Outline for Three-month Euroyen Futures
February 26 2018
Revised January 4 2024
Tokyo Financial Exchange Inc.
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DescriptionRemarks

I ．Trading
１．Definition

・Three-month Euroyen Futures is a market derivatives contract, which quotes index indicated by
100 minus the figure of interest rate per annum of 90-day Yen deposits calculated on a 360-day
year basis that is announced by JBA TIBOR Administration(JBATA).

２．Contract month(1)Listed

Contract

Month(2) Period

・22 contract months, each final settlement date being the business day immediately following the ・As for Last Trading Day, refer to I .2.(4).
business day on which there occurs the day session of the last trading day.
・The period of 5 years shall be applied to the contract months for which their respective final

・Nearest two serial months contracts will besettlement dates fall in any of March, June, September and December (quarterly month), and thelisted.

period of 3 months shall be applied to the contract months other than the “quarterly months”(serial month).

(3) First Trading Day

・The first trading day of each contract month is the first business day following the last trading day ・A trading day shall be a period commencing onof contract month which is first to reach its settlement day. The trading will begin from the day

the opening of the evening session that starts

session of the first business day.

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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Remarks(4) Last Trading Day

・ The last trading day shall be (1) the trading day, the day session of which occurs on the second
business day (not counting Japanese bank holidays) immediately preceding the third Wednesdayof March, June, September or December in the case of the quarterly month, and (2) the trading
day, the day session of which occurs on the second business day (not counting Japanese bankholidays) immediately preceding the third Wednesday of January, February, April, May, July,August, October or November in the case of the serial months.

３．Matching Algorithm

・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.

４．Trading Hours

・Day session：8:45-15:30 (no trade-matching between 11:30-12:30 on each trading day and・There is a pre-open session(session only for

11:00-15:30 on the last trading day of a contract month which reaches the lastquote acceptance; no matching), which is 15

trading day.)minutes prior to market open of the day

・Evening session：15:30-20:00 (no trade-matching on the last trading day of the contract monthsession.
・TFX may change trading hours on a temporary

which reaches the last trading day.)basis when it finds necessary.
５．Trading Unit, etc(1) Trading Unit

・100,000,000 yen(2) Bid/Offer

・Order types are Limit Order and Market Order.

・During the Pre-open period, a Market order

・Bid/Offer is quoted to the third decimal place (indicated by an integral multiple of 5/1000).

shall always be submitted with “On-Open”

・Minimummodifier.

fluctuation is 0.005 (0.005 = 1,250 yen).

・TFX may reject to receive any bid or offer
when TFX finds necessary for maintaining afair market, a stability of trading system, orother situations TFX finds appropriate.
・Maximum order volume Trading Member
can submit in a single order is 99,999 lots.

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Ⅱ．Margin

Description

Remarks

・The amount of margin requirement for customer trades and member’s proprietary trade arecalculatedusing SPAN®.

・The margin for Euroyen Futures using SPAN® may be reduced by netting of risk arising

・SPAN® used herein is a registeredtrademark of Chicago Mercantile ExchangeInc. and used herein under license. Chicago

from other Interest Rate contracts on TFX.

Mercantile Exchange Inc. assumes no liability inconnection with the use of SPAN® by any
person or entity.

Ⅲ．Mark-to-Market
１．Mark-to-Market

・The cash amount of the mark-to-market is calculated based on the daily settlement price on each・The mark-to-market amount is the amounttrading day, and such amount is exchanged between TFX and Clearing Members on the next

calculated comparing the daily settlement pricetrading day.

and the matched price for trades made on that・Mark-to-market between Non-Clearing Members and Clearing Members are to follow the method

day, and the amount calculated comparing thedaily settlement price of the day and theused between Clearing Members and TFX.

previous day’s daily settlement price for openinterest.
２．Daily Settlement Price ・The daily settlement price is the volume-weighted average of the contract prices and traded

・The “Indicative Period” shall be a specificvolumes (excluding the contracts executed by strategy trades) executed by auction method

period determined by the Exchange from time

during a specific time period.

to time as necessary, which shall fall within theperiod from the opening of the relevant trading
day’s evening session to the close of the same
trading day’s day session.
・In case there is no contract price for a contract
month during the Indicative Period, or, in casethe Exchange deems the Daily SettlementPricecalculated

asaforesaid

tobeinappropriate, the Exchange shall determine
another figure deemed appropriate by theExchange as the Daily Settlement Price.

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Description

Remarks

３ ． CashSettlement ・For settlement relating mark-to-market between Clearing Members and TFX, Clearing Members

Variation

to pay due to cash settlement variation must pay the amount to TFX by 11AM of the next
business day; receive of cash settlement variation receive the amount from TFX after 2PM of thenext business day.
・Cash settlement variation for mark-to-market between Non-Clearing Members and Clearing
Members are to perform the equal process according to the mark-to-market between Clearing
Members and TFX.

Ⅳ ． Open Interest andSettlement
１．Open Interest

・Unsettled positions by the execution of orders are recognized as open interest.

