super-long-term japanese june,2013 government bond …...• as of april 2014, 20-year jgb...

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)


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


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




(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

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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

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7 8 9

Trillion yen 10-year JGB

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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


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


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.



0.0

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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)

super-long-term japanese june,2013 government bond …...• as of april 2014, 20-year jgb...

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