Six-Month Euroyen LIBOR Futures

Six-month Euroyen LIBOR futures contract is an agreement to sell or buy a specific volume of the predetermined rate of six-month Euroyen ICE LIBOR commencing on a specific date in the future. In fixing the future interest rate for yen fund transactions, Six-month Euroyen LIBOR futures provide an effective tool for hedging fluctuations in short term yen interest rates.

∗ Trading of Six-month Euroyen LIBOR futures has been suspended since the night session of June 30,2014.

Underlying asset Six-month Euroyen ICE LIBOR
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
Note :
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 Aplil and May, as of May 1, May and July, as of June 1, July and August.
Last trading day Two London Business days prior to the third Wednesday of the contract month
Final settlement date The second business day following the last trading day
Final settlement Cash settlement

Note :
The final settlement price is 100 minus 6 month Euroyen LIBOR announced by ICE Benchmark Administration Limited on two London Business days prior to the third Wednesday of the contract month rounded to the 4th decimal place.
For example, if LIBOR is 0.12786%, the final settlement price is 99.8721(100 minus 0.1279)
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 - 11:30 Day(morning) session
11:30 - 12:30 Restricted period
12:30 - 15:30 Day(afternoon) session
15:30 - 20:00 Evening session ∗
∗ During the time when Daylight Saving time is applied in London, evening session closes at 19:00.

market information

  1. TFX Historical Database
  2. Exchange Holidays


  1. Six-Month Euroyen LIBOR futures(brochure)
  2. Accessing TFX Interest rate system 2014

For details, see "Outline for Six-month Euroyen LIBOR Futures"
For order types and modifiers available for this product, see "Order Types".