Japan Exchange Group explains that JGB futures using a notional bond have advantages, such as not needing to change the underlying issue, keeping differences between individual issues out, and keeping the price continuous, and that the approach is common in bond futures overseas1. The English pages of JPX write "standardized bond" for the same thing2.

Osaka Exchange lists JGB futures with different notional bonds. In the product list, the notional bond of Medium-term JGB Futures has a 3% coupon and a 5-year term, that of 10-year JGB Futures has 6% and 10 years, and that of Super Long-term JGB Futures has 3% and 20 years3.

The bonds delivered at final settlement are called deliverable bonds45. How the delivered bond is chosen (cheapest-to-deliver) and how the payment is calculated (conversion factor) are covered in the explanation of JGB futures and the article it links to.

Notes

  1. Japan Exchange Group, "標準物" (Notional bond) (glossary, in Japanese). The advantages of the notional bond approach and its use in overseas bond futures. ↩

  2. Japan Exchange Group, "JGB Futures Overview", About JGB Futures, which writes "standardized bonds". ↩

  3. Japan Exchange Group, "商品一覧（先物・オプション）" (Product list (futures and options)) (in Japanese), the government securities column ("中期国債標準物" 3% and 5 years, "長期国債標準物" 6% and 10 years, "超長期国債標準物" 3% and 20 years; that is, the notional bonds of Medium-term, 10-year and Super Long-term JGB Futures). ↩

  4. Japan Exchange Group, "商品概要（国債（JGB）先物）" (Product overview (JGB futures)) (in Japanese), first paragraph. ↩

  5. Japan Exchange Group, "受渡適格銘柄" (Deliverable issues) (glossary, in Japanese). Explained as the issues that the seller can deliver to the buyer in delivery settlement of JGB futures. ↩