Korea Exchange Designates Final Settlement Benchmark Bond for December 2022 Treasury Futures

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[Asia Economy Reporter Myung-Hwan Lee] The Korea Exchange announced on the 21st that it has designated the final settlement benchmark bonds for the December 2022 Treasury futures contracts to be traded from the 22nd.

The final settlement benchmark bonds for the 3-year Treasury futures December 2022 contract (KTB3F2212) are Treasury 03125-2506 (22-4), Treasury 01875-2412 (21-10), and Treasury 02375-2703 (22-1). Their respective coupon rates are 3.125%, 1.875%, and 2.375%.

The final settlement benchmark bonds for the 5-year Treasury futures December 2022 contract (KTB5F2212) are two issues: Treasury 02375-2703 (22-1) and Treasury 01750-2609 (21-7). Their respective coupon rates are 2.375% and 1.750%.

The final settlement benchmark bonds for the 10-year Treasury futures December 2022 contract (KTB10F2212) are two issues: Treasury 03375-3206 (22-5) and Treasury 02375-3112 (21-11), with coupon rates of 3.375% and 2.375%, respectively.

The final settlement benchmark bonds for Treasury futures are designated bonds among Treasury bonds that pay interest semiannually, as stipulated by Article 20-9, Paragraph 4 of the Korea Exchange's 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%. Since such Treasury bonds do not actually exist, the exchange designates a combination of already issued Treasury bonds that closely resemble the underlying asset as the final settlement benchmark bonds.

The spot yields for each final settlement benchmark bond are calculated by the Korea Financial Investment Association daily at 11:30 a.m. and 4:00 p.m., and are announced through the Korea Financial Investment Association website, KOSCOM CHECK terminals, and Yonhap Infomax, among others.

This content was produced with the assistance of AI translation services.