The Tokyo Stock Exchange (TSE) has published the results of the questionnaire it issued to market participants earlier this year to study the impact of record low interest rates on ten-year JGB futures contracts. Essentially, it asked whether the market favoured reviewing the maturity of deliverable bonds (currently 10-year JGBs with 7 years or more to maturity) and whether participants thought it is necessary to change the notional coupon rate (currently 6 per cent) on ten-year JGB Futures.
Many participants were against any change because it risked undermining the liquidity of the JGB Futures market. Others favoured lengthening the maturity of deliverable bonds to obtain a better match bonds between cash and future prices, and recommended lowering the notional coupon rate to market levels. The inconclusive response means the TSE will now hold “discussion group” meetings with market participants who replied to the questionnaire.