TFX To Launch Six-month Euroyen LIBOR Futures
Goals of the Product Launch
(1) Hedging tool for Yen Interest Rate Swap Transactions
Yen Swaps normally use the 6 month LIBOR benchmark and swap traders are looking for a hedging tool closely aligned with the Yen Interest Rate Swap market. Therefore TFX’s new LIBOR futures will respond to the needs of TFX market participants.
(2) Improved Convenience for Investors
Yen LIBOR based trading such as yen denominated FRAs (Forward Rate Agreements) and others are often traded in the OTC market. However, this trading features considerable operational burden and counterparty risk.
TFX’s new LIBOR futures will reduce operational burden and have no counterparty risk.
The launch is planned for the first quarter of 2012.
Underlying Asset – 6 Month Euroyen LIBOR (BBA)
Trading Unit – Yen100,000,000
Minimum Tick Size – 0.0025（0.0025％）
Contract months – 20 quarterly months and 2 nearest serial months
Last Trading Day – 2 London business days prior to the 3rd Wednesday
* 8：45～11：30 (Day Session)
* 12：30～15：30 (Day Session)
* 15：30～20：00 (Evening Session)