A Three-month Euroyen futures contract is an agreement to buy or sell a specific volume of the predetermined rate of Euroyen three-month deposit commencing on a specific future date. Three-month Euroyen futures are effective tools to reduce risk of interest rate fluctuation by fixing the future short term interest rates beforehand.
The price of Euroyen Futures indicates an expected interest rate at the future point defined by a contract month. For example, a price of the September 20xx contract month is indicative of Three-month Euroyen TIBOR (Tokyo InterBank Offered Rate) rate starting from the middle of September 20xx.
TFX suspended the trading in the existing far-distant contract months for “Three-month Euroyen futures (i.e. January 2025 and beyond) and the trading in the entire contract months for “Three-month Euroyen futures option contracts”, as of 20 March 2023.
|Underlying asset||Three-month Euroyen TIBOR (JBA)|
|Trading unit||¥100,000,000 (Notional principal amount)|
|Price quotation||100 minus rate of interest|
|Tick size & value||0.005 (¥1,250)|
|Contract months||20 quarterly months and 2 serial months
Serial months are the months other than March, June, September and December.
For example, as of April 1 , the serial months to be listed are April and May, as of May 1, May and July, as of June 1, July and August.
|Last trading day||Two business days prior to the third Wednesday of the contract month|
|Final settlement date||The first business day following the last trading day|
|Final settlement||Cash settlement
The final settlement price is calculated to the third decimal place.
To calculate, round up the figure on the fourth decimal place if it is five or over and round off if it is less than five.
For example, if TIBOR is 0.12786%, the final settlement price is 99.872(100 minus 0.128).
|Trading hours (JST)||8:30 - 8:45||Pre-open period (Order entry without execution)|
|8:45 - 11:30||Day(morning) session (Cleared as today's trade)|
|11:30 - 12:30||Restricted period (Cancel and volume cutback only)|
|12:30 - 15:30||Day(afternoon) session (Cleared as today's trade)|
|15:30 - 20:00||Evening session (Cleared as the next day's trade)|
|Trading hours for the contract on its last trading day (JST)||8:30 - 8:45||Pre-open period|
|8:45 - 11:00||Day session|