1. Korea Treasury Bonds Futures Trading System
As the issuance volume of KTBs increased, KTB futures was introduced to provide a risk management tool in September 1999. Along with the growth of bond market size and introduction of bond mark-to-market requirement in July 2000, there was a need to manage the risk associated with the price volatility. To address this need, 3-year KTB futures was introduced first, and then 5-year KTB futures in August 2003 and 10-year KTB futures in February 2008 to provide the tools for managing the risk of price volatility of medium-term and long-term KTB.
Table 3.21 Korea Treasury Bonds Futures Trading System
10 year KTB Futures 5 year KTB Futures 3 year KTB Futures Underlying asset 10 year KTBs with 5% coupon rate
(Face value W100 million)
5 year KTBs with 5% coupon rate (Face value W100 million)
3 year KTBs with 5% coupon rate (Face value W100 million)
Trading unit Face value W100 million Face value W100 million Face value W100 million
Tick size 0.01 0.01 0.01
Tick value W1O,000
(= 100,000,000 × 0.01 × 1/100)
W1O,000
(= 100,000,000 × 0.01 × 1/100)
W1O,000
(= 100,000,000 × 0.01 × 1/100)
Trading hour 9:00 a.m. – 3:15 p.m.
(Last trading day:
9:00 a.m. – 11:30 a.m.)
9:00 a.m. – 3:15 p.m.
(Last trading day:
9:00 a.m. – 11:30 a.m.)
9:00 a.m. – 3:15 p.m.
(Last trading day:
9:00 a.m. – 11:30 a.m.) Contract month cycle
(Listed contract months)
March, June, September, and December (2 contract months)
March, June, September, and December (2 contract months)
March, June, September, and December (2 contract months) Last trading day
(Final Settlement day)
Third Tuesday of the contract month (the next business day following the
last trading day: t+1)
Third Tuesday of the contract month (the next business day following the
last trading day: t+1)
Third Tuesday of the contract month (the next business day following the
last trading day: t+1)
Settlement method Cash settlement Cash settlement Cash settlement
Daily price limit None None None
Quotation price limit Base price ± 2.7% Base price ± 1.8% Base price ± 1.5%
Launch date 25 February 2003 22 August 2003 29 September 1999
Source: Korea Exchange.
2. Specification of 3-Year Korea Treasury Bond Futures Table 3.22 3-Year Korea Treasury Bonds Futures
Item Description
Underlying Asset 3-Year Korea Treasury Bond with 5% coupon rate and semiannual coupon payment
Contract Size W100 million
Contract Months The first two consecutive months in the quarterly cycle (March, June, September, and December) Trading Hours 9:00 a.m. to 3:15 p.m. (09:00 a.m. to 11:30 a.m. on the last trading day)
Tick Size and Value 0.01 point, representing a value of W10,000 Last Trading Day Third Tuesday of the contract month Final Settlement Day The following day of the last trading day
Final Settlement Cash
Position Limit It can be adopted when the KRX deems necessary
Listing Date 29 September 1999
Source: Korea Exchange.
3. Underlying Basket Bonds for 3-Year Korea Treasury Bond Futures Table 3.23 Underlying Basket Bonds for 3-Year Korea Treasury Bonds Futures
Underlying basket bonds used to determine the final settlement price for KTB3 F 1203
Issue Name Code No. Issue Date Maturity Coupon Rate
Treasury 0350–1406 KR1035017162 10 June 2011 10 June 2014 3.50%
Treasury 0300–1312 KR10350170C2 10 December 2010 10 December 2013 3.00%
Treasury 0350–1609 KR1035017196 10 September 2011 10 September 2016 3.50%
continued on next page
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Underlying basket bonds used to determine the final settlement price for KTB3 F 1206
Issue Name Code No. Issue Date Maturity Coupon Rate
Treasury 0325–1412 KR10350171C0 December 10, 2011 December 10, 2014 3.25%
Treasury 0350–1406 KR1035017162 June 10, 2011 June 10, 2014 3.50%
Treasury 0350–1609 KR1035017196 September 10, 2011 September 10, 2016 3.50%
Source: Korea Exchange.
