Introduction Of Inter-Month Spread Transaction For 10-Year JGB Futures And Evening Session For JGB Futures And Options On JGB Futures On The Tokyo Stock Exchange

To facilitate the simultaneous transaction of two contract months, the TSE will launch inter-month spread transactions of 10-year JGB Futures in August, 2000. By using this facility, investors can bid or ask, on the spread order book, the price differential (spread) itself of two different contract months. The following three combinations are available for the spread transaction: (i) the nearest-the second nearest; (ii) the nearest-the third nearest and (iii) the second nearest-the third nearest. The execution of a spread order results in the transactions of two individual contract months of the above combinations. Resultant pricing in the two individual contract month will be made, based on the last sales price in one individual contract and the computed price by adjusting the spread in the other contract month. In order to provide an opportunity to respond to new economic developments after 3:00PM, the TSE has decided to introduce an Evening Session from 3:30PM to 6:00PM in September, 2000. The expansion of trading hours will provide investors with increased opportunities to use JGB Futures and Options on JGB Futures for hedging or arbitrage, in connection with their trading in the cash market or Three-Month Euroyen Futures and Options on Three-Month Euroyen Futures markets and will offer the trading opportunity to investors, especially in Europe, in their business hours. In this session, 5 and 10-year JGB Futures and Options on JGB Futures are available for trading. Transactions during this session are treated as those of the following business day.