News File
(April 28, 2003)
Tokyo, 28 April 2003 - TIFFE (The Tokyo International Financial Futures Exchange) has officially announced to list \ Swapnote™, which has been jointly developed with Euronext.liffe, ICAP, and AVM, on May 9th. The contracts which will be listed at launch will be the 5-year and the 10-year contracts, covering the mid-to-long-term markets.
Jiro Saito, TIFFE's Chairman and Chief Executive, explains: "¥ Swapnote™ is an exchange-listed product based on yen interest rate swaps, a 1200 trillion yen market currently traded by OTC. US $ and the € Swapnote™ contracts are already actively traded on LIFFE. TIFFE believes the \ Swapnote™ will become one of its leading contracts in the future. With today's implementation of the LIFFE CONNECT™ system, TIFFE plans to list further new products taking advantage of the functionality of the LIFFE CONNECT™ system."
LIFFE's Chairman, Sir Brian Williamson, upon his visit to Tokyo for TIFFE's reception to celebrate the new system implementation said, "I am particularly pleased to welcome TIFFE into the global Swapnote™ franchise. The launch of \ Swapnote™ complements the listing on Euronext.liffe of € Swapnote™ and $ Swapnote™. Two years after their inception, Swapnote™ products are now available in the three major world currencies and in all three of the world's major time zones, using the unrivalled functionality of LIFFE CONNECT™."
Note: Final authorization will be necessary for the listing of \ Swapnote™.
| As a highly reliable middle to long term interest rate indicator |
| Price transparency and efficiency due to exchange-trading |
| Removal of counter party credit risk limitations |
--- \ Swapnote™ contract specifications ---
Product name | 5 year ¥ Swapnote™ | 10 year ¥ Swapnote™ |
---|---|---|
Unit of trading | ¥ 10,000,000 notional principal amount | ¥ 10,000,000 notional principal amount |
Quotation | Per ¥ 100 nominal value | Per ¥ 100 nominal value |
Minimum price movement (Tick value) |
0.01 (1,000 yen) | 0.01 (1,000 yen) |
Standardized contract | Standardized 5 year \ Swapnote™ Commencement date:Third Wednesday of the contract month in principle Fixed Interest Rate:3%(actual/365 days(Fixed) base, semiannual coupon payment) Floating Interest Rate:6 month Euroyen LIBOR Notional Principle Amount:10 million yen Term to maturity:5 years |
Standardized 10 year \ Swapnote™ Commencement date:Third Wednesday of the contract month in principle Fixed Interest Rate:3%(actual/365 days(Fixed) base, semiannual coupon payment) Floating Interest Rate:6 month Euroyen LIBOR Notional Principle Amount:10 million yen Term to maturity:10 years |
Contract month | March, June, September and December such that the nearest two delivery months are always available for trading (maximum 6 months) | March, June, September and December such that the nearest two delivery months are always available for trading (maximum 6 months) |
Last trading day | Two business days prior to the Commencement Date | Two business days prior to the Commencement Date |
EDSP | The sum of the discounted notional cash flows (fixed interest rate (3%) per 100 yen (given semiannually) and the notional principal amount per 100 yen), each of which has been given a present value using zero coupon discount factors. | The sum of the discounted notional cash flows (fixed interest rate (3%) per 100 yen (given semiannually) and the notional principal amount per 100 yen), each of which has been given a present value using zero coupon discount factors. |
Settlement | Cash Settlement | Cash Settlement |