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.
1. Parameters for TIFFE-SPAN Margin Calculation
Parameters | 3-Month Euroyen (EY) & its Options (EYO) 3-Month LiborEuroyen (LEY) |
USD-JPY Currency (UD) |
||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
|
All Mths:JPY 15,000 (30 ticks) |
|||||||||||||||||||
Volatility Range | 4 % | - | ||||||||||||||||||
Tier Number Tier Configuration |
Tier = 3
|
Tier = 1 | ||||||||||||||||||
Inter-month Spread Charge Rate |
|
|||||||||||||||||||
Expiration Charge Rate/Maintenance * (Initial) |
- |
JPY 15,000 |
||||||||||||||||||
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) |
(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.