TFX applies intraday additional margin call for first time since March 2011


Tokyo Financial Exchange (TFX) was forced to apply a mechanism a mechanism it has not used since March 14, 2011, as the three-month Euroyen futures soared.

TFX today applied an Intraday Additional Margin Call, as the market moved outside of certain boundaries.

The Exchange normally 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. When the market moves outside of this range, TFX sets 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 below the amount required by the Intraday Additional Margin Call.

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, five minutes before the end of its morning session.

You can view the official announcement from TFX by clicking here.

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TFX applies intraday additional margin call for first time since March 2011

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