The MSCI series of indices are widely used by investment professionals around the world. According to estimates, over USD500 billion of investment is benchmarked to the MSCI Japan Index - the underlying of the new futures contract to be listed at the SGX.
The MSCI EAFESM index has about 20% of its weighting in Japan, the exposure to which can be perfectly hedged using the MSCI Japan Index Futures. The MSCI Japan Index Futures should give fund managers greater flexibility in managing their equity exposure in their EAFESM portfolios.
With the MSCI Japan Index Futures, international investors can look forward to a greatly enhanced precision of their investing, trading and managing exposure in the Japan stock markets. As the contract is traded in the same marketplace as the popular Nikkei 225 Futures, investors can look forward to trading and arbitraging opportunities which were unavailable previously.
MSCI Japan Index Futures Contract
The MSCI Japan Index Futures will be traded on the SGX Electronic Trading System (ETS). The futures contract is optimally designed to meet the needs of a wide spectrum of investors. With a contract multiplier of JPY5,000 and spot index level of 650.32 as at the end of year 2001, it has a contract value of about two-thirds the size of Nikkei 225 Futures at SGX. Its minimum price fluctuation is 0.2 index points. This translates to a value of JPY1,000.
Other features of the contract largely mirror that of the NK225 Futures, including the trading hours, last trading day, delivery and final settlement methodology. The specifications of the MSCI Japan Futures are provided below:
Contract Specifications
- Underlying Stock Index: MSCI Japan Index (Spot Index = 649.37 on 1 March 02)
- Ticker Symbol: JP
- Contract Size: JPY5,000 x SGX MSCI Japan Index Futures price
- Minimum Price Fluctuation: 0.2 index points (JPY1,000)
- Contract Months: 5 quarterly months on a March, June, September and December cycle
- Trading Hours (Singapore Time): 7.55 am - 10.15 am
11.15 am - 2.25 pm
3.30 pm - 7.00pm*
* Trades executed during this session are for T+1 settlement (Same as NK225 Futures) - Trading Hours (Last Trading Day): 7.55 am - 10.15 am
11.15 am - 2.25 pm
(Same as NK225 Futures) - Last Trading Day: The business day before the second Friday of the contract month. (Same as NK225 Futures)
- Daily Price Limits: Whenever the price moves by 7.5%, in either direction from the previous day's settlement price, trading within the price limit of 7.5% is allowed for the next 15 minutes. Thereafter, an expanded price limit of 12.5% (above or below the previous day's settlement price) shall apply for the rest of the day.
(Same as NK225 Futures)On the last trading day for the expiring contract, there shall be no price limits following the 15 minutes cooling-off period after the initial price limit (7.5%) has been reached. No price limit shall come into effect during the last 30 minutes before the close of trading on the last trading day for the expiring contract. However, if the cooling-off period should overlap into the last 30 minutes of the trading session, the portion of the cooling-off period which overlaps into the last 30 minutes of trading session shall continue to be in force.
(Same as NK225 Futures) - Settlement Basis: Cash settlement.
- Final Setlement Price: The final settlement price shall be the MSCI Japan Index computed based on the Special Quotation calculation methodology applied on each component stock of the MSCI Japan Index on the day following the Last Trading Day.
(Same as NK225 Futures)
