How the delivery date is set differs by type of trade. This entry gives examples for which sources exist. In JGB futures, an open position not settled by an offsetting trade by the last trading day is settled on the delivery settlement date by exchanging bonds for cash1.

An FX forward is a transaction in which a company and a bank agree directly, in advance, on the day or the period in which it will be executed. In a fixed-date forward, the delivery date is a single day such as "July 11". In an option-period forward, a period such as "April" is set, and the forward can be executed on any day within it2. Consider a hypothetical example in which a fixed-date forward contract for delivery six months later is made on April 1, with the dates kept simple. October 1 is the delivery date, and on that day dollars and yen are exchanged.

Cash settlement, where only the difference is paid and received without delivering the real asset, also has a set day. In Nikkei 225 Futures, an open position not offset by the last trading day is settled at the SQ value on the expiry date (the second Friday of the contract month, etc.)3. A material on Japanese yen OIS (information as of March 2018) gives the settlement method as cash settlement (sakin kessai) and the settlement timing as two business days after the maturity date4. The sources use different names, such as "delivery settlement date", "expiry date", and "settlement timing", but each is a day on which settlement takes place.

Notes

  1. Japan Exchange Group, "受渡決済" (Delivery settlement), in its glossary (in Japanese). ↩

  2. Japan External Trade Organization (JETRO), "先物為替予約の「確定日渡し」と「期間渡し」の違いと利用にあたっての留意事項" (The difference between fixed-date and option-period forward exchange contracts and points to note when using them) (in Japanese). ↩

  3. Osaka Exchange, "決済方法（先物）" (Settlement methods (futures)), in "北浜投資塾" (Kitahama Investment School) (in Japanese), "SQ値による決済" (Settlement at the SQ value). ↩

  4. Study Group on Risk-Free Reference Rates, "日本円ＯＩＳ（Overnight Index Swap）─取引の概要と活用事例─" (Japanese yen OIS (Overnight Index Swap): overview of transactions and examples of use) (information as of March 2018; in Japanese), "決済方法：差金決済" (Settlement method: sakin kessai) and "決済時点：満期日の2 営業日後" (Settlement timing: two business days after the maturity date). ↩