter trading of super-long-term JGBs is around ¥50-60 trillion per month, which is almost half the over-the-counter trading volume of long-term JGBs.
year Issuance amount of 10-year JGBs
2011 2.2 trillion×12 times
2012 2.3trillion×10 times, 2.4 trillion×2 times
2013 2.4 trillion×12 times
JGB Issuance Plan http://www.mof.go.jp/english/jgbs/debt_management/plan/index.htmAuction Calendar http://www.mof.go.jp/english/jgbs/auction/calendar/index.htm
year Issuance amount of 20-year JGBs
2011 1.1 trillion×12 times
2012 1.2 trillion×12 times
2013 1.2 trillion×12 times
(Source) Bank of Japan
0.01.02.03.04.05.06.07.08.09.0
-
0.5
1.0
1.5
2.0
2.5
3.0
3.5
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
%trillion yen
10-year Issuance (left-axis) 20-year Issuance (left-axis)10-year Coupon (right-axis) 20-year Coupon (right-axis)
(Source) Ministry of Finance
0
2
4
6
8
310
311
312
313
314
315
316
317
318
319
320
321
322
323
324
325
326
327
328
7 8 9
Trillion yen 10-year JGB
0
1
2
3
4
105
107
109
111
113
115
117
119
121
123
125
127
129
131
133
135
137
139
141
143
15 16 17 18 19
Trillion yen 20-year JGB
Series No. Series No.
RemainingPeriod
RemainingPeriod
(Source) Bank of Japan
-
50
100
150
200
250trillion yen
OTC trading volume (long)
OTC trading volume (super-long)
(*) Including repurchase agreement trading
Copyright © Japan Exchange Group, Inc. 2013 All rights reserved.
2. Trend of Interest Rates
• Since last summer, there has been a change in long-term interest rate and super long-term interest rate.
3. Historical Volatility
• Historical volatility of 10 year JGB is 3.0% on average whereas for 20 year JGB it is 6.6% on average.
4. Trading Volume by Investor Category
• Banks occupy nearly 20% share in the long-term JGB market, and their share in the super-long-term JGB market is about 10%.
• Insurance companies account for about 6% of the super-long-term JGB market.
0.3
0.5
0.7
0.9
1.1
1.3
1.5
1.1
1.3
1.5
1.7
1.9
2.1
2.3
Apr-11 Jun-11 Aug-11 Oct-11 Dec-11 Feb-12 Apr-12 Jun-12 Aug-12 Oct-12 Dec-12 Feb-13 Apr-13
%% Long & Super-long term Interest Rate
20 year interest rate (left-axis)
10 year interest tate (left-axis)
(Source) Ministry of Finance
0
5
10
15
20
25
Apr-11 Jun-11 Aug-11 Oct-11 Dec-11 Feb-12 Apr-12 Jun-12 Aug-12 Oct-12 Dec-12 Feb-13 Apr-13
% Historical Volatility
10-year HV20-year HV
(Source) Prepared by Tokyo Stock Exchange, Inc.
(Source) Japan Securities Dealers Association
3%1%
6% 2%
6%
6%
64%
12%City Banks & Long-Term Credit Banks
Regional Banks and 2nd Regional
Trust Banks
Fin.Insts. for Agr. & Forestry
Life & Non-Life Insurance Companies
Foreigners
Bond Dealers (Securities Company etc.)
Others
SuperLong-Term
Super Long & Long-Term JGB Traded Volume by Type of Investors (2012)
8%5%
7% 1%1%
7%
62%
9%
Long-Term
Copyright © Japan Exchange Group, Inc. 2013 All rights reserved.
Disclaimer: The description in this publication are intended solely for the purpose of providing information on futures and options. Losses maybe incurred due to fluctuation of prices, etc. of futures/options, and the entire deposited margin or a portion of such may be lost. Losses mayalso exceed deposited margin. When trading futures and options, investors must carefully review the documents provided by their financialservices provider before contract signing, and must trade on their own responsibility based on their own judgment only after fullyunderstanding the product qualities, the trading mechanism, relevant fees, the risk involved, etc. While very effort is taken to ensure theaccuracy of the information contained in this publication, neither Japan Exchange Group, Inc. (JPX), Tokyo Stock Exchange, Inc. (TSE), nor OsakaSecurities Exchange Co., Ltd. guarantee, and assume responsibility for any damages caused by any errors or omissions. JPX, TSE and OSE reservethe right to change the contents of this publications without prior notice.
For more information, please contact
Tokyo Stock Exchange, Inc. (Business Development, Derivatives)
Tokyo E-Mail : [email protected]
Tel : 050-3377-7629 Fax : 03-3661-9113
(Reference) Overview of JGB Futures and Options Market1. Trading Volume and Open Interest of JGB Futures
2. Trading Volume and Open Interest of Options on JGB Futures
3. Trading Volume by Investor Category
0
20
40
60
80
100
120
0
5
10
15
20
25
30
35
Apr-12 May-12 Jul-12 Sep-12 Nov-12 Jan-13 Mar-13 May-13
thou. volumethou. volume
trading volume (left-axis) open interest (right-axis)
42%
17%
40%
1%
JGB Futures Trading Volume (2012)
Securities Firms
Banks
Foreign Investors
Others
17%
28%55%
Options on JGB Futures Trading Volume (2012)
(Source) Tokyo Stock Exchange, Inc.
(Source) Tokyo Stock Exchange, Inc.
(Source) Tokyo Stock Exchange, Inc.
0.0
0.2
0.4
0.6
0.8
1.0
1.2
0
50
100
150
200
Apr-12 May-12 Jul-12 Sep-12 Nov-12 Jan-13 Mar-13 May-13
%thou. volume
trading volume (left-axis) open interest (left-axis)
10-year interest rate (right-axis)