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Tokyo International Financial Futures Exchange-SPAN Parameters

Date 16/12/2002

TIFFE-SPAN PARAMETERS TIFFE-SPAN Parameters
The following parameters are effective from 17th December 2002 to 17th March 2003,
except for Three-month Euroyen LIBOR futures which is effective from 18th December 2002 to 18th March 2003.

***From 17th September 2002 to 16th December 2002 (Three-month LIBOR futures:From 18th September 2002 to 17th December 2002)

1. Parameters for TIFFE-SPAN Margin Calculation

Parameters 3-Month Euroyen (EY)
& its Options (EYO)
3-Month LiborEuroyen (LEY)
USD-JPY
Currency (UD)
Scan Range
Mth 1,2 : JPY 7,500 (3 ticks)
Mth 3,4 : JPY 7,500 (3 ticks)
Mth 5-12: JPY 7,500 (3 ticks)
All Mths:JPY 15,000
(30 ticks)
Volatility Range 4 % -
Tier Number
Tier Configuration
Tier = 3
Tier 1 : Mth 1,2
Tier 2 : Mth 3,4
Tier 3 : Mth 5-12
Tier = 1
Inter-month Spread
Charge Rate
Tier 1-1 : JPY 2,500 (1 ticks)
Tier 2-2 : JPY 2,500 (1 ticks)
Tier 3-3 : JPY 2,500 (1 ticks)
Tier 1-2 : JPY 2,500 (1 ticks)
Tier 1-3 : JPY 2,500 (1 ticks)
Tier 2-3 : JPY 2,500 (1 ticks)
JPY 6,000
(12 ticks)
Expiration Charge
Rate/Maintenance *
(Initial)
- JPY 15,000
(30 ticks)
Intercommodity Spread
Credit Rate
47%
(between EY and LEY)
-
Short Option
Minimum Charge
JPY 200 (per contract) -
Initial to
Manitenance Ratio
(Initial Margin)

1.35
(Mth 1,2: JPY 10,125)
(Mth 3,4: JPY 10,125)
(Mth 5-12: JPY 10,125)
1.35
(JPY 20,250)

* Expiration Charge Rate is used on 17th and 18th Mar 2003.

2. Triggers on Emergency Margin Call

Triggered Change*** Mth 1,2 : 1.5ticks
Mth 3,4 : 1.5 ticks
Mth 5-12: 1.5 ticks
Extreme move 50 ticks

** Emergency Margin Call is triggered in case that the leading month moves over the above numbers.