Today, Tokyo Financial Exchange (TFX) applied the Intraday Additional Margin Call of Interest-rate Futures contracts for the first time since 14 March 2011 as the Three-month Euroyen futures market soared.
ã»What is the Intraday Additional Margin Call?
TFX usually calculates margin requirements based on the SPAN® margin system, which accommodates a certain range of price fluctuations of futures contracts traded under a normal circumstance.
However, when the market moves out of this range, TFX determines the intraday 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.
ã»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 June 2016 contract) traded at TFX exceed a range of price fluctuations set by TFX (currently 3.0 ticks, or 0.030%) at 11:25 am Tokyo Time, 5 minutes before the end of its morning session.
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Tokyo Financial Exchange: Application Of Intraday Additional Margin Call
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