Korea Exchange Designates Final Settlement Reference Bond for June 2022 Treasury Futures

[Asia Economy Reporter Lee Seon-ae] The Korea Exchange has designated the final settlement benchmark bonds for the June 2022 Treasury futures contracts traded from the 22nd.

The final settlement benchmark bonds for Treasury futures are bonds designated by the Exchange among Treasury bonds with semi-annual interest payments, in accordance with Article 20-9, Paragraph 4 of the Derivatives Market Business Rules Enforcement Regulations. Treasury futures are derivatives based on Treasury bonds with a face value of 100 won and a coupon rate of 5%, but such Treasury bonds do not actually exist. The Exchange combines already issued Treasury bonds to closely resemble the underlying asset.

According to the Exchange on the 21st, the final settlement benchmark bonds for the 3-year Treasury futures June 2022 contract are Kookgo01875-2412(21-10), Kookgo01125-2406(21-4), and Kookgo01750-2609(21-7). The coupon rates are 1.875%, 1.125%, and 1.750%, respectively.

The final settlement benchmark bonds for the 5-year Treasury futures June 2022 contract are Kookgo01750-2609(21-7) and Kookgo01250-2603(21-1). The coupon rates are 1.750% and 1.250%, respectively.

The final settlement benchmark bonds for the 10-year Treasury futures June 2022 contract are Kookgo02375-3112(21-11) and Kookgo02000-3106(21-5). The coupon rates are 2.375% and 2.000%, respectively.

The spot yields for each final settlement benchmark bond are calculated daily at 11:30 AM and 4:00 PM by the Korea Financial Investment Association. They are announced through the Korea Financial Investment Association website and Koscom’s check terminals.

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