News File
Application of Intraday Additional Margin Call
(May 10, 2006)
Tokyo Financial Exchange (TFX) applied the Intraday Additional Margin Call
of Interest-rate etc. Financial Futures contracts today as the Three-month
Euroyen futures market soared, for first time since August 11, 2005.
・What is the Intraday Additional Margin Call?
TFX usually calculates margin requirements based on the SPAN® margin
system, which applies only to a certain range of price fluctuations of
futures contracts traded under a normal circumstance.
However, when the market moves out of this set range, TFX determines the
provisional settlement price for the futures contracts at the end of its
morning session (11:30 am Tokyo Time), and calculates intraday additional
margin requirements based on positions carried by a member at the time.
TFX then requests additional deposits from a member whose margin deposits
are less than the amount required by the Intraday Additional Margin Call.
・When is the Intraday Additional Margin Call triggered?
The Intraday Additional Margin Call is triggered when changes in price
of the leading contract month (currently December 2006 contract) traded
at TFX exceed a range of price fluctuations set by TFX (currently 4.5 ticks,
or 0.045%) at 11:25 am Tokyo Time, 5 minutes before the end of its morning
session.
SPAN® is registered trademarks of the CME. All the rights pertaining
to SPAN® are held by the CME, from which TFX has obtained permission
for their use. However, the CME assumes no liability in connection with
the use of SPAN® by any person or entity.
For more information, please contact:
General Affairs Group, General Administration Department
Tel: +81-3-3514-2400
Fax: +81-3-3514-2425
E-mail:
info@tfx.co.jp
URL:
http://www.tfx.co.jp/en/
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