TIFFE Introduces LIBOR-TIBOR Spreads and Extends contract month cycle of Three-month Euroyen LIBOR futures

The Tokyo International Financial Futures Exchange ("TIFFE") announces the launch of LIBOR-TIBOR Spreads from 15:40 on 3rd September 2001, following regulatory approval. TIFFE also expands contract month cycle of Three-month Euroyen LIBOR futures to 12-month-cycle (currently 5-month-cycle) from the same day.

LIBOR-TIBOR Spreads ("L-T Spreads") enables members and customers to trade at the price spread 　(*1) 　 between LIBOR 　(*2) 　 based Three-month Euroyen LIBOR futures ("Euroyen LIBOR futures") and TIBOR 　(*3) 　based Three-month Euroyen futures ( "Euroyen futures") of the same contract month. Once the trade is matched, each leg of the L-T Spreads trade is divided into one underlying Euroyen LIBOR futures and one Euroyen futures on the same contract month.

The L-T Spreads enables members and customers to trade Euroyen LIBOR futures and Euroyen futures simultaneously without legging risk with single order entry.

Additionally, with the extension of the Euroyen LIBOR futures contract month cycle to 12-month-cycle, the participants will be able to trade up to 12 combinations of L-T Spreads.


For more information, please contact:
Marketing and Research Section
E-mail ：　info@tiffe.or.jp
URL: http://www.tiffe.or.jp


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