Starting on March 4, 2024, the 3-month TONA futures, a short-term interest rate futures listed on the Osaka Exchange (OSE), will be added to the cross-margining system of the Japan Securities Clearing Corporation (JSCC).
This cross-margining system already covers OSE 10-year JGB Futures and JSCC-cleared interest rate swaps, so the addition of TONA futures is expected to further reduce the collateral costs for these yen interest rate derivatives.
The table below shows the estimated reduction in collateral costs through cross-margining. The sample portfolio below, which combines 10-year JGB futures, TONA futures and interest rate swaps, is expected to achieve a 50-60% margin reduction.
Overview of OSE 3-month TONA Futures
Since its listing on May 29, 2023, the market has been steadily expanding, reaching an average daily trading volume (ADV) of approximately 2,300 contracts, while open interest has increased up to the 9th contract month (over 2 years ahead), as shown in the table below.
The notional value of JSCC-cleared interest rate swaps reached a record high last year, and the open interest of 10-year JGB futures is also at a very high level at around 20 trillion yen.
OSE expects that cross-margining, which reduces the collateral costs on positions accumulated in each product, will contribute to improving the convenience and efficiency of yen interest rate derivatives trading. OSE says it will continue to support the smooth entry of domestic and foreign institutional investors in order to further improve liquidity, whilst maintaining efforts to enhance the convenience of the markets.
For more information on 3-Month TONA Futures
JPX Website > Derivatives > Products > Interest Rate > 3-Month TONA Futures