August 15, 2022
Tokyo Financial Exchange Inc.

Actions in response to Japanese Interest Rate Benchmark ReformTokyo Financial Exchange Inc. (TFX) will implement the following measures in response to Japanese Interest Rate Benchmark Reform:
1) listing of “Three-month TONA futures” and “Three-month TONA futures option contracts” in the 4th quarter of FY 2022 (January 2023 to March 2023); and2) suspension of the trading in the existing far-distant contract months for “Three-month Euroyen futures (i.e. January 2025 and beyond) and suspension of the
trading in the entire contract months for “Three-month Euroyen futures option contracts”, due to the possible cessation of Euroyen TIBOR publication scheduled at
the end of December 2024.
Please refer to the outlines in the Attachment 1 and Attachment 2.

* The content in this document is our current and tentative proposal and would be subject to change as a result of this public consultation in action, communications withprospective trading members and investors to prepare for the listing, and application for approval to the competent authority.

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(Reference Translation)

Attachment1

Outline for Three-month TONA futures and Three-month TONA futures option contracts (proposal)
August 15, 2022
Tokyo Financial Exchange Inc.
Item

Description

Remarks(1) Three-month TONA A “Three-month TONA futures” is a market derivatives transaction, which quotes the financial

 A “market derivatives transaction” defined infutures

index indicated as 100 minus the figure of an interest rate per annum as compounded daily

Article 2(21) (ii) of Financial Instruments andUncollateralized Overnight Call Rate (TONA) interest during the “Reference Quarter”; TONA

Exchange Act (Act No.25, 1948, hereinafter

shall be published by the Bank of Japan (BOJ) .

called the “ACT”).

Ⅰ．Trading
1． Definitions

 “Reference Quarter” shall be, for a given contract month, the interval that ends on (but excluding)the third Wednesday of the calendar month in which the last trading day falls (“delivery month”)(example)and begins on (and including) the third Wednesday of the calendar month preceding the delivery

Reference Quarter for the contract month Junemonth by three months; provided however, that if the third Wednesday of the delivery month is a2023 shall be:

Japanese bank holiday, the interval ends on (but excluding) the immediate following Japanese

From (and including) June 21 2023 (Wed) tobank business day and if the third Wednesday of the third calendar month preceding the delivery(but excluding) September 20 (Wed)month is a Japanese bank holiday, it begins on (and including) immediately following Japanesebank business day.
 “TONA” shall be the interest rate of Uncollateralized Overnight Call Rate for a business day
expressed as “average” in percentage and published by BOJ on the following business day as the
final result.
 In calculating compounded interest, for any holiday belonging to the Reference Quarter, the Please refer to Appendix Ⅰ for details.

TONA for the immediately preceding business day shall be applied to each holiday as simple
interest rate (not compounded one).
 “the figure of an interest rate per annum” is a percentage value of the compounded daily interest
divided by the number of calendar days included in the Reference Quarter and multiplying by 365(round off to the third decimal place).
* Disclaimer: This is an English translation of “Outline for Three-month TONA futures and Three-month TONA futures option contracts”, the original of which has been prepared in the Japanese
language only. The Japanese language text hereof shall govern for all purposes and in all respects. Accordingly, all questions that may arise within or without courts of law in regard to themeaning of the words, provisions and stipulations of this Outline shall be decided in accordance with the Japanese language text. TFX assume no responsibility for accuracy, correctness, orcontents of this English text. This Outline may not be reproduced nor used for any unauthorized purposes, either in whole or in part, without the consent of TFX.

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Item

Description

Remarks“Three-month “Three-month TONA futures option contract” means a market derivatives transaction wherein one

A

TONA futures option

party agrees to grant the other party an option on Three-month TONA futures and the other party

prescribed under Article 2(21) (ⅲ)(b) of thecontract”

agrees to pay the value of the option therefor.

Act.