２．Offset Trades

・When a Trading Member makes a purchase contract (hereinafter called “Repurchase” ) in order toclose out a short position or makes a sale contract (hereinafter called “Resale” ) in order to close

・There are 2 ways to notify offset trades:(1) Individual notification (make separateout a long position , that Member is to notify TFX of the classification of Resale or Repurchaseand its volume by 5PM of the business day (by 4PM as to the last trading day of a contractmonth). TFX will reduce the notified quantity from the Member’s open interest (in the case of a
Non-Clearing Member, the open interest of its designated Clearing Member) for settlement.
３．Final Settlement

notifications for each trade)
(2)

Bulk

notification(makecollective

notifications by contract month andproprietary/customer account)・For each contract month, open interest not offset by the last trading day will be processed by final
settlement using a determined cash settlement value (“final settlement price” hereinafter) forsettlement.

(1)

FinalSettlement

Price・The final settlement price is 100 minus the figure of interest rate per annum of 90-day Yen ・The final settlement price is announced at 2pm
deposits calculated on a 360-day year basis that is announced by JBATA on the last trading dayrdrounded to the 3 decimal place.
(2) Cash Settlement of ・For trades matched on the last trading day, when there is a difference between the final settlement
Final Settlement

price and the matched price of the trade; and for open interest, when there is a difference
between the final settlement price and the previous day’s settlement price, the Clearing Member
is to pay to (or receive from) TFX the amount difference on the last settlement day.
・The method of final settlement between Non-Clearing Members and Clearing Members are tofollow the method used between Clearing Members and TFX.

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Remarks

４ ． Settlement between ・The cash amount to be settled between Trading Members and their customers are as follows:
Trading Member and(1) Settlement by Offset

CustomerThe cash amount calculated from the difference between the matched price of sales contracts
or the matched price of purchase contracts.
(2) Final Settlement Price
The cash amount calculated from the difference between the final settlement price and thematched price of long or short position.
・When a customer’s settlement results in overall loss, the cash amount of such loss is to be paid by
the Customer to the Trading Member within the timeframe specified below.
(1) Settlement by Offset
Date and time specified by the Trading Member which falls before the second business day
which the day session the offset trade was executed belongs.
(2) Final Settlement
Date and time specified by the Trading Member which falls before the business day
subsequent to the Final Settlement Day of each contract month.

Ⅴ.

Per-contract

・Per-contract Exchange Fee is 100yen in principle.

・Consumption tax, etc. is charged in addition.

Exchange fee
Ⅵ．Brokerage
Commission

・The amount and method of payment of brokerage commission from a customer to a Trading
Member due to trade brokerage shall be executed according to what has been decided
beforehand between the corresponding Member and the corresponding customer.

Ⅶ．Others
１．Strategy Trades

・Pack, Bundle, and Calendar Spread are allowed for Three-month Euroyen Futures as strategy ・ Strategy trade is a trade whereby the multipletrade.

sale contracts and/or purchase contract are all
simultaneouslyexecuted,

eachtypeofcombination of the multiple contracts being
separately specified by TFX.
・ Pack: A transaction in which a series of four
consecutive quarterly contract months of the5ItemsDescription

Remarks
same volume are sold (purchased). The nearest
quarterly contract month of each transaction
shall be either the 5th, 9th, 13th or 17th contract
month.
・ Bundle: A transaction in which four, eight,twelve, sixteen, or twenty consecutive quarterly
contract months of the same volume are sold(purchased).
・ Calendar Spread: Sell (Purchase) one contract
for a near month, and purchase(sell) one
contract for a far month.
・ How to calculate Pack and Bundle price: The
trade price shall be an average of differentials inprice of each contract month from the prior
day’s settlement price.
・ How to calculate Calendar Spread price：Thetraded price of the contract for the near month,minus the traded price of the contract for the farmonth.

２．Block Trades

・Trading Members who want to execute a block trade shall make an application to TFX during

・ Block trades are, with prior application to TFX,

trading hours excluding the 15 minutes prior to close of the day session, close of the evening

having buy and sell orders of the same contractmonthsession and between 11:30-12:30.
・Minimum volume for an application of a block trade is 1 contract.
３．Give-up Trades

・Give-up trades are available for Euroyen Futures.

simultaneously

executedoutsidecompetitive auction.

・Give-up trades are having a Trading Member
other than the Executing Member (Member
who executed the trade) clear the same traders.
・ Take-up is means that Trading Member
undertake clearing of Euroyen futures.

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●Contents of this document are subject to change following the enforcement of Financial Instruments and Exchange Law.

●The copyright of this publication is held by the Tokyo Financial Exchange Inc. (TFX) and TFX reserves the right to change the contents of this publication
without prior notice. The originals of this publication have been prepared in the Japanese language only and the Japanese language texts shall govern for all
purposes and in all respects. Accordingly, all questions that may arise shall be decided in accordance with the Japanese language texts. Whilst reasonable carehas been taken to ensure that these translations are accurate and free from errors, no liability is accepted by TFX in any circumstances.

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