News File

Six-month Euroyen LIBOR Futures

(26 October 2011)

Tokyo Financial Exchange (TFX) will launch a six month Euroyen LIBOR futures contract.

1.Goals of the Product Launch
 (1) Hedging tool for Yen Interest Rate Swap Transactions
  Yen Swaps normally use the 6 month LIBOR benchmark and swap traders are looking for a hedging tool closely aligned with the Yen Interest Rate Swap market. Therefore TFX’s new LIBOR futures will respond to the needs of TFX market participants.

 (2) Improved Convenience for Investors
Yen LIBOR based trading such as yen denominated FRAs (Forward Rate Agreements) and others are often traded in the OTC market. However, this trading features considerable operational burden and counterparty risk.
TFX’s new LIBOR futures will reduce operational burden and have no counterparty risk.

2.Contract Specification

 

6 Month Euroyen LIBOR Futures

3 Month Euroyen Futures

Underlying Asset

6 Month Euroyen LIBOR (BBA)

3 Month Euroyen TIBOR(JBA)

Trading Unit

\100,000,000

Same

Minimum Tick Size

0.0025(0.0025%)

0.005(0.005%)

Contract months

20 quarterly months and 2 nearest serial months

Same

Last Trading Day

2 London business days prior to the 3rd Wednesday

2 business days prior to the 3rd Wednesday

Trading Hours(JST)

8:45~11:30 (Day Session)
12:30~15:30 (Day Session)
15:30~20:00 (Evening Session)

Same

Launch Period (Tentative)
The launch is planned for the first quarter of 2012.

For more information, contact
Tokyo Financial Exchange, Inc.
Institutional Marketing Group

Tel

: (03)4578-2400

E-mail

URL

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