Press Release
(March 8,2000)
Modifications in TIFFE-SPAN Parameters
TIFFE-SPAN margin system was introduced in April 1996 as a new method to calculate margins.
TIFFE decided to modify some parameters for the system as the part of its efforts to improve risk management of itself as well as its members.
The new parameters will be effective on March 14, 2000.
The key points of the new parameters are as follows;
- 1. Contract Month-based Margins
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The current parameters calculate margins at a rate for all Euroyen futures contract.
Under the new scheme, however, the futures contracts will be devided into three groups according to their contract month,
and several margin rates are set for each group.
As a result, margins will be calculated in reflection of a yield curve risk of each contract, which usually varies depending on its contract month.
- 2. Half-tick Pricing
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In line with the October 1999 introduction of a half-tick pricing on Euroyen futures, Euroyen options and Euroyen LIBOR futures, TIFFE will apply its half-tick pricing (0.5 tick:\1,250) to margin rates.
The new calculationg method will make it possible to calculate margins more accurately and precisely.
SPAN® and PC-SPAN® are registered trademarks of the CME. All the rights pertaining to SPAN are held by the CME,
from which TIFFE has obtained permission for their use.
However, the CME assumes no liability in connection with the use of SPAN and PC-SPAN by any person and entity.
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