(2)

“marketderivatives

transaction”as Three-month TONA futures option contract traded on the Exchange Market consists of (1) an
option on Three-month TONA futures to enable their grantee thereof to execute one trading unit

 An “underlying futures contract” means aof a sale contract for the underlying futures contract with its traded figure equal to the exercise

Three-month TONA futures contract with aprice (hereinafter called a “put option on Three-month TONA futures”), and (2) an option on

specified contract month to be executed as a

Three-month TONA futures to enable their grantee thereof to execute one trading unit of a

result of an option exercise.

purchase contract for the underlying futures contract with its traded figure equal to the exercise
price (hereinafter called a “call option on Three-month TONA futures”).
2． Contract month(1) Listed

Contract (i) Three-month TONA futures

Months・20 contract months(ⅱ) Three-month TONA futures option contract
・5 contract months(2) Period(i) Three-month TONA futures
・The period of 5 years shall be applied to the contract months.
(ⅱ) Three-month TONA futures option contract
・The period of 15 months shall be applied to the contract months.

(3) First Trading Day

・The first trading day for each contract month is the trading day immediately following the last

 A “trading day” shall be a period commencing

trading day for the then first expiring contract month, and such new contract month shall becomeon the opening of the evening session thatavailable for trading from the opening of its first trading day’s day session.

starts after the day session on the business day
immediately preceding a specific business day
and ending on the close of the day session thatstarts on such specific business day.

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Item

Description(4) Last Trading Day

Remarks(ⅰ) Three-month TONA futures
・ The last trading day shall be the trading day, the day session of which occurs on the third
Wednesday day (if such day falls on a Japanese bank holiday, the day immediately following suchday which is a Japanese banking day) of March, June, September or December.

(example)
Last Trading Day for the contract month
June 2023 shall be September 20 (Wed), traded
until 9:30.

(ⅱ) Three-month TONA futures option contract
・The last trading day shall correspond to that of its respective underlying futures contract.

 Please refer to the attached examples inReferential Document.

(5) Settlement Day

・The final settlement day is the business day immediately following the business day on which
there occurs the day session of the last trading day.

3． Setting

ExercisePrice(1) Setting
exercise prices

new ・On the business day on which the day session of the first trading day for each contract month falls,

 The Official Closing Price is a price that TFXTFX shall calculate the figure equal to an integral multiple of 0.125, the nearest to the Official

shall calculate and inform after the close of the

Closing Price for the respective contract month of the underlying futures contract calculated onevening session of each business day.

the previous business day (“option criterion price”) and set the next 6 upper figures above theprice and the next 6 lower figures below the price at intervals of 0.125 respectively, resulting in
total 13 figures set as the exercise price.
(2) Setting additional ・ TFX shall calculate each business day’s option criterion price for each contract month, in
exercise prices

accordance with the conditions described (1) above, resulting in total 13 figures. If these 13 figures
include any figure that has not yet been listed, such figure shall be additionally listed as the In principle, exercise price shall not beabolished.
 TFX may additionally list new exercise prices
when the Exchange deems necessary to do so.

exercise price.

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Item
4． Matching Algorithm

Description

Remarks

・The matching of the trades is based on the auction method.

 The auction method means the trade shall be
executed on an individual auction basis.

5． Trading Hours

・The same Pre-open period, Day session and Evening session as for Three-month Euroyen futures
and Three-month Euroyen futures option contracts shall be adopted, save that the last trading day’s
Day session with respect to each contract month for Three-month TONA futures and Three-month
TONA futures option contracts shall be “from 8:45 to 9:30”.

6． Trading Unit, etc.、(1) Trading Unit(ⅰ) Three-month TONA futures
・1 Basis point value (price fluctuation of 0.01) = 2,500 yen(ⅱ) Three-month TONA futures option contract
・One Trading Unit for Three-month TONA futures.

(2) Bid/Offer During the Pre-open period, a Market order・Order types are Limit Order and Market Order.
・Bid/Offer is quoted to the third decimal place (indicated by an integral multiple of 1/1000).
・Minimum price fluctuation of bids and offers is 0.001 (0.1 tick = 250 yen).

shall always be submitted with “On-Open”
modifier.
 TFX may reject any bid or offer when TFX
finds such reject necessary to ensure a fairmarket and the trading system’s stable
operation.
 Maximum

order volume Trading Member

can submit in a single order is 99,999 lots.

7． Trading Member

・An Entity that intends to trade Three-month TONA futures and Three-month TONA futures option

 “Euroyen Futures Trading Membership” andcontracts shall obtain the “Japanese Yen Interest Rate Trading Membership” or “Japanese Yen“Euroyen

Futures

RemoteTrading

Interest Rate Remote Trading Membership” as the case may be.

