Published On: Fri, Sep 16th, 2011

NYSE Liffe JGB Futures Contract Open Interest Transfer Arrangement

On 26 September 2011, NYSE Liffe’s JGB futures contract will move from a daily cash-settled contract to a contract traded under open interest link arrangements with the Tokyo Stock Exchange (TSE), becoming fully fungible with the TSE 10-year JGB futures contract. From this date, open positions in London will be automatically transferred to the TSE at the end of the trading day, by way of the closure of the NYSE Liffe contract and opening of an equivalent TSE contract, to join the pool of open interest in Tokyo.

As the global benchmark for Japanese Government debt, JGB futures provide access to the most liquid part of the JGB yield curve, 7 to 11 years, offering easy exposure to Japanese Government debt and long-term Yen interest rates. The new arrangement will help improve operations, providing enhanced access throughout more of the European/Japanese trading day to one of the largest government bond markets in the world.

Please refer to the notice for the revised JGB contract specification and further information, including: trading fees, Member Link Agreements, Member testing and link emergency provisions.

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