TFX Three-month TONA Futures
CONTRACT SPECIFICATIONS
| TFX Three-month TONA Futures | |
|---|---|
| Underlying Asset | Compounded daily TONA during a period of 3 months from the contract month |
| Trading Unit | 1 Basis point value (price fluctuation of 0.01) = ¥2,500 |
| Price Quotation | 100 minus rate of interest |
| Tick Size & Value | 0.001 (0.001% = ¥250) |
| Contract Months | Nearest 20 Quarterly Months (March, June, September, December) = 5 years |
|
Reference Quarter
|
From the third Wednesday (inclusive) of each contract month (3, 6, 9, 12) to the third Wednesday (exclusive) of the month (6, 9, 12, 3) that falls 3 months later. |
| Last Trading Day |
The third Wednesday of the calendar month following each contract month by 3 months. |
| Final Settlement Day | The first business day following the last trading day |
| Settlement | Cash settlement |
| Final Settlement Price | The final settlement price is calculated and presented to 3 decimal places (0.1 tick). The final settlement price is 100 minus the annualized compounded daily TONA, which is calculated by multiplying TONA of each business day in Reference Quarter for the relevant contract month together, dividing it by actual number of days in the Reference Quarter, multiplying 365 (annualizing) and rounding off at 4 decimal places expressed in percentage. |
| Trading Hours (JST) | 8:30 – 8:45 Pre-open period (order entry without execution) 8:45 – 11:30 Day (morning) session 11:30 – 12:30 Restricted period (cancel and volume cutback only) 12:30 – 15:30 Day (afternoon) session 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 – 9:30 Day session |
| Matching Method | Auction method with FIFO algorithm (Price/Time Priority) |
| Strategy Trades | Calendar spread trading |
| Implied Function | Implied-in and Implied-out |
| Block Trades | Available (Minimum volume: 1 contract) |
| Give-Up Trades | Available |
| Margin | SPAN® |
| Bloomberg Ticker | YPOA Comdty |
| Secondary Tickers | Refinitiv: 0#J03: QUICK: 030 CQG: F.US.O3 Trading Technologies: O3 |
| TONA Final Result | Refinitiv: JPONMUF=RR Bloomberg: MUTKCALM Index Quick: TNAR@ Bank of Japan: Call Money Market Data |