Among KTBs with a 6-month coupon payment, KRX has the discretion to select single or plural bonds which will be included in the basket and then used to compute the final settlement price. KOFIA sends KRX the yields for each individual bond in the basket, as of 11:30 a.m. and 3:30 p.m. every trading day, and KOFIA also distributes the information to KOSCOM and other information vendors.
4. Five-Year Korea Treasury Bonds Futures
a. Speciication of 5-Year Korea Treasury Bonds Futures Table 3.24 Specification of 5-Year Korea Treasury Bonds Futures
Item Description
Underlying Asset 5-year Korea Treasury Bond with 5% coupon rate and semiannual coupon payment
Contract Size W100 million
Contract Months The first two consecutive months in the quarterly cycle(March, June, September, and December) Trading Hours 09:00 a.m. to 3:15 p.m. (09:00 a.m. to 11:30 a.m. on the last trading day)
Tick Size and Value 0.01 point, representing a value of W10,000 Last Trading Day Third Tuesday of the contract month Final Settlement Day The following day of the last trading day
Final Settlement Cash
Position Limit It can be adopted when the KRX deems necessary
Listing Date 22 August 2003
Source: Korea Exchange.
b. Underlying Basket Bonds for 5-Year Korea Treasury Bonds Futures Table 3.25 Underlying Basket Bonds for 5-Year Korea Treasury Bonds Futures
Underlying basket bonds used to determine the final settlement price for KTB3 F 1203
Issue Name Code No. Issue Date Maturity Coupon Rate
Treasury 0350–1609 KR1035017196 10 September 2011 10 September 2016 3.50%
Treasury 0400–1603 KR10350171399 10 March 2011 10 March 2016 4.00%
Underlying basket bonds used to determine the final settlement price for KTB3 F 1206
Issue Name Code No. Issue Date Maturity Coupon Rate
Treasury 0350–1609 KR1035017196 10 September 2011 10 September 2016 3.50%
Treasury 0400–1603 KR10350171399 10 March 2011 10 March 2016 4.00%
Source: Korea Exchange.
Table 3.23 continuation
5. Ten-Year Korea Treasury Bonds Futures
a. Speciication of 10-Year Korea Treasury Bonds Futures Table 3.26 Specification of 10-Year Korea Treasury Bonds Futures
Item Description
Underlying Asset 10-Year Korea Treasury Bond with 5% coupon rate and semiannual coupon payment
Contract Size W100 million
Contract Months The first two consecutive months in the quarterly cycle(March, June, September and December) Trading Hours 09:00 a.m. to 3:15 p.m. (09:00 a.m. to 11:30 a.m. on the last trading day)
Tick Size and Value 0.01 point, representing a value of W10,000 Last Trading Day Third Tuesday of the contract month Final Settlement Day The following day of the last trading day
Final Settlement Cash
Position Limit 5,000 contracts (contract month in which the last trading day belongs)
Listing Date 25 February 2008
Source: Korea Exchange.
b. Underlying Basket Bonds for 10-Year Korea Treasury Bonds Futures Table 3.27 Underlying Basket Bonds for 10-Year Korea Treasury Bonds Futures
Underlying basket bonds used to determine the final settlement price for KTB3 F 1203
Issue Name Code No. Issue Date Maturity Coupon Rate
Treasury 0425-2106 KR1035027161 10 June 2011 10 June 2021 4.25%
Treasury 0500-2006 KR1035027062 10 June 2010 10 June 2020 5.00%
Underlying basket bonds used to determine the final settlement price for KTB3 F 1206
Issue Name Code No. Issue Date Maturity Coupon Rate
Treasury 0425-2106 KR1035027161 10 June 2011 10 June 2021 4.25%
Treasury 0500-2006 KR1035027062 10 June 2010 10 June 2020 5.00%
Source: Korea Exchange.
Among KTBs with a 6-month coupon payment, KRX has the discretion to select single or plural bonds which will be included in the basket and then used to compute the final settlement price. KOFIA sends KRX the yields for each individual bond in the basket, as of 11:30 a.m. and 3:30 p.m. every trading day and KOFIA also distributes the information to KOSCOM and other information vendors.
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