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
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
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.