Membership” will be renamed as “Japanese
Yen Interest Rate Trading Membership” and“Japanese Yen Interest Rate Remote Trading
Membership”.

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Item

Description

Remarks

Ⅱ．Clearing
1． Margin and Mark- ・The same rules as for Three-month Euroyen futures and Three-month Euroyen futures option  In calculating the theoretical prices, theapplicable interest rate“r”shall be changed
to-Market
contracts shall be adopted, save that daily settlement prices for option contracts shall betheoretical prices calculated by the formula in Appendix Ⅱ.

from Euroyen TIBOR 3-month to Japanese Yen
TIBOR 3-month.

2． Payments

and・The same rules as for Three-month Euroyen futures option contracts shall be adopted.

receipts of option
premiums
3． Open Interest and ・The same rules as for Three-month Euroyen futures and Three-month Euroyen futures option
Settlement

contracts

shall be adopted, save that the final settlement price for Three-month TONA futures

shall be the figure calculated by “Financial Index Calculation Methodologies for Three-month
TONA futures” in Appendix Ⅱ.

4． Exercise

・The same rules as for Three-month Euroyen futures option contracts shall be adopted.

5． Clearing Member

・An entity that intends to act as a counterparty in the financial futures obligation assumption

 Exercise style: American Typebusiness for Three-month TONA futures and Three-month TONA futures option contracts shallobtain Interest Rate Futures Clearing Membership.
Ⅲ．Fees
1． Per-contract
Exchange fee Consumption tax, etc. is charged in addition.

(ⅰ) Three-month TONA futures
・Per-contract Exchange Fee is 100 yen in principle.
(ⅱ) Three-month TONA futures option contracts
・Per-contract Exchange Fee is 50 yen in principle.

2． Brokerage
Commission

・The amount and method of payment of brokerage commission charged to a customer by a Trading
Member shall be negotiated and agreed beforehand between such customer and such Member.

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Item

Description

Remarks

Ⅳ．Others
1． Strategy Trades

・Calendar Spread is allowed for Three-month TONA futures as strategy trade.

 Strategy trade is a trade whereby the multiple
sale contract(s) and/or purchase contract(s) are
all simultaneously executed, each type of
combination of the multiple contracts being
separately specified by TFX.
 Packs and Bundles will not be available at thetime of listing.

2． Block Trades

・Block trades are available for Three-month TONA futures and Three-month TONA futures options

 Block trades are, with prior application to TFX,
having buy and sell orders of the same contract

contracts.
・Trading Members who intend to execute a block trade shall make an application to TFX during
trading hours excluding the last 15 minutes of each session (i.e. prior to the close of the day sessionmonth

simultaneously

executedoutsidecompetitive auction.

and the close of the evening session) and the period between 11:30-12:30.
・Minimum volume for an application of a block trade is 100 contracts.
3． Give-up Trades

・Give-up trades are available for Three-month TONA futures and Three-month TONA futures
option contracts.

・ Give-up means that Executing Member (Trading
Member who has executed a trade of Threemonth TONA futures or Three-month TONA
futures options contracts) have another Trading
Member clear such trade.
・ Take-up means that Trading Member undertake
clearing of Three-month TONA futures andThree-month TONA futures options contracts.

4． Market
Program

Maker ・Three-month TONA futures and Three-month TONA futures option contracts will be included as
the designated products under the Market-Making program.

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（Appendix Ⅰ）

Financial Index Calculation Methodologies for Three-month TONA futures
Financial Index=

100 – RR = [ ∏ｎ{1 +（ri/100）x（di/365）}– 1 ] x (365/D) x 100
ⅰ=1n:

The number of business days in the Reference QuarterI:

As for each business day in Reference Quarter (“reference business day”), a series of whole numbers, each representing “i”th reference business day in chronological orderfrom the first reference business day in the Reference Quarter”.

