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Contract Specifications of SGX 5-Yr Singapore Government Bond Futures
Items
Specifications
Contract Size
S$100,000 face value notional 5-year Singapore Government Bond with 3% coupon
Ticker Symbol
SB
Contract Months
2 nearest quarterly months on a March, June, September and December cycle
Trading Method
SGX Electronic Trading System (SGX QUEST)
Trading Hours
Pre -Opening 8.45 am - 8.58 am
Non -Cancel Period 8.58 am - 9.00am
Opening 9.00 am - 5.00 pm
Trading Hours
(Last Trading Day)
Pre -Opening 8.45 am - 8.58 am
Non -Cancel Period 8.58 am - 9.00am
Opening 9.00 am - 4.00 pm
Last Trading Day
Last Singapore business day of the contract month
Minimum Price Fluctuation
S$ 0.01 per S$100 face value (S$10 per 0.01point)
Daily Price Limits
None
Settlement Basis
Cash settlement
Final Settlement Price*
Based on a basket of eligible bonds
Eligible Bonds*
A designated basket of Singapore Government Bonds with a minimum issuance size of S$1b and 3 to 6 years term-to-maturity on the first calendar day of the contract month.
Position Limit
A person shall not own or control more than 5,000 contracts net long or net short in all contract months combined.
Trading Facility*
Exchange of Futures for Physicals (EFP)
*Please see the section below on Trading the 5-Year Singapore Government Bond Futures contract
Access To Real-Time Trading Data
Price Vendors
SGX ETS
Bloomberg
KBmy<CMDTY>
CQG
SB
Moneyline Telerate
7244 or SG@SB
Telekurs
3,SByym,344
Reuters
SSB:<F3>
QUICK
FSB.n/SGX
Basket of Bonds
JUN08 Contract
Benchmark bond (in bold) for the JUN08 Contract is N508100V*
The basket for the JUN08 Contract comprises the following 6 bonds:
Maturity Date
Issue Code
ISIN Code
Year Issued
Coupon
Amount
S$ (million)
Interest Payment Date
1/7/2013
NX03100Z
SG5857905953
2003
2 1/4
3,300
1/1 1/7
1/7/2011
NX01100H
SG5080889057
2001
3 5/8
4,600
1/1 1/7
1/7/2012
NX02100S
SG5305894650
2002
3 1/2
3,400
1/1 1/7
2/4/2012
N507100A
SG7J26931922
2007
2 5/8
2,900
1/4 1/10
1/10/2012
N507101E
SG7J27931939
2007
2 1/2
2,200
1/10 1/4
1/04/2013
N508100V
SG7P26938168
2008
TBA
SEP08 Contract
Benchmark bond (in bold) for the SEP08 Contract is N508100V*
The basket for the SEP08 Contract comprises the following 6 bonds:
Maturity Date
Issue Code
ISIN Code
Year Issued
Coupon
Amount
S$ (million)
Interest Payment Date
1/7/2013
NX03100Z
SG5857905953
2003
2 1/4
3,300
1/1 1/7
1/7/2014
NX04100F
SG7254912186
2007
3 5/8
5,000
1/1 1/7
1/7/2012
NX02100S
SG5305894650
2002
3 1/2
3,400
1/1 1/7
2/4/2012
N507100A
SG7J26931922
2007
2 5/8
2,900
1/4 1/10
1/10/2012
N507101E
SG7J27931939
2007
2 1/2
2,200
1/10 1/4
1/04/2013
N508100V
SG7P26938168
2008
TBA
Other Information Sources
Reuters
Updates of SGS Benchmarks & Individual Bond Prices: (SGBMK=, SGTSY=)
SGX Singapore Government Bond Futures Information: (SIM/SSB)
Daily fixing from 11 PD for each of the eligible bonds: (SSBI01)
End of Day Indicative Value (based on final settlement methodology): (.SSBI)
Indicative Futures Fair Value based on contributor updates of prices of each bond in the basket: (SSBFV01, SSBFV02)
Bloomberg
Updates of SGS Benchmarks & Individual Bond Prices: (BBTF)
SGX Singapore Government Bond Futures Information: (SGXD)
Daily fixing from 11 PD for each of the eligible bonds: (SGXD)
End of Day Indicative Value (based on final settlement methodology): (SGXD)
Indicative Fair Futures Value based on contributor updates of prices of each bond in the basket: (SGXD)
Trading The 5-Year Singapore Government Bond Futures
The Singapore Government Bond futures is listed and traded on the SGX Electronic Trading System (SGX QUEST), a state-of-the-art global derivatives trading system which allows electronic trading access via Bloomberg and GL or internet trading through patsystems and Easyscreen. This direct electronic link provides for better transparency, faster executions and easier trade processing capability when trading the Singapore Government Bond Futures contract.
Defining The Basket Of Eligible Bonds
The Exchange designates a basket of Singapore Government Bonds with a minimum issuance size of at least S$1billion and 3 to 6 years term-to-maturity on the first calendar day of the Contract Month and/or such other issuance size or maturity as may be selected and prescribed by the Exchange where the Exchange deems it fit and necessary.
The basket of eligible bonds and the benchmark bond for final settlement will be announced on the last Singapore business day 6 months prior to the Contract Month.
Any changes to the basket of eligible bonds can only be made thereafter if there is no open interest for that Contract Month. E.g., for the Mar06 Contract, the Exchange will announce the eligible bonds in the basket and designate the benchmark bond for final settlement on the last Singapore business day in Sept 2005.
Final Settlement Methodology
The 5-Year Singapore Government Bond Futures contract is cash settled so as to provide easy and strategic trading access(exit) to the high quality Singapore Dollar debt market.
The final settlement price of the Singapore Government Bond futures is based on the prices of the eligible/selected bonds in the basket, provided by the Singapore Government Securities Dealers for the Monetary Authority of Singapore's (MAS) daily fixing of the Singapore Government Bonds on the Last Trading Day.
From the prices contributed to MAS for each bond in the basket, the arithmetic mean of the bid and offer prices shall be calculated, after discarding the 3 highest and 3 lowest bids and the 3 highest and 3 lowest offers, and converted to yield, rounded to the nearest eight (8) decimal places.
The final yield for all the bonds in the selected basket, rounded to the nearest five (5) decimal places, is derived from the yield for each bond in the basket after weighting the yield of the benchmark bond in the selected basket by 60% or such other weighting as may be prescribed by the Exchange. The remaining weighting shall be equally distributed over the remaining yields.
The final settlement price shall be calculated from the final yield according to the following formula rounded to two (2) decimal places -
Price = {[C/Y][1-(1+Y/2)-2N] + [1+Y/2]-2N}x S$100
where N is the number of year, = 5
C is the coupon, = 0.03
Y is the yield rounded to the nearest five (5) decimals
Exchange of Futures for Physicals (EFP) Facility
There is more reason to trade in Singapore Government Bond futures with SGX-DT special trading facility such as the Exchange of Futures for Physicals (EFP) facility. EFP permits for the exchange of a futures position for a physical position and vice versa. The availability of EFP provides seamless linkage with the underlying cash bond market as well as flexibility for traders better effect strategies involving both markets.