Π :Capital pi (Π) indicates the terms to be compounded.
(example)

ri :

ｎ

∏

i=１

αi = α1×α2×α3×…αn

The value of Uncollateralized Overnight Call Rate (TONA) for “i”th reference business day, which is expressed as “average” in percentage and published by the Bank ofJapan (BOJ) on the following business day as the final result(example)If the value of TONA for an applicable reference business day is 0.019%, then ri ＝ 0.019

di : The number of calendar days during Reference Quarter to which ri applies.
Any calendar day that is not a business day (i.e., weekend days, holidays) shall be included in “di ”and for such days, ri for the reference business day immediately preceding
the calendar day shall apply.
(examples)

If “i”th reference business day is a Monday, a Tuesday, a Wednesday, or a Thursday, and the following calendar day is a business day, then di = 1.
(i.e. ri applies for 1 calendar day)If “i”th reference business day is a Friday and the following Monday is a business day, then di = 3.
(i.e. ri applies for 3 calendar days.)ｎ

D : The number of calendar days in Reference Quarter Σⅰ=1 di
The value of R is rounded to 3rd decimal place.

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（Appendix Ⅱ）

Theoretical Option Price Formula
The theoretical call option price (hereinafter shown as “C”) and the theoretical put option price (hereinafter shown as “P”) shall be calculated by reference to thefollowing formulae:

C = e－rt[FN（d）－KN（d－σ√t）]

P = C－e－rt (F－K)

As used in the above formula, “d” shall be calculated by reference to the following formula:d = [ln（F／K）＋σ2 t／2]／σ√t

Where:
F:

daily settlement price of the underlying futures contracte:Napier's numbert:number of days elapsed up until the option exercise date/ 365

K:strike priceΣ:

implied volatility calculated for each series of options in the manner prescribed by the Exchange / 100r : Three-month Japanese Yen TIBOR as published by General Incorporated Association JBA TIBOR Administration (JBATA) on the relevant date divided by 100 and rounded
to the nearest 2nd decimal point
N(x) :ln :cumulative density function of the standard normal distribution where the value is x

Napierian logarithm9（Referential Document）

Examples of the Last Trading Days for option contracts and underlying futures contracts

Product
Three-month TONA futures
option contracts【For Reference】
Three-month Euroyen futures
option contracts

Option Contracts
Contract Month
June 2023

June 2023

Underlying Futures Contracts
Last Trading Day
Underlying Futures Contract
Contract Month Last Trading Day
September 20, 2023 (Wed)Three-month TONA futures
June 2023
September 20, 2023 (Wed), available for trading until 9:30
, available for trading until
a.m.
9:30 a.m.
June 19, 2023 (Mon)
June 19, 2023 (Mon), available for trading until
Three-month Euroyen futures
June 2023, available for trading until
11:00 a.m.
11:00 a.m.

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Attachment 2

Suspension of trading in the far-distant contract months of Three-month Euroyen futures andsuspension of whole trading of Three-month Euroyen futures option contracts (Proposal)

August 15, 2022
Tokyo Financial Exchange Inc.
項目

1． Products

内

容

備

and (ⅰ) Three-months Euroyen futures

Contract Months tobe suspended

・ Publication of Three-month Euroyen TIBOR,・ A Contract month whose last trading day arrives in and after January 2025 (hereinafter referred toDate
3． Limitation of Trading

by

JBA TIBOR Administration(JBATA) is assumed to cease at the end of
December 2024.

・ All contract months
Suspension

the underlying asset of Three-month Euroyen
futures,as "far-distant contract months").
(ⅱ) Three-month Euroyen futures option contracts

2． Trading

考・ The trading suspension date will be the date in the first quarter of 2022 (January to March 2023)
and shall be separately designated by the Exchange.
・ Trading in the far-distant contract months of Three-months Euroyen futures and whole trading of  Trading Members cannot trade contract months
that are suspended on and after the trading
all contract months of Three-month Euroyen futures option contracts will be suspended at 8:00 pm
on the immediately preceding business day before the trading suspension date.

suspension date.
 A Trading Member who has positions for thesuspended contract months shall liquidate thepositions by 8 pm on the immediately
preceding business day before the tradingsuspension date.
(example)
If March 20 2023 (Mon) is the tradingsuspension date,positions for the suspended

contract months shall be liquidated by 8 pm on
March 17 2023 (Fri).
 Existing positions after the trading suspension
date shall be liquidated at the price designatedby the Exchange.

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